Medvida Partners de Seguros y Reaseguros, S.A. (Sociedad Unipersonal) is selling Jeronimo Funding DAC (Jeronimo), a static residential mortgage securitization of predominantly collateralized by restructured and re-performing mortgage loans (RPL) that will raise € 305.9 million ($315.6 million), according to Kroll Bond Rating Agency (KBRA).
Up to 68% of the portfolio were restructured, according to KBRA. The predominant restructure type used is a grace period with term extension that allows borrowers to pay interest-only. KBRA currently has applied an increased probability of default assumption, since as of the pool cut-off date, 0.9% of the loans are currently in the grace period, and these borrowers will likely face payment shock if interest rates increase.
The transaction features Class A, B, C, D, E, F, Z, tranches supported by a closing collateral balance of over €305.9 million at the portfolio-cut-off date of October 31, 2024. The Spanish RMBS portfolio has a positive pay rate bond issued by experienced Spanish RPL Servicer Jeronimo Funding.
KBRA assigns AAA to the class A notes; AA to the class B tranche; A to the class C notes; BBB to the class D notes; BB to the class E notes and B to the F tranche.
The transaction has an un-hedged risk basis, a strictly sequential notes' payment priority, and benefits from a fully funded reserve account, among other elements that provide liquidity support, the rating agency said. Part of class Z (€41.3 million) of these collateralized notes will fund the reserve funds.
The transaction closes this month, with first interest payment date (IPD) due on April 25, 2025. The interest margin on the notes will increase in April 2028. The first optional redemption date (FORD) is on April 25, 2028, providing liquidity and credit support for rated notes for 3.3 years after issuance.
The legal final maturity date is October 25, 2064 marking a 39.8 years term and features a Principal Deficiency Ledger (PDL) to provision for loans in deep arrears. Yet half of the collateral matures before August 19, 2040, and up to 100% matures before June 18, 2064.
The collateral consists of 5,496 residential mortgage loans on properties spread across 10 Spanish regions, of which up to 53.6% are located in Andalucia, while Castilla-y-Leon represents 13.9% of the total and the second largest share by region.
Unicaja, SPain's fifth-largest bank, originated 68% of the RMBS loans in the current portfolio balance. It serves as the primary special servicer for the Jeronimo portfolio, focusing on early arrears management and day-to-day collections. Pepper Spain Servicing serves as the special servicer in Jeronimo.
Facilitator CSC Finance Holding Ireland serves as back-up Servicer and provides corporate services. Citigroup Global Markets Limited is the arranger and lead manager, and Citibank Europe plc as interest rate cap provider.
