DBRS Confirms Rating on the Class A Notes Issued by IM BCG RMBS 2, Fondo de Titulización de Activos

DBRS Ratings Limited (DBRS) has today confirmed the rating on the Class A Notes of IM BCG RMBS 2, Fondo de Titulización de Activos (IM BCG RMBS 2, FTA) at A (sf).

The confirmation of the ratings of the Class A Notes is based upon the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the September 2014 payment date.
-- Updated portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
-- Incorporation of a sovereign-related stress component to address the impact of macroeconomic variables on collateral performance given the long-term foreign and local currency rating of A (low) for the Kingdom of Spain.
-- Current available credit enhancement for the Class A Notes to cover the expected losses at the A (sf) rating level.

IM BCG RMBS 2, FTA is a static cash securitisation of a portfolio of first lien residential mortgage loans granted to individuals resident in Spain. The pool was originated and is serviced by Banco Caixa Geral, S.A. (BCG), a subsidiary of Portugal’s largest bank, the government-owned Caixa Geral de Depositos S.A.

The pool is geographically diversified with some concentrations in Galicia (21.35%), Catalonia (19.35%), Extremadura (17.36%) and Madrid (14.58%). 100% of the loans were originated by branch and most of them for the purpose of home acquisition (99.75%). Additionally, approximately 25% of the portfolio is exposed to 2006 and 2007 vintages.

The portfolio is performing in line with DBRS initial expectations. As per the September 2014 payment date, the cumulative gross defaults were zero. The 90+ delinquency ratios (as a percentage of the collateral portfolio) attained low levels and currently stays at 0.16%.

The Class A Notes are supported by subordination of the Loan B. Credit enhancement for the Class A Notes (as a percentage of the performing portfolio) increased to 9.36% from 9.00% at rating in November 2013.

The transaction benefits from a non-amortising reserve fund of EUR 39.00 million (currently equal to 3.13% of the outstanding balance of the Class A Notes and Loan B). The reserve fund covers shortfalls on senior fees and interest payments on the Class A Notes and it is currently at the target level of EUR 39.00 million. A commingling reserve of EUR 15.24 million is also available to mitigate any potential commingling risk arising from a servicing disruption.

Banco Santander S.A. is the Treasury Account Bank for the transaction. The DBRS public rating of Banco Santander S.A. is at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance.

Notes:
All figures are in euros 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 monthly 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 to be 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.

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

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

To assess the impact of 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 historical data. 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 3.34% and 28.98%, respectively. At the A (sf) rating level, the corresponding PD is 15.17% and the LGD is 42.33%.
• 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 the 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 fall to A (low) (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating would be expected to fall to BBB (sf).

Class A 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 A (low) (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 (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BBB (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 Sanchez Rodriguez
Initial Rating Date: 19 November 2013
Initial Rating Committee Chair: Quincy Tang

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

DBRS Ratings Limited
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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