Morningstar DBRS Confirms Credit Ratings on CaixaBank PYMES 13, FT

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AA (sf) and BB (sf) credit ratings on the Series A and Series B Notes (together, the Notes) issued by CaixaBank PYMES 13, FT (the Issuer).

The credit rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in April 2047. The credit rating on the Series B Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

The credit rating confirmations follow an annual review of the transaction and are based on the following analytical considerations:

-- The portfolio performance, in terms of the level of delinquencies and defaults, as of the October 2024 payment date
-- The one-year base-case probability of default (PD), as well as the lifetime default and recovery assumptions on the remaining pool of receivables, and
-- The current available credit enhancement to the Notes to cover the expected losses at their respective credit rating levels.

The transaction is a static cash flow securitisation collateralised by a portfolio of unsecured loans originated by CaixaBank, S.A. (CaixaBank) to small and medium-size enterprises and self-employed individuals based in Spain.

PORTFOLIO PERFORMANCE
As of the October 2024 payment date, loans two to three, and more than three months in arrears represented 0.01% and 0.73% of the current portfolio balance, respectively. Gross cumulative defaults amounted to 0.06% of the original collateral balance.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and maintained its one-year base-case PD assumption at 1.6%, as well as the recovery assumptions of 20.8% and 26.1% at AA (sf) and BB (sf) credit rating levels, respectively.

CREDIT ENHANCEMENT
As of the October 2024 payment date, the Series A Notes benefited from 23.0% credit enhancement through subordination of the Series B Notes and a reserve fund. The Series B Notes will benefit from the reserve fund as source of credit enhancement only once the Series A Notes are fully amortised. The Series B Notes interest and principal payments are subordinated to the interest and principal payments on the Series A Notes.

The transaction benefits from an amortising reserve fund, funded at 5.0% of the Notes' initial balance. The reserve fund will amortise subject to certain conditions and with target level of 5.0% of the outstanding balance of the Notes. As of the October 2024 payment date, the reserve fund was at its initial level of EUR 150.0mn.

CaixaBank acts as the account bank for the Issuer. Based on the account bank reference credit rating of A (high) on CaixaBank, which is one notch below its Morningstar DBRS Long Term Critical Obligations Rating of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transactions structures, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

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
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 Factors in Credit Ratings at: https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in its proprietary Excel-based cashflow engine.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: "Rating CLOs Backed by Loans to European SMEs" (18 September 2024), https://dbrs.morningstar.com/research/439574.

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

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include reports provided by CaixaBank Titulización, S.G.F.T., S.A.U. (management company), and loan-by-loan data from the European DataWarehouse GmbH.

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

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

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

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

The last credit rating action on this transaction took place on 15 November 2023, when Morningstar DBRS finalised its provisional ratings of AA (sf) and BB (sf) on the Series A and Series B Notes, respectively.

The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):
-- PD rates used: base-case PD of 1.6%, a 10% and 20% increase in the base-case PD.
-- Recovery rates used: base-case recovery rate of 20.8% at the AA (sf) credit rating level and 26.5% at BB (sf) stress levels, a 10% and 20% decrease in the base-case recovery rates.

Morningstar DBRS concludes that a hypothetical increase of the base-case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would each lead to a credit rating confirmation on the Series A Notes at AA (sf). A scenario combining both an increase in the PD by 20% and a decrease in the recovery rate by 20% would lead to a credit rating confirmation on the Series A Notes at AA (sf).

Morningstar DBRS concludes that a hypothetical increase of the base-case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would each lead to a credit rating confirmation on the Series B Notes at BB (sf). A scenario combining both an increase in the PD by 20% and a decrease in the recovery rate by 20% would lead to a credit rating confirmation on the Series B Notes at BB (sf).

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.
Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Carlos Silva, Senior Vice President
Initial Rating Date: 7 November 2023

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The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.
-- Rating CLOs Backed by Loans to European SMEs (18 September 2024) and SME Diversity Model 2.7.1.5, https://dbrs.morningstar.com/research/439574
-- Global Methodology for Rating CLOs and Corporate CDOs (19 September 2024),
https://dbrs.morningstar.com/research/439759
-- Master European Structured Finance Surveillance Methodology (6 August 2024), https://dbrs.morningstar.com/research/437540.
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

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