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

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by three CaixaBank PYMES transactions:

CaixaBank PYMES 11, FT (CB11)
-- Series A Notes confirmed at AAA (sf)
-- Series B Notes confirmed at BBB (low) (sf)

CaixaBank PYMES 12, FT (CB12)
-- Series A notes confirmed at AAA (sf)
-- Series B notes confirmed at BBB (sf)

CaixaBank PYMES 13, FT (CB13)
-- Series A notes upgraded to AA (high) (sf) from AA (sf)
-- Series B notes confirmed at BB (sf)

The credit ratings on the Series A Notes in CB11, CB12, and CB13 address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date for each transaction (April 2052 for CB11, September 2062 for CB12, and April 2047 for CB13). The credit ratings on the Series B Notes in each transaction address the ultimate payment of interest and the ultimate payment of principal on or before the legal final maturity date for each transaction.

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

-- The portfolio performance, in terms of level of delinquencies and defaults, as of the latest payment date for each transaction (April and June 2025);
-- The one-year base case probability of default (PD) and default and recovery rates on the outstanding receivables; and
-- The current available credit enhancements to the notes to cover the expected losses assumed in line with their respective credit rating levels.

CB11, CB12, and CB13 are securitisations of secured and unsecured loans and drawdowns of secured and unsecured lines of credit originated and serviced by CaixaBank, S.A. (CaixaBank) to corporates, small and medium-size enterprises, and self-employed individuals based in Spain. CB13 solely consists of unsecured loans. The transactions closed in November 2019, 2020, and 2023, respectively.

PORTFOLIO PERFORMANCE

CB11
As of the April 2025 payment date, loans more than three months delinquent represented 1.9% of the portfolio balance, down from 2.1% at the last annual review. Gross cumulative defaults increased to 2.0% of the original collateral balance, up from 1.8% in the same period.

CB12
As of the June 2025 payment date, loans more than three months delinquent represented 2.2% of the portfolio balance, up from 2.1% at the last annual review. Gross cumulative defaults increased to 1.3% of the original collateral balance, up from 1.1% in the same period.

CB13
As of the April 2025 payment date, loans more than three months delinquent represented 1.2% of the portfolio balance, up from 0.7% at the last annual review (November 2024). Gross cumulative defaults increased to 0.2% of the original collateral balance, up from 0.1% in the same period.

Receivables are classified as defaulted after 12 months of arrears as per the three transactions' documentation.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis on the remaining pool of each transaction.

For CB11, Morningstar DBRS updated the portfolio's one-year base case PD assumption to 1.6%, and the weighted-average recovery rate on the portfolio to 43.6% at the AAA (sf) credit rating level and to 55.6% at the BBB (low) (sf) credit rating level.

For CB12, Morningstar DBRS updated the portfolio's one-year base case PD assumption to 1.4%, and the weighted-average recovery rate on the portfolio to 30.2% at the AAA (sf) credit rating level and to 37.8% at the BBB (sf) credit rating level.

For CB13, Morningstar DBRS maintained the portfolio's one-year base case PD assumption at 1.6% and the recovery rate on the portfolio at 26.5% at the BB (sf) credit rating level and updated its recovery rate to 19.6% at the AA (high) (sf) credit rating level.

CREDIT ENHANCEMENT
Credit enhancements to the Series A Notes in all the three transactions are provided by the subordination of the respective Series B Notes and the reserve funds. The reserve funds are available to cover missed interest and principal payments on the Series A Notes and Series B Notes once the Series A Notes have been paid in full. The reserve funds amortise in line with their target amortisation amounts (4.7%, 5.0% and 5.0% of the outstanding balance of the rated notes for CB11, CB12, and CB13, respectively) and are currently at their target levels of EUR 19.1 million for CB11, EUR 23.2 million for CB12 and EUR 108.6 million for CB13.

CB11
As of the April 2025 payment date, the credit enhancement to the Series A Notes was 92.0%, up from 63.0% at the last annual review; the credit enhancement to the Series B Notes was 5.2%, down from 5.3% in the same period.

CB12
As of the June 2025 payment date, the credit enhancement to the Series A Notes was 92.5%, up from 56.3% at the last annual review; the credit enhancement to the Series B Notes was 5.7%, unchanged from the same period.

CB13
As of the April 2025 payment date, the credit enhancement to the Series A Notes was 25.0%, up from 23.0% at the last annual review; the credit enhancement to the Series B Notes was 5.4%, down from 6.4% in the same period.

