KBRA affirms Clavel Residential 4 DAC ratings on Spanish RMBS
A surveillance review of Clavel Residential 4 DAC leaves all outstanding ratings unchanged, reflecting sufficient credit enhancement for the securitisation. The Spanish residential mortgage-backed securities transaction includes a seasoned pool of mostly first-lien owner-occupied home loans and runs to a final maturity in October 2066.
Highlights
- KBRA Europe affirms all outstanding ratings on Clavel Residential 4 DAC following a surveillance review, citing sufficient existing credit enhancement.
- The Clavel 4 RMBS portfolio totals €554.6 million, down from €606.3 million, mainly comprising 92.6% owner-occupied Spanish residential mortgages with 15.8 years seasoning.
- Santander services 69.1% of the loans, BBVA 27.7%, and CaixaBank 3.2%, with the transaction's first optional redemption and step-up date set for October 2028.
Surveillance review and transaction profile
As reported by KBRA, citing Kroll Bond Rating Agency, KBRA Europe completed its surveillance review of Clavel Residential 4 DAC and affirms all outstanding ratings after concluding that existing credit enhancement remains sufficient to support the rating actions.Clavel 4 is a static RMBS securitisation backed by mortgage participations and mortgage transfer certificates tied to the economic rights to receive principal and revenue payments from underlying Spanish mortgage loans. The portfolio totals 554.6 million euros, compared with an original balance of 606.3 million euros, and consists predominantly of first-lien residential mortgages.
The collateral is primarily secured by owner-occupied residential properties, which account for 92.6% of the pool, followed by second homes at 2.5%. The portfolio has a weighted average seasoning of 15.8 years and a weighted average remaining term of 19.6 years.
Servicing structure and market significance
The lenders of record and master servicers are Santander, with 69.1% of the loans, Banco Bilbao Vizcaya Argentaria, S.A., with 27.7%, and CaixaBank, S.A., with 3.2%. Anticipa Real Estate, S.L.U. and Solvia Servicios Inmobiliarios, S.A.U. act as special servicers for the transaction.The transaction closed in October 2025 and carries a first optional redemption date and step-up date in October 2028. The affirmation indicates performance remains in line with the structure's current rating assumptions for the Spanish mortgage-backed securities market.
In our previous coverage of Europe’s uneven growth outlook and credit conditions, we noted that the IMF’s latest forecasts pointed to improving prospects in Germany and the UK, continued relative strength in Spain, and weaker momentum in France. We also highlighted how persistent inflation risks, tight fiscal constraints, and shifting trade dynamics can shape borrowing conditions and investor sentiment across European credit markets.
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