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 methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review of CaixaBank Pymes 10, FT on 15 December 2023. The credit rating remains as follows:

Class A (ISIN: ES0305380000): EUR 64.0m outstanding amount: AAA_SF

Class B (ISIN: ES0305380018): EUR 532.0m outstanding amount: BB-_SF

The transaction is a static, true-sale securitisation of a EUR 3,325m portfolio (at closing) of loans originated by CaixaBank, S.A (CaixaBank) 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 review was conducted based on available quarterly investor reports reflecting performance up to October 2023 payment date.

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 ‘no action’ reflects the stable performance of the transaction since the last rating action taken on 23 December 2022. Cumulative defaults are estimated at 1.8% of the initial portfolio balance at closing, reflecting a marginal 20bps increase since the last review conducted. There has been no significant changes to the liability structure since closing with the class A notes expected to be fully repaid by the subsequent January 2024 payment date. Credit enhancement of the rated notes stand at 93.7% and 4.4% for class A and B, respectively. The pool factor as of the review date stands at 17.9%.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; SME ABS Rating Methodology, 16 May 2023 and Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst: Elom Kwamin, Analyst

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