DBRS Confirms Rating on IM BCG RMBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS

DBRS Ratings Limited (DBRS) has today confirmed its rating on the following bonds issued by IM BCG RMBS 2 (the Issuer):

-- Class A Notes at A (sf)

The confirmation of the rating on the Class A Notes is based on the following analytical considerations as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of September 2015.
-- Portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the A (sf) rating level.

IM BCG RMBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS 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 Depósitos S.A.

The portfolio is performing in line with DBRS’s expectations. As of the September 2015 payment date, the cumulative gross default was at 0.12%. The 90+ delinquency ratio (as a percentage of the collateral portfolio) remained low at 0.29%. The pool is geographically diversified with some concentrations in Galicia (21.31%), Catalonia (19.50%), Extremadura (17.24%) and Madrid (14.60%). As of September 2015, the credit enhancement available to the Class A Notes was 10%, which has increased since transaction closing due to deleveraging. The credit enhancement consists of the subordinated Loan B.

The transaction benefits from a non-amortising reserve fund of EUR 39.00 million (currently equal to 3.7% 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. (Santander) acts as Treasury Account Bank for this transaction. Santander’s DBRS Senior Unsecured Long-Term Debt & Deposit rating is currently at “A”, which complies with the Minimum Institution Rating 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: “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.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may 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’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 monthly 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.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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 November 2014 when DBRS confirmed the rating on the Class A Notes at A (sf).

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 assets. 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 remain at A (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to BBB (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 A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (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: Kevin Ma
Rating Committee Chair: Mary Jane Potthoff

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 (September 2015)
-- Master European Structured Finance Surveillance Methodology (April 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (January 2015)
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (September 2015)
-- Unified Interest Rate Model for European Securitisations (October 2015)

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.