DBRS Upgrades Rating on Class A Notes of IM Cajamar 6 F.T.A.

DBRS Ratings Limited (DBRS) has today upgraded the rating on the Class A Notes issued by IM Cajamar 6 F.T.A. (the Issuer) to A (high) (sf) from A (sf).

The upgrade of the rating on the Class A Notes reflects an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults.
-- Probability of default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining portfolio collateral.
-- The current available credit enhancement (CE) to the Class A Notes to cover the expected losses at the A (high) (sf) rating level.

IM Cajamar 6, F.T.A. is a securitisation of Spanish residential mortgages originated and serviced by Cajas Rurales Unidas, Sociedad Cooperativa de Crédito back in 2007.

PORTFOLIO PERFORMANCE
As of 28 February 2017, loans more than 90 days in arrears were at 0.48% of the outstanding performing portfolio balance. Defaults are defined as loans in arrears for more than 12 months; the cumulative defaults were at 7.88% of the initial portfolio balance.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining pool and updated its PD and LGD assumptions at the A (high) (sf) rating level on the remaining portfolio collateral pool to 17.06% and 40.42% from 17.62% and 35.04%, respectively.

CREDIT ENHANCEMENT
All four classes of Notes in the transaction are currently amortising pro rata. Class A Notes are supported by the subordinated Class B, C and D Notes, and the Reserve Fund was initially funded via the issuance of the Class E Notes. As of the March 2017 payment date, the CE to the Class A Notes remained at 16.85%, as at 12 months ago, because of the pro rata amortization. The Reserve Fund is equal to EUR 46.05 million, which is the target level of 5.2% of the aggregate outstanding balance of the Class A, B, C and D Notes.

Banco Santander S.A. (Santander) acts as the Account Bank for this transaction. Santander’s reference rating, being one notch below its Long-Term Critical Obligations Rating of A (high), 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 to the rating 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.

These 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 commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for this rating include an investor report from InterMoney Titulización S.G.F.T., S.A and loan-level data from the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

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

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 2 June 2016, when DBRS upgraded the Class A Notes to A (sf) from A (low) (sf).

The lead analyst responsibilities for this transaction have been transferred to Kevin Ma.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 PD and LGD for the remaining 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 assumptions for the remaining portfolio collateral are 4.69% and 26.44%, respectively. At the A (high) (sf) rating level, the corresponding PD is 17.06% and the LGD is 40.42%.

-- 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 on the Class A Notes would be expected to be at A (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at A (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A Notes would be expected to be at BBB (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (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 historical default rates published by the European Securities and Markets Authority (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.

Lead Analyst: Kevin MA, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 6 September 2013

DBRS Ratings Limited
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United Kingdom
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology
-- European RMBS Insight: Spanish Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

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.