DBRS Upgrades Rating on the Series A Notes Issued by IM Caja Laboral Empresas 1, F.T.A.

DBRS Ratings Limited (DBRS) has today upgraded the rating on the €67,648,152 Series A Notes issued by IM Caja Laboral Empresas 1, F.T.A. (the Issuer) to AA (sf) from A (high) (sf).

The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Caja Laboral Popular Cooperativa de Crédito to Spanish enterprises, small and medium-sized enterprises (SMEs) and self-employed individuals. The rating on the Series A Notes addresses the timely payment of interest and ultimate payment of principal on or before the Final Date of 20 May 2051.

The rating actions reflect an annual review of the transaction. Since closing, the Series A Notes have been amortising and are now at 24.14% of their initial balance. Given this deleveraging, the current credit enhancement available has increased considerably, while the transaction performance is in line with DBRS’s expectations. As of the 20 February 2015 payment date, the cumulative outstanding balance of defaulted claims as per the transaction definition was 3.64% in terms of the initial outstanding balance of the portfolio.

The portfolio annualised probability of default (PD) used has not changed (3.06%).
The principal methodology applicable is “Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs),” which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for these ratings include the parties involved in the ratings, including but not limited to the Originator, the Issuer and their agents.

DBRS considers the information made available to it for the purposes of providing these ratings to have been 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.

To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios as compared with the parameters used to determine the ratings (the base case):
-- Probability of default (PD) rates used: base-case PD of 3.06%, a 10.00% and 20.00% increase on the base-case PD.
-- Recovery rates used: base-case recovery rates, corresponding to a recovery rate of 40.12% at the AA (sf) stress level, a 10.00% and 20.00% decrease in the base-case recovery rates.

DBRS concludes that either a hypothetical increase of the base PD by 20%, ceteris paribus, or a hypothetical decrease of the recovery rate by 20%, would produce model results, suggesting a confirmation of the Series A Notes at AA (sf). A scenario combining both a hypothetical increase in the PD by 10% and a hypothetical decrease in the recovery rate by 10% would also lead to model results, suggesting a confirmation of the Series A at AA (sf).

It should be noted that the interest rates and other parameters that would normally vary with the rating level, including the recovery rates, were allowed to change as per the DBRS methodologies and criteria.

The previous rating action on this transaction took place on 17 April 2014, when the rating of the Series A Notes was confirmed and removed from Under Review with Developing Implications.

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

For further information on DBRS’s 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

Notes:
All figures are in euros unless otherwise noted.

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

Initial Lead Analyst: Carlos Silva
Initial Rating Date: 20 May 2011
Initial Rating Committee Chair: Jerry van Koolbergen
Last Rating Date: 17 April 2014

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

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
-- Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for U.S. and European Structured Credit
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda