Morningstar DBRS Places the Credit Rating on ProSil Acquisition S.A. Under Review With Negative Implications

DBRS Ratings GmbH (Morningstar DBRS) placed its BB (sf) credit rating on the Class A notes issued by ProSil Acquisition S.A. (the Issuer) Under Review With Negative Implications.

The transaction represents the issuance of the Class A, Class B, Class J, and Class Z notes (collectively, the notes). The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the final legal maturity date. Morningstar DBRS does not rate the Class B, Class J, or Class Z notes.

The notes are collateralised by a pool of mostly secured Spanish nonperforming loans (NPLs) originated by Abanca Corporación Bancaria, S.A. and Abanca Corporación División Immobilaria S.L. ProSil Acquisition S.A., Cell Number 1, Cell Number 2, and Cell Number 3 (the transferor) sold the receivables to ProSil Acquisition S.A., Cell Number 5 (the Issuer). As of the closing date in March 2019, the gross book value of the loan pool was approximately EUR 494.7 million. Cortland Investors II S.à r.l. operates as sponsor and retention holder in the transaction and, over time, acquired the three portfolios that are part of the pool (Avia, Lor, and Sil). HipoGes Iberia S.L. (the Servicer) services the loans and manages the following Spanish property companies as at the closing date: Beautmoon Spain, S.L.; Osgood Invest, S.L.; Butepala Servicios y Gestiones S.L.; and Vetapana Servicios y Gestiones S.L.

CREDIT RATING RATIONALE
The credit rating action follows a review of the transaction and is based on the following analytical considerations:
-- Transaction performance: An assessment of portfolio recoveries as of December 2024 focusing on (1) a comparison of actual collections with the Servicer's initial business plan forecast, (2) the collections performance observed over recent months, and (3) a comparison of the current performance with Morningstar DBRS' expectations.
-- Updated business plan: The Servicer's updated business plan as of August 2024, received in April 2025, and the comparison with the initial collection expectations.
-- Portfolio characteristics: Loan pool composition as of December 2024 and the evolution of its core features since issuance.
-- Transaction liquidating structure: The order of priority entails a fully sequential amortisation of the notes (i.e., the Class B notes will begin to amortise following the full repayment of the Class A notes and the Class J notes will amortise following the full repayment of the Class B notes). Additionally, interest payments on the Class B notes become subordinated to principal payments on the Class A notes if the cumulative collection ratio or the net present value (NPV) cumulative profitability ratio are lower than 90%. This trigger has been breached since the April 2020 interest payment date. As per the December 2024 servicing report, the cumulative collection ratio was 47.7% and the NPV cumulative profitability ratio was 85.2%.
-- Liquidity support: The transaction benefits from an amortising cash reserve providing liquidity to the structure covering potential interest shortfalls on the Class A notes and senior fees. The cash reserve target amount is equal to 4.5% of the Class A notes' principal outstanding and is currently fully funded.

TRANSACTION AND PERFORMANCE
According to the latest investor report from January 2025, the outstanding principal amounts of the Class A, Class B, Class J, and Class Z notes were EUR 70.3 million, EUR 30.0 million, EUR 15.0 million, and EUR 16.0 million respectively. As of the January 2025 payment date, the balance of the Class A notes had amortised by 58.6% since issuance and the current aggregated transaction balance was EUR 131.3 million.

As of December 2024, the transaction was performing below the Servicer's initial business plan expectations. The actual cumulative gross collections equalled EUR 166.5 million, whereas the Servicer's initial business plan estimated cumulative gross collections of EUR 310.8 million for the same period. Therefore, as of December 2024, the transaction was underperforming by EUR 144.3 million (46.4%) compared with the initial business plan expectations.

At issuance, Morningstar DBRS estimated cumulative gross collections for the same period of EUR 155.5 million at the BBB (low) (sf) stressed scenario. Therefore, as of December 2024, the transaction was performing above Morningstar DBRS' initial stressed expectations.

Pursuant to the requirements set out in the receivable servicing agreement, in April 2025, the Servicer delivered an updated portfolio business plan as of August 2024.

The updated portfolio business plan, combined with the actual cumulative gross collections of EUR 156.6 million as of August 2024, results in a total of EUR 284.9 million, which is 12.4% lower than the total gross collections of EUR 325.3 million estimated in the initial business plan.

According to the provisions set out in the servicing agreement, a new updated business plan will be delivered by the end of April 2025.

The final maturity date of the transaction is 31 October 2039.

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 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 (13 August 2024) at 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 rating is :
-- Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080.

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.

Morningstar DBRS is undertaking a review and will remove the credit rating from this status as soon as it is appropriate.

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 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 this credit rating include the Issuer, the Servicer and US Bank, which comprise, in addition to the information received at issuance, the updated business plan from the Servicer as of August 2024, the investor report as of January 2025, and the quarterly servicer report as of December 2024.

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

At the time of the initial credit rating , 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 this credit rating 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 action on this transaction took place on 15 April 2024 when Morningstar DBRS confirmed its BB (sf) credit rating on the Class A notes and changed the trend to Negative from Stable.

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

This credit rating is Under Review with Negative Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period.

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.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: William Taliento, Assistant Vice President,
Rating Committee Chair: David Lautier, Senior Vice President,
Initial Rating Date: 10 July 2019

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

-- Rating European Nonperforming and Reperforming Loans Securitisations (11 April 2025),
https://dbrs.morningstar.com/research/451813
-- 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024),
https://dbrs.morningstar.com/research/439583
-- European RMBS Insight Methodology (28 February 2025),
https://dbrs.morningstar.com/research/449129
-- European CMBS Rating and Surveillance Methodology (4 March 2025),
https://dbrs.morningstar.com/research/449278
-- 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
-- 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.