Morningstar DBRS Confirms and Upgrades Credit Ratings on Three CaixaBank RMBS Transactions

DBRS Ratings GmbH (Morningstar DBRS) confirmed and upgraded the credit ratings on the notes issued by three CaixaBank RMBS transactions as follows:

CaixaBank RMBS 1, FT (CB1)
-- Class A Notes confirmed at AA (sf)
-- Class B Notes confirmed at A (low) (sf)

CaixaBank RMBS 2, FT (CB2)
-- Class A Notes confirmed at AA (sf)
-- Class B Notes confirmed at BB (high) (sf)

CaixaBank RMBS 3, FT (CB3)
-- Series A Notes confirmed at AA (sf)
-- Series B Notes upgraded to B (low) (sf) from CC (sf)

The credit ratings on the Class A Notes address the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date of each transaction. The credit ratings on the Class B Notes address the ultimate payment of interest and principal on or before the legal final maturity date of each transaction.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:

-- Portfolio performances, in terms of delinquencies, defaults, and losses, as of the December 2024 and January 2025 payment dates
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the outstanding collateral pools, and
-- The current available credit enhancement to the rated notes to cover the expected losses assumed at their respective credit rating levels.

All three transactions are securitisations of first-lien residential mortgage loans and first-lien multicredito (drawn credit lines) mortgages on properties in Spain originated and serviced by CaixaBank, S.A. (CaixaBank), that closed in February 2016 (CB1), March 2017 (CB2), and December 2017 (CB3).

PORTFOLIO PERFORMANCE
CB1: As of December 2024, loans more than 90 days in arrears increased to 2.0% of the outstanding performing portfolio collateral balance, up 1.6% at the previous annual review. The cumulative default ratio increased to 1.7% of the original portfolio balance from 1.6% in the same period.

CB2: As of January 2025, loans more than 90 days in arrears remained at 2.1% of the outstanding performing portfolio collateral balance. The cumulative default ratio increased to 1.7% of the original portfolio balance from 1.5% at the previous annual review.

CB3: As of December 2024, loans more than 90 days in arrears increased to 3.6% of the outstanding performing portfolio collateral balance, up from 3.1% at the previous annual review. The cumulative default ratio increased to 1.6% of the original portfolio balance from 1.3% in the same period.

PORTFOLIO ASUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis on the remaining receivables, considering updated multicredito balances, and updated its base case PD and LGD assumptions as follows:

-- CB1: 1.8% and 10.9%, respectively.
-- CB2: 1.9% and 10.0%, respectively.
-- CB3: 3.7% and 25.0%, respectively.

CREDIT ENHANCEMENT
CB1: as of the December 2024 payment date, credit enhancement to the Class A Notes was 30.8%, up from 26.6% one year ago.
CB2: as of the January 2025 payment date, credit enhancement to the Class A Notes was 26.7%, up from 24.4% one year ago.
CB3: as of the December 2024 payment date, credit enhancement to the Class A Notes was 25.9%, up from 23.1% one year ago.

All three transactions benefit from the reserve funds, which were funded at respective closing dates from the proceeds from subordinated loans provided by Caixabank. The reserve funds in all three transactions are available to cover senior fees and expenses and all interest and principal amounts due on the respective Class A Notes. Following the full repayment of the Class A Notes, the reserve funds will also cover interest and principal payments on the Class B Notes. Any amortised amounts will be released outside of the Priority of Payments and used to repay the subordinated loans used to fund the reserve funds.

CB1: the amortising reserve fund is currently at its target level of EUR 568.0 million, which is the minimum of 8.0% of the outstanding balance of the rated notes and 4.0% of their initial balance, subject to a floor of 2.0% of that initial balance. The reserve fund is currently not amortising due to an amortisation criterion not being met.

CB2: the reserve fund is currently amortising and is at its target level of EUR 82.1 million, which is the minimum of 6.0% of the outstanding balance of the rated notes and 4.75% of their initial balance.
CB3: the reserve fund is currently amortising and is at its target level of EUR 48.4 million, which is the 4.0% of the outstanding balance of the rated notes.

CaixaBank acts as the account bank for all three Issuers. Based on the account bank reference rating of AA (low) (sf) on CaixaBank, which is one notch below its Morningstar DBRS Long-Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction 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 applicable classes 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, GOVERNANCE CONSIDERATIONS
There were no Social/Environmental/Governance factors that had a significant or relevant impact 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 structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is "Master European Structured Finance Surveillance Methodology" (4 February 2025), https://dbrs.morningstar.com/research/447080.

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

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

A review of the transactions' legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating actions.

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 and information provided by the Management Company, CaixaBank Titulización, Sociedad Gestora de Fondos de Titulización, Sociedad Anonima Unipersonal, and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial 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 purpose 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 actions on the CB1 and CB2 transactions took place on 16 February 2024, when Morningstar DBRS confirmed its credit ratings on the Class A and Class B Notes at AA (sf) and A (low) (sf), respectively for CB1, and confirmed its credit ratings on the Class A and Class B Notes at AA (sf) and BB (high) (sf), respectively for CB2. The last credit rating actions on the CB3 took place on 22 October 2024, when Morningstar DBRS confirmed its credit ratings on the Class A and Class B Notes at AA (sf) and CC (sf), 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's 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):
-- Morningstar DBRS expected a lifetime base case PD and LGD of the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit rating.
-- The base case PD and LGD assumptions for the collateral pools are following: CB1: 1.8% and 10.9%, respectively; CB2: 1.9% and 10.0%, respectively; CB3: 3.7% and 25.0%, respectively.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumptions.

CB2:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD, expected credit rating of A (low) (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)

CB2:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating below BB (high) (sf)
-- 50% increase in LGD, expected credit rating below BB (high) (sf)
-- 25% increase in PD, expected credit rating below BB (high) (sf)
-- 50% increase in PD, expected credit rating below BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating below BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating below BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating below BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating below BB (high) (sf)

CB3:
Series A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Series B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in LGD, expected credit rating of B (low) (sf)
-- 25% increase in PD, expected credit rating of B (low) (sf)
-- 50% increase in PD, expected credit rating of B (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of B (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (low) (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: Rehanna Sameja, Senior Vice President

CB1 Initial Rating Date: 23 February 2016
CB2 Initial Rating Date: 20 March 2017
CB3 Initial Rating Date: 15 December 2017

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 credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- European RMBS Insight Methodology (3 December 2024) and European RMBS Insight Model v10.1.0.0,
https://dbrs.morningstar.com/research/444100
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- 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.