DBRS Ratings Limited Assigns Provisional Ratings to IM Citi Tarjetas 1, FTA

DBRS Ratings Limited (DBRS) has today assigned a provisional rating of A (sf) to the Class A Notes, and C (sf) to the Class B Notes issued by IM Citi Tarjetas 1, FTA (the “Notes”).

The Notes are backed by a portfolio of receivables arising from drawings made on revolving credit card agreements originated in Spain by Citibank España S.A..

The ratings are based upon review by DBRS of the following analytical considerations:

• The transaction's capital structure and the form and sufficiency of available credit enhancement in the form of subordination and excess spread.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Rating European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the credit card receivables provided by the Originator, Citibank España S.A. and the Arranger, Citigroup Global Markets Limited. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

For additional information on this rating, please see the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Alexander Garrod
Rating Committee Chair: Chuck Weilamann
Initial Rating Date: November 21, 2012