CaixaBank acts as the account bank for the three transactions. 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 and Derivative 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, AND GOVERNANCE CONSIDERATIONS
There were no Social/Environmental/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/454196.

Morningstar DBRS analysed the transactions structures in its proprietary Excel-based cashflow engine.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the "Rating CLOs Backed by Loans to European SMEs" (5 June 2025); https://dbrs.morningstar.com/research/455697.

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 transactions in accordance with the surveillance section of 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 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/457952.

The sources of data and information used for these credit ratings include transaction reports and information provided by the Management Company, CaixaBank Titulización, S.G.F.T., S.A.U., 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 credit ratings, Morningstar DBRS was supplied with third-party assessments for the three transactions. 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 actions on the three transactions took place as follows:
CB11 on July 11 2024, Morningstar DBRS upgraded the credit ratings on the Series A and Series B Notes to AAA (sf) and BBB (low) (sf), respectively from AA (high) (sf) and BB (low) (sf), respectively.

CB12 on July 11 2024, Morningstar DBRS upgraded the credit ratings on the Series A and Series B Notes to AAA (sf) and BBB (sf), respectively from AA (high) (sf) and BB (high) (sf), respectively.

CB13 on November 13 2024, Morningstar DBRS confirmed its AA (sf) and BB (sf) credit ratings on the Series A and Series B Notes.

The lead analyst responsibilities for these transactions have been transferred to Baran Cetin.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- PD Rates Used: Base case PD of 1.6%, 1.4%, and 1.6% for CB11, CB12, and CB13, respectively; a 10% and 20% increase on the base case PD.
-- Recovery Rates Used: Base-case recovery rates of 43.6% at AAA (sf) and 55.6% at BBB (low) (sf) stress levels for CB11; 30.2% at AAA (sf) and 37.8% at BBB (sf) stress levels for CB12; and 19.6% at AA (high) (sf) and 26.5% at BB (sf) stress levels for CB13; a 10% and 20% decrease in the base-case recovery rate. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery-rate levels.

CB11
Morningstar DBRS concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a confirmation on the Series A Notes at AAA (sf) and a confirmation on the Series B Notes at BBB (low) (sf). A hypothetical decrease of the base case recovery rate by 20%, ceteris paribus, would not have an impact on the credit ratings of both series of Notes. Finally, a scenario combining both an increase in the base case PD by 10% and a decrease in the base case recovery rate by 10% would lead to a confirmation on the Series A Notes at AAA (sf) and a confirmation on the Series B Notes at BBB (low) (sf).

CXB12
Morningstar DBRS concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a confirmation on the Series A Notes at AAA (sf) and a confirmation on the Series B Notes at BBB (sf). A hypothetical decrease of the base case recovery rate by 20%, ceteris paribus, would not have an impact on the credit ratings on both series of Notes. Finally, a scenario combining both an increase in the base case PD by 10% and a decrease in the base case recovery rate by 10% would lead to a confirmation on the Series A Notes at AAA (sf) and a confirmation on the Series B Notes at BBB (sf).

CXB13
Morningstar DBRS concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a confirmation on the Series A Notes at AA (high) (sf) and a downgrade on the Series B Notes to BB (low) (sf). A hypothetical decrease of the base case recovery rate by 20%, ceteris paribus, would not have an impact on the credit ratings on both series of Notes. Finally, a scenario combining both an increase in the base case PD by 10% and a decrease in the base case recovery rate by 10% would lead to a confirmation on the Series A Notes at AA (high) (sf) and a downgrade on the Series B Notes to BB (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: Baran Cetin, Assistant Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Credit Rating Dates:
CB11: 21 November 2019
CB12: 12 November 2020
CB13: 7 November 2023

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Rating CLOs Backed by Loans to European SMEs (5 June 2025) and SME Diversity Model 2.7.1.6
https://dbrs.morningstar.com/research/455697
-- European RMBS Insight Methodology (8 May 2025)
https://dbrs.morningstar.com/research/453613
-- Master European Structured Finance Surveillance Methodology (4 February 2025)
https://dbrs.morningstar.com/research/447080
-- 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 (16 May 2025) https://dbrs.morningstar.com/research/454196
-- Global Methodology for Rating CLOs and Corporate CDOs (9 July 2025)
https://dbrs.morningstar.com/research/458009

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.