DBRS Confirms the Ratings of IM Tarjetas 1, FTA

DBRS Ratings Limited (DBRS) has today confirmed the following ratings of IM Tarjetas 1, FTA (the Fund):
• Class A Notes at A (sf);
• Class B Notes at C (sf).

The confirmation of the ratings on the Class A and the Class B Notes is based upon the following analytical considerations, as described more fully below:
• Portfolio performance, in terms of delinquencies, as of the October 2014 payment date.
• Levels of portfolio yield, monthly payment rate (MPR) and charge-off rate are within DBRS’s initial expectations.
• Current credit enhancement available to the Class A Notes and the Class B Notes to cover the expected losses at the A (sf) and C (sf) rating level, respectively.

IM Tarjetas 1, FTA is a securitisation of Spanish credit card receivables initially originated and serviced by Citibank España, S.A. In September 2014, Citibank España’s retail business was sold to Bancopopular-e S.A., an unrated wholly owned subsidiary of Banco Popular Español, S.A.

The transaction is in its three-year accumulation period during which repayments can be used to buy new credit card uses, but no new credit card accounts can be added. The revolving period will terminate on 22 January 2016 or earlier if any of the triggers described in the legal documentation are activated. To date, all of them are met.
The portfolio is performing within DBRS’s initial expectations. As of the October 2014 payment date, delinquencies greater than 90 days increased to 1.91%, up from 1.58% in October 2013. The annualised charge-off rate reached 4.73% in October 2014 and averaged 3.45% since the rating in November 2012.

The annualised portfolio yield stayed at 22.76% in October 2014 and it is above the DBRS assumed base case of 20.00%. Additionally, the MPR has been running between 12.47%-15.11% over the life of the transaction and it is in line with the DBRS base case of 11.00%.

The Class A Notes are supported by subordination of the Class B Notes and excess spread, while the Class B Notes are supported by excess spread only. Credit enhancements for the Class A and B Notes have been stable at 16% and 0.00%, respectively, since the rating in November 2012, as the deal is still in the accumulation period.

The transaction benefits from two reserve funds funded on day one. A Dilution Reserve protects the Fund against payment dilutions, such as merchandise disputes, servicer rebates and fraud. A Commingling Reserve provides support against the servicer’s insolvency and payment interruption risk. The Dilution Reserve and Commingling Reserve are currently at the target level of EUR 10.62 million and EUR 8.82 million, respectively.

Banco Santander S.A. is the Account Bank for this 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 senior-most tranche, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

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 the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: 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 9 December 2013, when DBRS confirmed the ratings of the Class A and Class B Notes at A (sf) and C (sf), respectively.

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 base case portfolio yield, 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 portfolio 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 (portfolio 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 portfolio yield, expected rating of A (sf).
• 75% decrease in portfolio yield, expected rating of BBB (sf).
• 100% decrease in portfolio 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

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

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

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Rating European Consumer and Commercial Asset-Backed Securitisations