DBRS Assigns Provisional Ratings to Caixabank Consumo 4 FT

DBRS Ratings Limited (DBRS) assigned provisional ratings to the following notes to be issued by Caixabank Consumo 4 FT (the Issuer):

-- AA (low) (sf) to the Class A Notes
-- BB (high) (sf) to the Class B Notes

The Issuer is expected to be a static securitisation of unsecured consumer loans originated by CaixaBank, S.A. (CaixaBank or the originator). At the closing of the transaction, the Issuer will use the proceeds of the Class A and Class B notes to fund the purchase of the unsecured consumer loans from the seller, CaixaBank. CaixaBank will also be the servicer of the portfolio. In addition, CaixaBank will provide separate subordinated loans to fund the initial expenses and the reserve fund. The securitisation will take place in the form of a fund, in accordance with Spanish Securitisation Law.

The rating of the Class A Notes addresses the timely payment of interest and ultimate repayment of principal before the final maturity date. The rating of the Class B Notes addresses the ultimate payment of interest and ultimate repayment of principal before the final maturity date.

The ratings are based on DBRS’s review of the following analytical considerations:

-- The transaction’s capital structure and the form and sufficiency of available credit enhancement in the form of (1) subordination, (2) reserve fund and (3) excess spread.
-- Credit enhancement levels are sufficient to support DBRS’s projected expected cumulative loss assumptions under various stressed cash flow assumptions for the notes;
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents;
-- The originator and servicer’s financial strength and capabilities with respect to originations, underwriting, servicing and financial strength;
-- DBRS conducted an operational risk review at CaixaBank’s premises in Barcelona and deems it an acceptable originator and servicer;
-- The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral;
-- The sovereign rating of the Kingdom of Spain, currently at “A”; and
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The above-mentioned ratings are provisional; the ratings will be finalised upon receipt of execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Class A and the Class B Notes.

The transaction cash flow structure was analysed with Intex Deal Maker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating European Consumer and Commercial Asset-Backed Securitisations”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include Caixabank S.A, and Caixabank Titulización SGFT, S.A.

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

DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

These ratings concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument.

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- Probability of Default Rate (PD): Base Case of 6.8%, a 25% and 50% increase on the base case PD.
-- Loss Given Default (LGD): Base Case of 66.5%, a 25% and 50% increase in the base case LGD.

DBRS concludes that for the Class A Notes:
-- A hypothetical increase of the PDR of 25%, ceteris paribus, would lead to a downgrade to A (sf).
-- A hypothetical increase of the PDR of 50%, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- A hypothetical increase of the LGD of 25%, ceteris paribus, would lead to a downgrade to A (sf).
-- A hypothetical increase of the LGD of 50%, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- A hypothetical increase of the PDR of 25% and LGD by 25%, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- A hypothetical increase of the PDR of 25% and LGD by 50%, ceteris paribus, would lead to a downgrade to BBB (sf).
-- A hypothetical increase of the PDR of 50% and LGD by 25%, would lead to a downgrade to BBB (sf).
-- A hypothetical increase of the PDR of 50% and LGD by 50%, ceteris paribus, would lead to a downgrade to BB (high) (sf).

DBRS concludes that for the Class B Notes:
-- A hypothetical increase of the PDR of 25%, ceteris paribus, would not lead to a change in the rating on the Class B Notes.
-- A hypothetical increase of the PDR of 50%, ceteris paribus, would lead to a downgrade to BB (sf).
-- A hypothetical increase of the LGD of 25%, ceteris paribus, would not lead to a change in the rating on the Class B Notes.
-- A hypothetical increase of the LGD of 50%, ceteris paribus, would lead to a downgrade to BB (sf).
-- A hypothetical increase of the PDR of 25% and LGD by 25%, ceteris paribus, would lead to a downgrade to BB (low) (sf).
-- A hypothetical increase of the PDR of 25% and LGD by 50%, ceteris paribus, would lead to a downgrade to B (high) (sf).
-- A hypothetical increase of the PDR of 50% and LGD by 25%, would lead to a downgrade to B (high) (sf).
-- A hypothetical increase of the PDR of 50% and LGD by 50%, ceteris paribus, would lead to a downgrade to B (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Belen Bulnes, Senior Financial Analyst
Rating Committee Chair: Chuck Weilamann, Head of US ABS, Global Structured Finance
Initial Rating Date: 25 May 2018

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.