Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for CaixaBank Pymes 10, FT on 4 February 2022. The credit ratings remain as follows:

Class A (ISIN: ES0305380000), EUR 636.8m outstanding amount: AAA_SF

Class B (ISIN: ES0305380018), EUR 532.0m outstanding amount: BB_SF

This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

The transaction is a static, true-sale securitisation of a EUR 3,325m portfolio (at closing) of loans originated by CaixaBank, S.A in the ordinary course of business. The securitised portfolio contains two main product types – unsecured receivables and mortgage receivables granted mainly to Spanish SMEs to finance diverse business needs. The transaction features two strictly sequential quarterly paying notes referenced to 3-month Euribor with combined priority of payments and a cash reserve available for default provisioning. The transaction closed on 22 November 2018 and its final legal maturity is 25 October 2051.

The portfolio has amortised to 35.2% of its initial balance and asset performance has been adequate so far. As of end-January 2021, total principal amount of loans affected by 90 days+ delinquencies accounted for 2.7% of the outstanding portfolio balance. Cumulative default rate on portfolio level is 1.4% based on the 12-month default definition in the transaction, which remains below Scope’s assumption at closing.

Class A credit enhancement has increased to 49.9% from 20.75% at closing, which was driven by structural deleveraging due to portfolio amortisation since closing. Class B benefits from subordination of the reserve fund only, accounting for 4% of the outstanding notes and amortising with no floor, which prevents build-up of credit enhancement for the Class B notes.

Considering the macro-economic environment due to Covid-19, the portfolio is still exposed to potential future increase in defaults.

The methodologies applicable for the reviewed ratings: SME ABS Rating Methodology (17 May 2021), General Structured Finance Rating Methodology (17 December 2021) and Methodology for Counterparty Risk in Structured Finance (13 July 2021) 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: Adam Plajner, Senior Analyst

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