Press Release

DBRS Morningstar Upgrades Rating of Cajasur Banco S.A. Cédulas Hipotecarias to AA (high)

Covered Bonds
July 08, 2022

DBRS Ratings GmbH (DBRS Morningstar) upgraded to AA (high) from AA its rating of the Cédulas Hipotecarias (CH; the Spanish Mortgage Covered Bonds) with ISIN ES0413464027 issued under the Cajasur Banco S.A. Covered Bonds (Cédulas Hipotecarias - Mortgages) programme (the Programme). This rating action follows the completion of a full review of the Programme.

As of today, there were four series of CH under the Programme, totalling an outstanding nominal amount of EUR 2.0 billion. All CH series issued under the Programme rank pari passu with each other.

The rating reflects the following analytical considerations:

-- A Covered Bonds Attachment Point (CBAP) reflective of the likelihood that the source of payments will switch from the Reference Entity to the Cover Pool (CP). Cajasur Banco S.A. (Cajasur) is the Issuer and Reference Entity for the Programme. There is no Critical Obligations Rating associated with the Reference Entity and DBRS Morningstar classifies Spain as a jurisdiction in which covered bonds are a particularly important funding instrument.

-- A legal and structuring framework (LSF) assessment of “Strong” associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of BBB, which is the lowest CPCA in line with the LSF-Implied Likelihood (LSF-L).
-- An LSF-L of AA (low).
-- A two-notch uplift for high recovery prospects.
-- A level of overcollateralisation (OC) of 27.3% to which DBRS Morningstar gives credit, which is the minimum observed OC level during the past 12 months adjusted by a scaling factor of 0.85.
-- The sovereign rating of the Kingdom of Spain, rated ‘A’ with a Stable trend by DBRS Morningstar, as of the date of this rating action.

DBRS Morningstar analysed the transaction using its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses, and market value spreads to calculate liquidation values on the CP.

Everything else being equal, a one-notch downgrade of the CBAP would lead to a one-notch downgrade of the LSF-L, resulting in a one-notch downgrade of the covered bonds rating.

In addition, everything else being equal, the CH ratings would be downgraded if any of the following occured: (1) the CPCA was downgraded below BBB; (2) the sovereign rating of the Kingdom of Spain was downgraded below A (low); (3) the LSF assessment associated with the Programme was downgraded to “Average” or below; (4) the quality of the CP and the level of OC were no longer sufficient to support a two-notch uplift for high recovery prospects; (5) the relative amortisation profile of the CH and CP moved adversely; or (6) volatility in the financial markets caused the currently estimated market value spreads to increase.

This upgrade reflects the higher quality of the CP, registered pursuant to the new Spanish CB law effective from 8 July 2022, and the change to “Strong” from “Average” of the LSF assessment, as described in the “Spanish Covered Bonds: Legal and Structuring Framework Review” commentary published on 8 July 2022.

The total amount of CH currently outstanding under the programme is EUR 2.0 billion. As at 30 June 2022, the aggregate balance of the mortgages in the CP was EUR 2.7 billion, resulting in a total OC of 32.1%.

As of May 2022, the registered CP comprised residential mortgage loans with a weighted-average current unindexed loan-to-value ratio of 62.1%. The pool is concentrated in Andalusia (98.6%), Cajasur’s main area of business activity. The pool has a seasoning of 4.7 years.

About half of the CP (51.0%) pays a fixed rate, while 26.2% of the liabilities pay a fixed coupon. As is usual in Spanish CH, there are no swaps for the benefit of the CH holders. This has been accounted for in DBRS Morningstar’s cash flow analysis.

The weighted-average life of the assets is approximately 13 years, while that of the covered bonds is about 3.7 years. The resulting asset-liability maturity mismatch is mitigated by the available OC.

All assets and liabilities are denominated in euros. As such, investors are not currently exposed to any foreign-exchange risk.

DBRS Morningstar has assessed the LSF related to the Programme as “Strong” according to its rating methodology. For more information, please refer to the DBRS Morningstar’s “Spanish Mortgage Covered Bonds: Legal and Structuring Framework Review” commentary, which is available at

There were no Environmental, Social, or Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating and Monitoring Covered Bonds” (22 April 2022).

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

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The sources of data and information used for this rating include stratification tables on the CP as at 31 May 2022 provided by Cajasur.

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

At the time of the initial ratings, DBRS Morningstar was not 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 this rating 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 last rating action on this transaction took place on 16 July 2021, when DBRS Morningstar confirmed its AA rating of the CH ES0413464027.

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

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Antonio Laudani, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 19 July 2019

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana, 81
Plantas 26 & 27
28046 Madrid
Tel. +34 (91) 903 6500

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

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating and Monitoring Covered Bonds (22 April 2022),
-- Rating and Monitoring Covered Bonds Addendum: Market Value Spreads (22 April 2022),
-- Global Methodology for Rating Banks and Banking Organisations (23 June 2022),
-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
-- European RMBS Insight Methodology (28 March 2022) and European RMBS Insight Model v.,
-- European RMBS Insight: Spanish Addendum (26 April 2022),
-- Operational Risk Assessment for European Structured Finance Originators (16 September 2021),
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021),
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
-- Global Methodology for Rating Sovereign Governments (9 July 2021),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),

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 this credit or on this industry, visit or contact us at [email protected].