DBRS Confirms Ratings to IM Citi Tarjetas 1, FTA

DBRS Ratings Limited (“DBRS”) has reviewed IM Citi Tarjetas 1 (the “Issuer”) and confirms the rating to:
• Class A Notes at ‘A’ (sf);
• Class B Notes at C (sf).

IM Citi Tarjetas 1 is a securitisation of a portfolio of Spanish credit card receivables funded by the issuance of Class A Notes and Class B Notes. The receivables were originated and are serviced by Citibank España (the “Originator” or “Servicer”).

Confirmation of the ratings for the Notes is based upon the following analytical considerations:

• The low level of delinquencies as of the 22 November 2013 reporting date.
• Levels of Cash Yield, Monthly Payment Rate (MPR) and Charge-Off Rate are within DBRS initial expectations.
• No early-amortization event has occurred.
• Current available credit enhancement to Class A Notes and Class B Notes to cover the expected losses at the ‘A’ (sf) and C (sf) rating level, respectively.

As of the recent reporting date, delinquencies greater than 90 days were 1.63%. 30-60 and 61-90 days arrears ratios have been stable over the last year and averaged 1.40% and 0.82%, respectively.

Credit enhancement for the Class A Notes is provided by subordination of Class B Notes and excess spread. Current credit enhancement for Class A Notes and Class B Notes, as a percentage of the current performing balance, is 16% and 0%, respectively. A Dilution Reserve of €10.62 million protects the Issuer against payment dilutions, such as merchandise disputes, servicer rebates and transactional fraud. A Liquidity Reserve of €8.82 million provides liquidity support in case of Servicer insolvency and/or potential disruption in servicing activities. Both Reserve funds were set up at closing.

Citibank España is the Treasury Account Bank for the transaction. DBRS rating of Citibank España is above the Minimum Institution Rating given the highest rating assigned to the senior-most trance rated, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by InterMoney Titulización S.G.F.T., S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 30 November 2012, when DBRS assigned a final rating of ‘A’ (sf) to the Class A Notes and of C (sf) to the Class B Notes.

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• DBRS expected a Base Case Cash Yield, Monthly Payment Rate (MPR) and Charge-Off Rate for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case Cash Yield, MPR and Charge-Off Rates of the current pool of receivables are 20%, 11% and 10.50%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if each variable (Cash Yield, MPR and Charge-Off Rate) was stressed by a certain percentage over the Base Case assumption, while holding the other variables constant. For example, if the Charge-Off Rate increases by 75% the rating for the Class A Notes would be expected to drop to BBB (sf), all else being equal. If the MPR decreases by 75% the rating for the Class A Notes would be expected to drop to BB (sf), all else being equal.

Class A Notes Risk Sensitivity:

• 50% increase in Charge-Off Rate, expected rating of A (low) (sf).
• 75% increase in Charge-Off Rate, expected rating of BBB (sf).
• 100% increase in Charge-Off Rate, expected rating of BBB (low) (sf).
• 50% decrease in MPR, expected rating of BB (high) (sf).
• 75% decrease in MPR, expected rating of BB (sf).
• 100% decrease in MPR, expected rating of B (sf).
• 50% decrease in Cash Yield, expected rating of ‘A’ (sf).
• 75% decrease in Cash Yield, expected rating of BBB (sf).
• 100% decrease in Cash Yield, expected rating of B (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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.

Initial Lead Analyst: Alexander Garrod
Initial Rating Date: 23 November 2012
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: 30 November 2012

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies and are as follows:

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.