Scope completed a monitoring review of the following notes issued by Caixabank Consumo 3, FT on 18 February 2021. The review was conducted based on available performance data as of December 2020. The transaction is a securitisation of a mixed portfolio of unsecured and mortgage-backed consumer loans, originated in the ordinary course of business by Caixabank, S.A.

Serie A (ISIN ES0305274005): EUR 441.1m outstanding amount: AAA_SF

Serie B (ISIN ES0305274013): EUR 171.5m outstanding amount: BB_SF

Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodology/ies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

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This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

The rating of the class A notes is strongly supported by the transaction’s deleveraging. Since closing, available credit enhancement on the class A notes has almost tripled, constituting 32.4% as of December 2020.

The rating of the class B notes remains supported by an amortizing cash reserve providing 4.5% of credit enhancement and by available excess spread (the rate payable on the notes is equal to 3-month Euribor plus a margin of 0.75% and 1% for the serie A and serie B notes, respectively, while the portfolio paid a weighted average coupon of over 5% on December 2020). The rating of the class B notes is constrained by a) weaker than expected performance of the unsecured portfolio segment, b) the amortising nature of the reserve fund, which prevents the building-up of credit enhancement with regards to the serie B notes, c) and over-time erosion of excess spread, as high coupon unsecured loans amortise faster than secured loans.

As of December 2020, the cumulative default rate of the unsecured and secured portfolio segments amounted to about 4.5% and 1.1%, respectively (based on the transaction’s 18-month default definition). In addition, over 4% of the total outstanding portfolio was excess of 90 days past due arrears. The portfolio segmentation had shifted to about 47.5% unsecured/52.5% secured, which contrasts with 81.4% unsecured/18.6% secured at closing. The unsecured segment has a weighted average yield of about 8.6%, which compared to less than 2.2% on the secured portfolio segment.  

The methodologies applicable for the reviewed ratings (Consumer and Auto ABS Rating Methodology, published 4 March 2020; Methodology for Counterparty Risk in Structured Finance, published 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Chirag Shekhar, Analyst

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