DBRS Ratings GmbH (DBRS) confirmed its ratings on the Series A and Series B notes issued by Caixabank Consumo 2, FT (the Issuer) at A (sf) and BBB (high) (sf), respectively.
The rating on the Series A notes addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in April 2060. The rating on the Series B notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses as of the July 2019 payment date;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.
The Issuer is a securitisation collateralised by a portfolio of consumer loans granted by CaixaBank, S.A. (Caixabank) to individuals in Spain. The portfolio consists of unsecured consumer loans and receivables secured by residential property, including standard mortgages (Préstamos Hipotecarios) as well as drawdowns from revolving credit lines (Disposiciones de Crédito Hipotecario). The transaction closed in June 2016 and contained no revolving period.
At closing, the EUR 1.3 billion portfolio consisted mostly of unsecured consumer loans (74.4% of the pool balance), with standard mortgage loans accounting for 16.5% and revolving credit lines for 9.1%. As of the July 2019 payment date, as a result of the varying amortisation profiles of the portfolio receivables, the share of unsecured loans decreased to 42.7% while mortgage loans increased to 37.3% and credit lines increased to 20.0%.
As of the July 2019 payment date, loans that were 30 to 60 days delinquent represented 0.3% of the outstanding collateral balance and 60- to 90-day delinquencies represented 0.03%, while delinquencies greater than 90 days represented 3.2%. Gross cumulative defaults amounted to 1.8% of the original portfolio balance, with cumulative recoveries of 10.8% to date.
DBRS conducted a loan-by-loan analysis on the remaining pool of receivables and updated its base case PD and LGD assumptions on the mortgage loans in the portfolio to 6.9% and 17.9%, respectively. The respective assumptions for the unsecured consumer loans were maintained at 5.8% and 68.3%.
Credit enhancement is provided to the Series A notes by the subordination of the Series B notes and the cash reserve, while credit enhancement to the Series B notes is provided solely by the cash reserve following the full repayment of the Series A notes. As of the July 2019 payment date, credit enhancement to the Series A notes increased to 47.0% from 14.0% at closing, while credit enhancement to the Series B notes increased to 13.4% from 4.0% at closing.
The transaction benefits from an amortising reserve fund available to cover senior expenses and all payments due on the senior-most class of notes outstanding. This reserve was funded to EUR 52.0 million at closing through a subordinated loan granted by CaixaBank and has a target level equal to the lower of its original balance and 8.0% of the outstanding principal balance of the Series A and Series B notes, subject to a floor of EUR 26.0 million. The reserve could have started amortising as of the July 2018 payment date, but because delinquencies greater than 90 days exceeded 1.5% of the portfolio balance, amortisation did not occur. As such, the reserve remains at its original balance of EUR 52.0 million.
Caixabank acts as the account bank for the transaction. Based on the account bank reference rating of Caixabank at A (high), one notch below the DBRS public Long-Term Critical Obligations Rating of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.
The transaction structure was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
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 Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include investor and servicer reports provided by CaixaBank Titulización, S.G.F.T., S.A.U. (the Management Company) and loan-level data provided by the European DataWarehouse GmbH.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on 5 October 2018, when DBRS upgraded the ratings of the Series A notes to A (sf) and Series B notes to BBB (high) (sf), and removed the Under Review with Positive Implications status.
The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.
Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.
To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios as compared with the parameters used to determine the ratings (the Base Case):
-- DBRS expected a lifetime base case PD and LGD for 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 ratings.
-- The base case PD and LGD of the current pool of mortgage receivables are 6.9% and 17.9%, respectively. The base case PD and LGD of the current pool of unsecured consumer loan receivables are 5.8% and 68.3%, respectively.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Series A notes would be expected to remain at A (sf), ceteris paribus. If the PD increases by 50%, the rating of the Series A notes would be expected to remain at A (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Series A notes would be expected to remain at A (sf).
Series A risk sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)
Series B risk sensitivity:
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Daniel Rakhamimov, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 20 June 2016
DBRS Ratings GmbH
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Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Master European Structured Finance Surveillance Methodology
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- European RMBS Insight Methodology
-- European RMBS Insight: Spanish Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.