Morningstar DBRS Assigns Provisional Credit Ratings to PRPM Fundido 2025-1 DAC

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by PRPM Fundido 2025-1 DAC (the Issuer):

-- Class A notes at (P) AAA (sf)
-- Class B notes at (P) A (high) (sf)
-- Class C notes at (P) A (sf)
-- Class D notes at (P) BBB (high) (sf)
-- Class E notes at (P) BB (high) (sf)

The provisional credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date. The provisional credit ratings on the Class B to Class E notes (together with the Class A notes, the Rated Notes) address the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. Morningstar DBRS does not rate the Class F notes (together with the Rated Notes, the Notes) also expected to be issued in this transaction.

CREDIT RATING RATIONALE

The provisional credit rating is based on the following analytical considerations:

The transaction entails the issuance of Class A, Class B, Class C, Class D, Class E and Class F Notes (collectively, the Notes) ultimately backed by a portfolio of mainly reperforming Spanish residential mortgage loans originated by Banco de Sabadell S.A (Sabadell), Grupo Cooperativo Cajamar (Cajamar) and Abanca Corporación Bancaria S.A (Abanca and, together with Sabadell and Cajamar, the Original Sellers). The Issuer is a bankruptcy-remote special-purpose vehicle (SPV) incorporated in Ireland. The Issuer will use the proceeds from the issuance of the Notes to purchase all the bonds (the Fondo de Titulización Bonds or FT Bonds) issued by an SPV established in Spain, called FT Casa VI (the Fund). The FT Bonds are backed by unitranche mortgage certificates (participaciones hipotecarias or certificados de transmisión de hipoteca) issued by each of Sabadell, Cajamar and Abanca (the Mortgage Certificates).

The seller is InSolve Europe SCA SICAV-RAIF (the Seller), an investment company established in Luxembourg with a variable capital reserved alternative investment fund which acquired the mortgage certificates from the Original Sellers. The Seller initially purchased the Mortgage Certificates in its own name and then resold them to the Fund, which in turn issued the FT Bonds.

The Original Sellers will act as the primary servicers of the portfolio, while Pepper Spanish Servicing, S.L.U. (Pepper) will act as the master servicer. In addition, Pepper will act as special servicer managing loans in arrears for more than 3, 62 and 150 days for Sabadell, Cajamar and Abanca, respectively. Shellbrook Investment, S.L. will perform the role of asset manager aiming at increasing recovery from the underlying collateral, with oversight from the master servicer.

Morningstar DBRS calculated credit enhancement for the Class A notes at 44.5%, provided by the subordination of the Class B to Class F notes. Credit enhancement for the Class B notes will be 35.5%, provided by the subordination of the Class C to Class F notes. Credit enhancement for the Class C notes will be 32.5%, provided by the subordination of the Class D to Class F notes. Credit enhancement for the Class D notes will be 29.0%, provided by the subordination of the Class E to Class F notes. Credit enhancement for the Class E notes will be 23.5%, provided by the subordination of the Class F notes.

The Rated Notes are paid sequentially up to a Target Amortisation Amount, equal to the sum of Class A to F Notes balance less the Performing Collateral Balance (floored at zero), allowing for the build-up in credit enhancement over time as the Rated Notes amortise.

Furthermore, interest payable on the Class B to E Notes shall be subordinated upon reaching the corresponding cumulative default thresholds, being 50.0%, 40.0%, 35.0% and 30.0% for Class B, Class C, Class D and Class E Notes respectively. The deferred interest does not become due and payable immediately when the notes become most senior. Any amounts of deferred interest in respect of these notes shall not accrue interest.

The transaction will benefit from a Liquidity Reserve Fund (LRF), funded at closing from the notes proceeds at 3.0% of the Class A Notes balance, with floor at 0.75% of the original Class A notes balance. The LRF will cover senior expenses and provide liquidity support to the Class A Notes in case of interest shortfall, and to Class B notes interest shortfall when the most senior. In addition, the LRF will also be available to cover REOCo related operations as well as for purchases of accelerated mortgage loans, in accordance with the transaction documents.

The Rated Notes will pay interest linked to three-month Euribor on a quarterly basis. Following the payment date in April 2028 (the step-up date), the margins payable on the Rated Notes will increase. Goldman Sachs International will provide an interest rate cap with a strike rate of 2.3% and a notional that varies over time. Morningstar DBRS concluded that Goldman Sachs International meets its minimum criteria to act in such capacity. The transaction contains downgrade provisions relating to the interest rate cap provider. Morningstar DBRS's private rating on Goldman Sachs International and downgrade provisions are consistent with Morningstar DBRS' criteria, given the ratings assigned to the notes.

