Morningstar DBRS Comments on No Impact to Cajasur Banco, S.A. Covered Bonds’ Credit Ratings Following Issuer Upgrade

DBRS Ratings GmbH (Morningstar DBRS) notes that its AA (high) credit ratings on the Covered Bonds (CB) issued under the Cajasur Banco, S.A. Covered Bonds (Cédulas Hipotecarias - Mortgages) (the programme) remain unchanged following Morningstar DBRS’ credit rating upgrades on Cajasur Banco, S.A. (Cajasur or the Issuer).

On 19 January 2024, Morningstar DBRS upgraded its Long-Term Issuer Rating (LTIR) on the Issuer to “A” from A (low). For more information, please see the relevant press release at https://dbrs.morningstar.com/research/426908.

The CB Attachment Point (CBAP) for the programmes is the LTIR plus one notch, now A (high) from previous “A”. The Legal and Structuring Framework (LSF) Assessment remains at “Strong” for the programme.

The LSF Implied Likelihood (LSF-L) with the previous Cover Pool Credit Assessment (CPCA) of BBB is AA (low), which is the current one. As the LSF-L is still AA (low), and two notches for high recovery prospects can still be granted on top of it, the upgrade on the CBAP did not trigger an upgrade on the CB credit ratings, which remain at AA (high).

For further information on the Programme, please refer to the rating report at www.dbrs.morningstar.com.

Morningstar DBRS’ credit rating on the Issuer's covered bond series addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Principal Balance.

Morningstar DBRS’ credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

Credit rating actions on the Issuer are likely to have an impact on this credit rating.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the “Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” (23 January 2024) at https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is “Global Methodology for Rating and Monitoring Covered Bonds” (8 May 2023), https://www.dbrsmorningstar.com/research/413651.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://dbrs.morningstar.com/research/421590.

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