Press Release

DBRS Morningstar Places Ratings on CaixaBank PYMES 11, FT Under Review with Negative Implications

Structured Credit
July 02, 2020

DBRS Ratings GmbH (DBRS Morningstar) placed its ratings of the following notes issued by CaixaBank PYMES 11, FT (the Issuer) Under Review with Negative Implications:

--Series A Notes rated AA (low) (sf)
--Series B Notes rated B (sf)

The rating of the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal maturity date in April 2052. The rating of the Series B Notes addresses the ultimate payment of interest and principal on or before the legal maturity date.

CaixaBank PYMES 11, FT is a cash flow securitisation collateralised by a portfolio of secured and unsecured loans and drawdowns of secured lines of credit originated and serviced by CaixaBank, S.A. (CaixaBank) to corporates, small and medium-sized enterprises, and self-employed individuals in Spain. The transaction closed in November 2019.

On 18 May 2020, DBRS Morningstar published a commentary outlining how the coronavirus crisis is likely to affect DBRS Morningstar-rated Structured Credit transactions in Europe. For more details, please see: and, where DBRS Morningstar discussed the overall risk exposure of the Structured Credit sector to the coronavirus and provided a framework for identifying the transactions that are more at risk and likely to be affected by the fallout of the pandemic on the economy. For this transaction, DBRS Morningstar identified a high exposure to industry sectors considered as “Mid-high” or “High” risk due to the coronavirus disruption and anticipates increased expected default rates for obligors in those industries based on their perceived exposure to the adverse disruption of the coronavirus. Given the low seasoning of the transaction with no time to build much additional credit enhancement, the expected increase in default rates could constraint the current ratings.

DBRS Morningstar typically endeavours to resolve the status of ratings Under Review with Negative Implications as soon as appropriate. If heightened market uncertainty and volatility persist, DBRS Morningstar may extend the Under Review status for a longer period of time.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were updated on 1 June 2020. For details see the following commentaries: and DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced reports.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:


A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating CLOs Backed by Loans to European SMEs” (8 July 2019).

DBRS Morningstar is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

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

These may be found at:

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 “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for these ratings include investor reports provided by the Management Company, CaixaBank Titulización, S.G.F.T., S.A.U., and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

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

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

The latest rating action on this transaction took place on 27 November 2019, when DBRS Morningstar finalised its provisional ratings on the Series A and B Notes.

The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

Ratings are Under Review with the Negative Implications designation. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. If heightened market uncertainty and volatility persist, DBRS Morningstar may extend the Under Review status for a longer period of time. Sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and U.S. regulations only.

Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Carlos Silva, Senior Vice President
Initial Rating Date: 21 November 2019

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at:

-- Rating CLOs Backed by Loans to European SMEs and DBRS Morningstar SME Diversity Model 2.4 (8 July 2019),
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019),
-- Cash Flow Assumptions for Corporate Credit Securitizations (28 February 2020),
-- Rating CLOs and CDOs of Large Corporate Credit (28 February 2020),
-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
-- Master European Structured Finance Surveillance Methodology (22 April 2020),
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020),
-- European RMBS Insight: Spanish Addendum (10 July 2019),
-- European RMBS Insight Methodology (2 April 2020),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on these credits or on this industry, visit or contact us at