Press Release

DBRS Morningstar Discontinues Ratings on Two Caixabank Consumo Transactions

Consumer Loans & Credit Cards
January 24, 2023

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on the Series A and Series B notes issued by Caixabank Consumo 2 F.T. and the Class B Notes issued by Caixabank Consumo 4 F.T.

The discontinuations reflect the full repayment of the Series A and Series B notes of Caixabank Consumo 2 F.T. on the 20 January 2023 payment date and the full repayment of the Class B Notes of Caixabank Consumo 4 F.T. on the 23 January 2023 payment date. Prior to their repayment in full, the ratings and outstanding principal balances of the notes were as follows:

Caixabank Consumo 2 F.T.:
-- Series A notes rated AAA (sf); EUR 9,230,832.00
-- Series B notes rated A (sf); EUR 130,000,000.00

Caixabank Consumo 4 F.T.:
-- Class B Notes rated BB (high) (sf); EUR 132,779,492.80

Please refer to and for more information.

There were no Environmental/Social/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 ratings is the “Master European Structured Finance Surveillance Methodology” (21 December 2022),

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at:

In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

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:

The 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 these ratings include investor reports and liquidation notifications provided by CaixaBank Titulización, S.G.F.T., S.A.U.

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 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 last rating action on Caixabank Consumo 2 F.T. took place on 18 July 2022, when DBRS Morningstar upgraded its ratings on the Series A and Series B notes to AAA (sf) and A (sf) from AA (sf) and BBB (high) (sf), respectively. The last rating action on Caixabank Consumo 4 F.T. took place on 2 November 2022, when DBRS Morningstar discontinued its rating on the Class A Notes. At the time of the last annual review, on 3 March 2022, DBRS Morningstar upgraded its rating on the Class A Notes to AAA (sf) from AA (high) (sf) and confirmed its BB (high) (sf) rating on the Class B Notes.

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

As this is a discontinued-repaid rating action, 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: 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: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 20 June 2016 (Caixabank Consumo 2 F.T.), 25 May 2018 (Caixabank Consumo 4 F.T.)

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:

-- Master European Structured Finance Surveillance Methodology (21 December 2022),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022),
-- Rating European Structured Finance Transactions Methodology (15 July 2022),
-- 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 Servicers (15 September 2022),
-- Legal Criteria for European Structured Finance Transactions (22 July 2022),
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022),
-- 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 these credits or on this industry, visit or contact us at [email protected].