KBRA Affirms Ratings for Clavel Residential 3 DAC
28 Jul 2025 | Dublin
KBRA Europe (KBRA) has completed a surveillance review of Clavel Residential 3 DAC (Clavel 3), resulting in the affirmation of all outstanding ratings. The rating actions reflect an increase in credit enhancement across all rated notes, offset by elevated arrears levels in the underlying portfolio.
Clavel 3 is a static RMBS securitisation collateralised by an original €682.6 million portfolio of seasoned predominantly first lien mortgages secured by mainly owner occupied properties in Spain. The portfolio includes loans originated by various originators with Banco Santander, S.A. and Banco Bilbao Vizcaya Argentaria, S.A as the lenders of record on the loans.
As of March 2025, the portfolio balance has amortised down to a pool factor of 0.84 and stands at €575.0 million, driven by scheduled repayments and a prepayment rate of 6.1%. Credit enhancement for all rated classes has increased since closing, supported by the transaction’s fully sequential principal payment structure and combined waterfall. Cumulative losses stand at €3.1 million, and no drawings have been made on the Class A or Class B liquidity reserve funds, both of which are at their target levels. The interest subordination tests remain in compliance with their respective triggers.
The proportion of loans in arrears greater than one month have reduced to 29.6% from 31.7% in March 2024, with loans over three months in arrears increasing from 21.1% to 22.5% in the same period. Although the level of arrears have substantially increased from that at closing, the rate of increase in delinquencies has stabilised in recent months, aided by a declining interest rate environment. Indexed weighted average current loan-to-value stands at 55.9% from 64.2% at closing.
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