DBRS Takes Rating Actions on Notes Issued by IM CAJAMAR EMPRESAS 5, FTA

DBRS Ratings Limited (DBRS) has today upgraded and confirmed the ratings on the following notes (the Notes) issued by IM CAJAMAR EMPRESAS 5, FTA (the Issuer) as follows:

-- EUR 25,836,720.00 Series A1 notes upgraded to A (sf) from A (low) (sf)
-- EUR 137,263,944.00 Series A2 notes upgraded to A (sf) from A (low) (sf)
-- EUR 135,000,000.00 Series B notes confirmed at CCC (sf)

DBRS has also removed the Under Review with Positive Implications (UR-Pos.) designation for all ratings.

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Caja Rurales Unidas, Sociedad Cooperativa de Crédito to self-employed individuals and small and medium-sized enterprises based in Spain.

The ratings on the Series A1 and Series A2 notes (the Series A Notes) address the timely payment of interest as defined in the transaction documents and the ultimate payment of principal on or before the Legal Final Maturity Date in November 2055 as defined in the transaction documents. The final rating on the Series B notes addresses the ultimate payment of principal and interest on or before the Legal Final Maturity Date in November 2055 as defined in the transaction documents.

The rating actions reflect an annual review of the transaction and concludes the UR-Pos. status of the ratings. The Series A1, A2 and B notes were placed UR-Pos. following a material update to the methodology which DBRS applies to monitor the counterparty risks of the transaction (see “Legal Criteria for European Structured Finance Transactions,” published on 19 February 2016).

This methodology incorporates DBRS’s new Critical Obligations Ratings, which were introduced in the “Critical Obligations Rating Criteria” methodology published on 2 February 2016, and also provides updated and more granular rating levels for account bank institution replacements and eligible investments.

The Series A Notes are amortising pro rata. The Series A1 notes are at 14.76% of their initial balance and the Series A2 notes are at 37.61% of their initial balance as of the March 2016 payment date. Given this deleveraging, the current credit enhancement available, provided by the subordination of the Series B notes and a non-amortising Reserve Fund (RF), has increased considerably while the transaction’s performance is in line with DBRS’s expectations. As of March 2016, the cumulative defaults were 4.08% of the original collateral balance and delinquencies greater than 90 days were 2.28% of the outstanding collateral balance. The RF is at its initial and target level of EUR 114.75 million. The portfolio’s annualised probability of default of 3.80% has not changed.

Banco Santander, S.A. (Banco Santander) acts as the account bank provider and paying agent of the transaction. The DBRS Long-Term Critical Obligation Rating of Banco Santander at A (high) complies with the Minimum Institution Rating, given the ratings assigned to the 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 Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs). 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 and criteria 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 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 action include information provided by InterMoney Titulización S.G.F.T., S.A and loan-level data from the European DataWarehouse GmbH.

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 19 February 2016, when the ratings of the Series A Notes and Series B notes were placed UR-Pos. Prior to that, on 23 April 2015, the ratings of the Series A Notes and Series B notes were confirmed at A (low) (sf) and CCC (sf), respectively, and the Under Review with Positive Implications designation was removed from Series B notes.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- Probability of default (PD) rates used: base case PD of 3.80%, and a 10% and 20% increase in the base case PD.
-- Recovery rates used: base case recovery rates, corresponding to a recovery rate of 16.25% at the A (sf) stress level for the Series A Notes and a recovery rate of 21.50% at the CCC (sf) stress level for the Series B notes, a 10% and 20% decrease in the base case recovery rates.

Series A Notes Risk Sensitivity:
DBRS concludes that either a hypothetical increase of the base PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would produce model results suggesting a confirmation of the Series A Notes at their current ratings. A scenario combining both a hypothetical increase in the PD by 20% and a hypothetical decrease in the recovery rate by 20% would lead to model results suggesting a confirmation of the current ratings of the Series A Notes.

Series B notes Risk Sensitivity:
DBRS concludes that a hypothetical increase of the base PD by 20%, ceteris paribus, would produce model results suggesting a downgrade of the Series B notes to CCC (low) (sf). A hypothetical decrease of the recovery rate by 20%, would produce model results suggesting a confirmation of the current Series B notes rating at CCC (sf). A scenario combining both a hypothetical increase in the PD by 20% and a hypothetical decrease in the recovery rate by 20% would lead to model results suggesting a downgrade of the current rating of the Series B notes to CCC (low) (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: Carlos Silva
Initial Rating Date: 26 March 2013
Initial Rating Committee Chair: Simon Ross

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

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The rating methodologies 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)
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Rating CLOs and CDOs of Large Corporate Credit
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda

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.