Kroll Bond Rating Agency, LLC: KBRA Assigns Preliminary Ratings to Jeronimo Funding DAC

KBRA Europe (KBRA) assigns preliminary ratings to six classes of notes issued by Jeronimo Funding DAC, a static RMBS securitisation predominantly collateralised by restructured and reperforming mortgage loans (RPL) secured by properties located in Spain.

The underlying collateral consists of a €305.9 million portfolio of seasoned predominantly first lien performing and re-performing mortgages that are secured by owner occupied (91.4%), second or holiday homes (4.2%) and non-residential properties (4.4%) located in Spain. The majority of the loans in the portfolio were originated by Unicaja Banco, S.A. (Unicaja, 68.0%), Liberbank SA (now part of Unicaja, 18.8%), Banco CEISS (9.7%) and other Spanish banks, now part of Unicaja (3.5%).

Unicaja will be the lender of record to the loans and will be the primary servicer with Pepper Spanish Servicing, S.L.U. (Pepper) performing the role of special servicer.

The notes' payment priority is strictly sequential. The notes also benefit from a fully funded reserve account that provides liquidity support.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

• RMBS: European RMBS Rating Methodology
• RMBS: European RMBS Rating Methodology Country Addendum: Spain
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency UK Limited for use in the UK. Information on a credit rating's endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA's Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

About KBRA Europe

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

Doc ID: 1007400

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Contacts:

Analytical Contacts

Karl Cummins, Senior Director (Lead Analyst)
[phone]
[e-mail]

Tomas Cruz, Associate
[phone]
[e-mail]

Kali Sirugudi, Managing Director
[phone]
[e-mail]

Jack Kahan, Senior Managing Director, Global Head of ABS RMBS (Rating Committee Chair)
[phone]
[e-mail]

Business Development Contacts

Mauricio Noé, Co-Head of Europe
[phone]
[e-mail]

Miten Amin, Managing Director
[phone]
[e-mail]