DBRS Confirms Rating of IM Cajamar 5, F.T.A.

DBRS Ratings Limited (DBRS) has today confirmed its rating of the Class A Notes of IM Cajamar 5, F.T.A. (the Issuer) at A (low) (sf).

The confirmation of the rating of the Class A Notes is based upon the following analytical considerations:

• Portfolio performance, in terms of delinquencies and defaults, as of the 28 February 2015 payment date.
• Updated portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
• Incorporating 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 (low) (sf) rating level.

IM Cajamar 5, F.T.A. is a securitisation of Spanish residential mortgages originated and serviced by Cajas Rurales Unidas, Sociedad Cooperativa de Crédito back in 2007.

The portfolio is performing in line with DBRS’s expectations. The current 90+ delinquency ratio as a percentage of the performing balance of the portfolio was 0.54 % in February 2015. The cumulative default ratio, as a percentage of the original balance, increased during the year reaching 4.99% in February 2015, but it is still below DBRS’s base case default rate of 6.83%.

The portfolio is well-seasoned (nine years), approximately 93.8% of the current pool pays floating rate indexed to 12 months Euribor. The portfolio is geographically concentrated in the regions of Murcia (28.50%) and Almería (27.49%), mitigated in part by the fact that these are Cajas Rurales Unidas, Sociedad Cooperativa de Crédito’s traditional markets where it has great expertise.

Credit enhancement for the Class A Notes consists of the subordination of the classes B, C and D Notes and Reserve Fund initially funded via the issuance of the Class E Notes. The credit enhancement to the Class A Notes is currently 10.25%, up from 8.50% in March 2014. The Reserve Fund was equal to EUR 15 million (almost 3% of the aggregate balance of the Class A, B, C and D Notes). It is at its target level.

Banco Santander S.A. holds the Treasury account bank for this transaction. The DBRS public ratings of Banco Santander S.A. complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal 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’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 this rating include investor reports provided by InterMoney Titulización, S.G.F.T., S.A. and data from the European DataWarehouse. DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed upon Procedures (AUP) are included in the requested documentation. DBRS was not supplied with AUP documents. Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

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 26 May 2015, when DBRS confirmed the rating of A (low) (sf) of the Class A Notes.

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 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 6.83% and 21.62%, respectively. At the A (low) (sf) rating level, the corresponding PD is 18.63% and the LGD is 33.78%.
-- 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 fall to BBB (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 BB (high) (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to BB (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (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: Alastair Bigley
Initial Rating Date: 23 May 2013
Initial Rating Committee Chair: Mary Jane Potthoff

Lead Surveillance Analyst: Vito Natale
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