Morningstar DBRS Upgrades and Confirms Credit Ratings on the Notes Issued by Three Prado FT RMBS Transactions

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the bonds issued by three Spanish residential mortgage-backed security (RMBS) transactions, as follows:

FT RMBS Prado VIII (Prado VIII):
-- Class A Notes confirmed at AAA (sf)
-- Class Z Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)

FT RMBS Prado X (Prado X):
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)

FT RMBS Green Prado XI (Green Prado XI):
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes upgraded to AA (low) (sf) from A (high) (sf)

The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the March 2025 payment dates for each transaction;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancements to the rated notes to cover the expected losses at their respective credit rating levels.

The credit ratings on the Class A and Class Z Notes issued by Prado VIII address the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in March 2055. The credit rating on the Class B Notes addresses the ultimate payment of interest and principal by the final legal maturity date while junior and the timely payment of interest once it becomes the most senior class of notes.

The credit rating on the Class A Notes issued by Prado X addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in March 2055. The credit rating on the Class B Notes addresses the ultimate payment of interest and principal by the final legal maturity date while junior and the timely payment of interest once it becomes the most senior class of notes.

The credit ratings on the Class A and Class B Notes issued by Green Prado XI address the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in December 2055. The credit rating on the Class C Notes addresses the ultimate payment of interest and principal by the final legal maturity date while junior and the timely payment of interest once it becomes the most senior class of notes.

The transactions are securitisations of residential mortgage loans secured by first-lien mortgages originated and serviced by Union de Créditos Inmobiliarios S.A., E.F.C (UCI or the seller) in Spain. The Issuers used the proceeds of the respective notes to fund the purchase of the respective mortgage portfolios from the seller. UCI provided separate additional subordinated loans to fund reserve funds for individual transactions. The securitisations took place in the form of respective funds, each in accordance with Spanish securitisation law.

PORTFOLIO PERFORMANCE

As of March 2025 payment date for each transaction:
-- For Prado VIII, the cumulative default ratio was 0.08% and the 90+-days delinquency ratio was 0.25%.
-- For Prado X, the cumulative default ratio was 0.23% and the 90+-days delinquency ratio was 0.17%.
-- For Green Prado XI, the cumulative default ratio was 0.00% and the 90+-days delinquency ratio was 0.52%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables in each transaction.

For Prado VIII, Morningstar DBRS updated its base-case PD and LGD assumptions to 1.0% and 7.8%, respectively.

For Prado X, Morningstar DBRS updated its base-case PD and LGD assumptions to 1.1% and 12.9%, respectively.

For Green Prado XI, Morningstar DBRS updated its base-case PD and LGD assumptions to 1.6% and 14.9%, respectively.

CREDIT ENHANCEMENT
In each transaction, the credit enhancement to each class of notes is provided by subordination of junior classes and the reserve funds. As of March 2025 payment date for each transaction, credit enhancements were as follows:

-- For Prado VIII, the credit enhancements of the Class A, Class Z, and Class B Notes were 32.2%, 16.1, and 7.6%, respectively, up from 27.4%, 13.4%, and 6.0%, respectively, at the time of the last annual review.
-- For Prado X, the credit enhancement of the Class A Notes was 17.2% and the credit enhancement of the Class B Notes was 11.5%, up from 15.5% and 10.4%, respectively, at the time of the last annual review.
-- For Green Prado XI, the credit enhancement of the Class A, Class B, and Class C Notes were 36.0%, 16.3%, and 9.5%, respectively, up from 31.5%, 14.3%, and 8.4%, respectively, at the time of the last annual review.

RESERVE FUNDS
The reserve funds in all three transactions are available to provide liquidity support to the rated notes and they all are amortising. The target balance of the RF equals to 2.0% of the outstanding principal balance of the assets with a floor of 0.25% initial portfolio balance for Prado VIII and Prado X. For Green Prado XI, the target balance is equal to 1.5% of the outstanding balance of the assets with a floor at 0.25% of the initial principal balance of the asset. As of the latest payment date of each transaction, all the reserve funds were at their respective target levels (Prado VIII: EUR 6.2 million, Prado X: EUR 8.3 million, Green Prado XI: 6.1 million).

Banco Santander SA (Santander) acts as the account bank for the Prado VIII and Prado X transactions while BNP Paribas, Sucursal en España (BNPP Spain) acts as the account bank for the Green Prado XI transaction. Based on Morningstar DBRS' private rating on BNPP Spain, and the account bank reference rating of A (high) on Santander (which is one notch below the Morningstar DBRS Long Term Critical Obligations Rating (COR) of AA (low)), the downgrade provisions outlined in the transactions documents, and other mitigating factors inherent in the transactions structures, Morningstar DBRS considers the risk arising from the exposure to the account banks to be consistent with the credit ratings assigned to the rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

BNP Paribas S.A. (BNPP) acts as the cap counterparty in the Prado VIII transaction. Morningstar DBRS' long-term COR of AA (high) on BNPP is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Santander also acts as the swap counterparty in the Prado X transaction. Morningstar DBRS' long-term COR of AA (low) on Santander is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Social/Environmental/Governance factors that had a significant or relevant impact on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at: https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: "Master European Structured Finance Surveillance Methodology" (4 February 2025), https://dbrs.morningstar.com/research/447080.

Other methodologies referenced in these transactions are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action for each transaction.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports provided by Santander de Titulización, SGFT, S.A., the management company, and loan-level data provided by the European DataWarehouse GmbH.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments for the three transactions. However, this did not impact the credit rating analysis in any case.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating actions on all three transactions took place on 28 March 2024, when Morningstar DBRS upgraded credit ratings on the Class B Notes of Prado VIII and Prado X to AA (sf), from AA (low) (sf) and A (high) (sf), respectively, and confirmed the rest of the credit ratings at their respective levels.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the respective Issuers are 1.0% and 7.8%, respectively, for Prado VIII; 1.1% and 12.9%, respectively, for Prado X; and 1.6% and 14.9%, respectively, for Green Prado XI.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Prado VIII
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class Z Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Prado X
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Green Prado XI
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Baran Cetin, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Dates: Prado VIII: 20 April 2021, Prado X: 14 March 2022, Green Prado XI: 23 March 2023

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- European RMBS Insight Methodology (28 February 2025) and European Asset RMBS Insight Model version 10.1.0.0,
https://dbrs.morningstar.com/research/449129

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.