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CaixaBank S.A. Spanish Mortgage Covered Bond Ratings Affirmed At 'AA+'; Outlook Stable


  • Following the transposition of the European Covered Bond Directive into Spanish legislation, we have updated our analysis of CaixaBank's mortgage covered bond program.
  • The program's available credit enhancement remains commensurate with the currently assigned ratings. We therefore affirmed our 'AA+' ratings on the covered bond program and related issuances.
  • The stable outlook on the mortgage covered bonds reflects the stable outlook on our long-term rating on the issuer and the sovereign.

MADRID (S&P Global Ratings) Jan. 26, 2023--S&P Global Ratings today affirmed its 'AA+' credit ratings on CaixaBank S.A.'s mortgage covered bond program and related issuances. The outlook on the ratings is stable.

The Spanish Royal Decree Law from November 2021, partially amended in June 2022, aligned the Spanish covered bond framework with the EU's Covered Bond Directive. The Royal Decree Law enhances transparency and regulatory oversight and allows financial institutions to manage the level of overcollateralization available in their covered bond programs (see "Spanish Covered Bonds: Harmonization Achieved Through Royal Decree Law," published on July 13, 2022).

We have analyzed the selected portfolio, which is included in the cover pool register, and we believe that the overcollateralization level is still commensurate with the assigned ratings.

We have updated our credit and cash flow analysis based on the specific adjustments defined for Spain under our global residential loans and our commercial real estate criteria (see "Related Criteria"). Due to the improved credit quality of the selected portfolio, we estimate lower credit losses when performing our analysis, compared with our previous review.

The available credit enhancement continues to support four potential notches of collateral-based uplift above the jurisdiction-supported rating level (JRL). From these four notches, we deduct one due to the lack of commitment to maintain overcollateralization. Therefore, we assign a collateral-based uplift of three notches above the JRL, leading to a maximum achievable covered bond rating of 'aa+' according to our covered bonds criteria.

The ratings on the covered bonds are not constrained by counterparty, legal, and operational risks, in our view.

Under our sovereign risk criteria, the mortgage covered bonds can be rated up to four notches above the sovereign rating, if overcollateralization is sufficient to withstand a sovereign default. As the covered bond program meets these conditions and considering the current foreign currency rating on Spain (A/Stable/A-1; unsolicited), the covered bonds can achieve a maximum potential rating of 'aa+'.

As a result of the above, we affirmed our 'AA+' ratings on CaixaBank's mortgage covered bond program and related issuances.

The stable outlook on our ratings on the covered bonds reflects the stable outlook on the issuer and the sovereign. The 'AA+' covered bond ratings have no unused notches of support uplift above the issuer credit rating. This means that a negative rating action on either the issuer or the sovereign would result in a similar rating action on CaixaBank's covered bonds, all else being equal. At the same time, an upgrade of the issuer combined with an upgrade of the sovereign would result in an upgrade of CaixaBank's covered bonds, all else being equal.

Related Criteria

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Primary Credit Analyst:Marta Escutia, Madrid + 34 91 788 7225;
Secondary Contact:Enrique Rodenas, Madrid;

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