DBRS Confirms Ratings to IM CFS RMBS 1, FTA

DBRS Ratings Limited (“DBRS”) has reviewed IM CFS RMBS 1 (the “Fund”) and confirms the rating to Class A Notes at ‘A’ (sf).

IM CFS RMBS 1, FTA is a securitisation of a portfolio of residential mortgage loans originated and serviced by Citifin S.A. E.F.C. ("Citifin"). Citifin ceased the lending operations in 2008 and it exclusively focused on servicing the current mortgage portfolio.

Confirmation of the ratings for the Class A Notes is based upon the following analytical consideration:

• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool.
• Portfolio performance, in terms of defaults and level of delinquencies, as of the 20 November 2013 Payment Date.
• Current available credit enhancement to Class A Notes to cover the expected losses at the ‘A’ (sf) rating level.
• The Reserve Fund is at the same level as at transaction close.

Current 90+ delinquency ratio (excluding defaulted loans) as a percentage of the performing balance of the portfolio has been trending upwards since rating. The ratio has however started to decrease since August 2013 and currently equals 0.60%. The cumulative default ratio has also been increasing over the last year, but not at a level to negatively impact the credit enhancement available to the Class A Notes. The most recent cumulative default ratio is 2.39%.

Defaulted loans are within initial expectations. Cumulative recoveries to date are low, but in line with DBRS assumptions from its initial rating analysis.

Credit enhancement for Class A Notes is provided by the subordination of Loan B. Current credit enhancement as a percentage of the performing collateral balance is 25.86%. A non-amortising Reserve Fund of €11.34mn equal to 3% of the aggregate balance of Class A Notes and Loan B was established at closing to cover interest shortfall on Class A Notes.

Citibank International Plc (Spanish Branch) and Citibank España S.A. are the Treasury Account Bank and Reinvestment Account Bank for the transaction, respectively. The DBRS private ratings of Citibank International Plc (Spanish Branch) and Citibank España S.A. are above the Minimum Institution Rating given the rating assigned to the Class A Notes, 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 Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda. 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. and data from the European DataWarehouse. 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 21 December 2012, when DBRS assigned the rating of ‘A’ (sf) to Class A 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 lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current receivables. 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 current pool of mortgages for the Issuer are 19.94% and 28.90%, respectively. At the ‘A’ (sf) rating level, the corresponding PD is 42.55% and the LGD is 42.45%.
• 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 of Class A Notes would be expected to remain at ‘A’ (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to decrease to BBB (High) (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating would be expected to decrease to BBB (Low) (sf).

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of ‘A’ (sf)
• 50% increase in LGD, expected rating of ‘A’ (sf)
• 25% increase in PD, expected rating of ‘A’ (sf)
• 50% increase in PD, expected rating of BBB (High) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of A (Low) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of BBB (High) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BBB (Low) (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: David Sánchez Rodríguez
Initial Rating Date: 14 December 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 21 December 2012

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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London
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United Kingdom

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

• Legal Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Unified Interest Rate Model for European Securitisations