Press Release

DBRS Morningstar Discontinues Ratings on Two Caixabank Transactions

Structured Credit, Consumer Loans & Credit Cards

March 22, 2023

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on the respective Series A and Series B notes issued by Caixabank Consumo 3 F.T. and CaixaBank PYMES 9, FT.

The discontinuations reflect the full repayment of the Series A and Series B notes of Caixabank Consumo 3 F.T. on the 21 March 2023 payment date and the full repayment of the Series A and Series B Notes of CaixaBank PYMES 9, FT on the 21 March 2023 payment date. Prior to their repayment in full, the ratings and outstanding principal balances of the notes were as follows:

Caixabank Consumo 3 F.T.:
-- Series A notes rated AA (high) (sf); EUR 93,841,845.30
-- Series B notes rated CC (sf); EUR 171,500,000.00

CaixaBank PYMES 9, FT:
-- Series A Notes rated AA (high) (sf); EUR 50,341,667.20
-- Series B Notes rated CCC (high) (sf); EUR 222,000,000.00

Please refer to https://www.dbrsmorningstar.com/issuers/22636 and https://www.dbrsmorningstar.com/issuers/22864 for more information.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
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: https://www.dbrsmorningstar.com/research/396929.

Notes:
All figures are in euros unless otherwise noted.

For CaixaBank PYMES 9, FT, the principal methodology applicable to the ratings is “Rating CLOs Backed by Loans to European SMEs” (10 June 2022), https://www.dbrsmorningstar.com/research/398252/rating-clos-backed-by-loans-to-european-smes. For Caixabank Consumo 3 F.T., the principal methodology applicable to the ratings is “Master European Structured Finance Surveillance Methodology” (7 February 2023), https://www.dbrsmorningstar.com/research/409485/master-european-structured-finance-surveillance-methodology.

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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: https://www.dbrsmorningstar.com/research/401817/global-methodology-for-rating-sovereign-governments.

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: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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 3 F.T. took place on 18 July 2022, when DBRS Morningstar confirmed its ratings on the Series A and Series B notes at AA (high) (sf) and CC (sf), respectively. The last rating action on CaixaBank PYMES 9, FT took place on 17 August 2022, when DBRS Morningstar confirmed its ratings on the Series A and Series B Notes at AA (high) (sf) and CCC (high) (sf), respectively.

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

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: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

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

Lead Analyst (Caixabank Consumo 3 F.T.): Daniel Rakhamimov, Assistant Vice President
Lead Analyst (CaixaBank PYMES 9, FT:): Helvia Meana, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 18 July 2017 (Caixabank Consumo 3 F.T.), 21 November 2017 (CaixaBank PYMES 9, FT)

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: http://www.dbrsmorningstar.com/about/methodologies.

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

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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