Mortgage loan collections will be transferred by the Original Sellers to an account in the Fund's name at Banco Santander, SA on a frequent basis. On a monthly basis, before each Interest Payment Date, such amounts will be paid to the Issuer Transaction Account through repayment of the FT Bonds. Morningstar DBRS's rating on Banco Santander and downgrade provisions are consistent with the threshold for the account bank as outlined in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the Rated Notes.

U.S. Bank Europe DAC (U.S. Bank) is the account bank, custodian, and paying agent for this transaction. Morningstar DBRS's private rating on U.S. Bank and downgrade provisions are consistent with the threshold for the account bank as outlined in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the Rated Notes.

Morningstar DBRS was provided with a mortgage portfolio equal to EUR 392.6 million as of 31 December 2024 (the cut-off date), which consisted of 4,938 mortgage loans mainly granted to individuals. Of the portfolio balance, 72.8% of the loans were restructured while, as of the cut-off date, 33.5% were performing, 14.1% were no more than one month in arrears, 14.1% were between one and three months in arrears, 19.8% were between three and 12 months in arrears, and 18.5% were more than 12 months in arrears. Loans representing 6.3% of the total amount are currently in their grace period, with deferred principal payments, while 5.1% are loans whose borrowers are under the Spanish code of good practices. Morningstar DBRS considered these in its assessment. Morningstar DBRS assessed the historical performance of the mortgage loans and selected a portfolio score of "Low" in its European RMBS Insight Model.

The weighted-average (WA) seasoning of the portfolio as of the cut-off date is 13.5 years whereas the WA remaining term is 18.1 years. The WA original loan-to-value (LTV) ratio stands at 80.1%, while considering the updated valuations, the WA current LTV is 77.0%. Moreover, 87.6% of the portfolio comprises floating-rate loans, mainly linked to 12-month Euribor or other Spanish indices. The remaining portfolio comprises fixed-rate loans (8.3%) and mixed loans (4.1%). The notes to be issued are floating rate linked to three-month Euribor and any basis risk mismatch will remain unhedged. Morningstar DBRS took basis risk into account in its cash flow analysis.

The final maturity of the transaction is April 2075.

Morningstar DBRS' credit ratings on the Class A, Class B, Class C, Class D and Class E notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balances.

Morningstar DBRS' credit ratings on the Class A, Class B, Class C, Class D and Class E notes also address the credit risk associated with the increased rate of interest applicable to the Class A to E notes on the step-up date in accordance with the applicable transaction documents.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

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 Environmental/Social/Governance factors that had a significant or relevant effect 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 (13 August 2024] https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: European RMBS Insight Methodology (28 February 2025) https://dbrs.morningstar.com/research/449129.

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

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

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 the seller and its representatives. Morningstar DBRS received a loan-by-loan data tape as of 31 December 2024 (the cut-off date) as well as historical monthly data covering principal undue, total balance overdue, principal due, interest due, collection received and days past due (DPD), spanning a period between 2019 to 2024.

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

Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

These credit ratings concern expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

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 rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

-- In respect of the Class A notes, a Probability of Default Rate (PDR) of 73.5% and LGD of 49.0%, corresponding to the AAA (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class B notes, a PDR of 66.7% and LGD of 40.9%, corresponding to the A (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class C notes, a PDR of 65.8% and LGD of 40.1%, corresponding to the A (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class D notes, a PDR of 60.1% and LGD of 33.3%, corresponding to the BBB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class E notes, a PDR of 51.1% and LGD of 31.0%, corresponding to the BB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.

Class A notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (low) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).

Class B notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to B (high) (sf).

Class C notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to B (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (low) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to B (sf).

Class D notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (low) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to B (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to B (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to B (low) (sf).

Class E notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to B (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to B (low) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (low) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to B (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to B (low) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to CCC (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to CCC (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to CCC (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: Alberto Cruces de la Rosa, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 8 April 2025

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81, Plantas 26 & 27
28046 Madrid, Spain
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
Neue Mainzer Straße 75
D-60311 Frankfurt am Main
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259]

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

-- European RMBS Insight Methodology (28 February 2025) and European RMBS Insight model v 10.1.0.0
https://dbrs.morningstar.com/research/449129.
-- Rating European Nonperforming and Reperforming Loans Securitisations (19 November 2024)
https://dbrs.morningstar.com/research/443201
-- Rating European Structured Finance Transactions Methodology (19 November 2024)
https://dbrs.morningstar.com/research/443199.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913.
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024)
https://dbrs.morningstar.com/research/443196.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024)
https://dbrs.morningstar.com/research/439571.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781.

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.