DBRS Confirms Ratings on the Notes Issued by Caixabank Consumo 2, FT

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the following notes issued by Caixabank Consumo 2, FT (the Issuer):

-- Series A confirmed at A (low) (sf)
-- Series B confirmed at BB (sf)

The confirmations of the ratings on the Series A and Series B notes reflect an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults, as of the April 2017 payment date.
-- Probability of default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining portfolio collateral.
-- Current available credit enhancement to the Series A and Series B notes to cover the expected losses at the A (low) (sf) and BB (sf) rating levels.

Caixabank Consumo 2, FT is a static securitisation of unsecured consumer loans and mortgage consumer loans originated by CaixaBank, S.A. (CaixaBank;). The mortgage consumer loans include standard loans and current drawdowns of a revolving mortgage credit line called Crédito Abierto. The transaction follows the Spanish Securitisation Law and closed in June 2016.

PORTFOLIO PERFORMANCE
The performance of the collateral portfolio is within DBRS’s expectations. As of 31 March 2017, the loans more than 90 days in arrears are at 1.32% of the outstanding performing portfolio collateral balance. Defaults are defined as loans in arrears for more than 12 months; the current cumulative defaults are at 0.08% of the initial portfolio collateral balance.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining pool and updated its PD and LGD base case assumptions on the remaining portfolio collateral to 5.63% and 43.03%, respectively, for the mortgage consumer pool and 12.69% and 78.5% (including sovereign stress), respectively, for the unsecured consumer pool.

CREDIT ENHANCEMENT
The Series A notes are supported by the subordination of the Series B notes and Reserve Fund, which provides liquidity support and credit support to the Series A notes until the Series A notes are paid in full, after which time the Cash Reserve will be available to support the Series B notes. The Series B notes are solely supported by the Reserve Fund. As of the April 2017 payment date, Series A and Series B notes credit enhancement was at 18.31% and 5.14%, respectively. After the first two years from closing, the reserve fund may amortise over the life of the transaction subject to the reserve fund amortisation triggers.

CaixaBank is the Account Bank (as holder of the Treasury Account) for this transaction. The Account Bank reference rating of “A,” which is one notch below the DBRS Long-Term Critical Obligations Rating of CaixaBank at A (high), complies with the Minimum Institution Rating, given the rating assigned to the Series A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology.”

DBRS has applied the principal methodology consistently and conducted a review of the transactions 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 transactions 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 DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for the ratings include the investor reports provided by CaixaBank Titulización S.G.F.T., S.A. and the loan-by-loan data from the European Data Warehouse 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.

This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Antonio Di Marco.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transactions parameters on the ratings, DBRS considered the following stress scenarios, as compared to 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 pool of consumer mortgages are 5.63% and 43.03%, respectively. The Base Case PD and LGD of the pool of unsecured mortgages are 12.69% and 78.50% (including sovereign stress), 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 on the Series A notes would be expected to be at BBB (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Series A notes would be expected to be at BBB (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Series A notes would be expected to be at BB (high) (sf).

Series A notes Sensitivity:
-- 25% increase in LGD, expected rating of A (low) (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 (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Series B notes Sensitivity:
-- 25% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in LGD, expected rating of B (sf)
-- 25% increase in PD, expected rating of B (sf)
-- 50% increase in PD, expected rating of CCC (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of CCC (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of CCC (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of below CCC (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of below CCC (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 Limited are subject to EU regulations only.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 20 June 2016

DBRS Ratings Limited
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United Kingdom
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The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrs.com/about/methodologies

-- Master European Structured Finance Surveillance Methodology
-- Rating European Consumer and Commercial Asset-Backed Securitisation
-- European RMBS Insight: Spanish Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

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.