DBRS Confirms Ratings of IM GBP Consumo I F.T.

DBRS Ratings Limited (DBRS) confirmed its ratings on the following Notes issued by IM GBP Consumo I F.T. (the Issuer):
-- Series A Notes confirmed at A (sf)
-- Series B Notes confirmed at CC (sf)

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- The overall portfolio performance as of the February 2018 payment date, in particular with regards to low levels of cumulative net loss and delinquencies;
-- No Early Termination Event has occurred; and
-- The current levels of credit enhancement (CE) available to the Notes to cover expected losses.

The rating of the Series A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the Final Maturity Date in April 2050. The rating of the Series B Notes addresses the ultimate payment of interest and repayment of principal on or before the Final Maturity Date.

The transaction represents the issuance of notes backed by a pool of approximately EUR 510 million of consumer loan receivables granted and serviced by Banco Popular Español S.A. (BPE) and Banco Pastor S.A.U. to private individuals in Spain. Banco Santander S.A. (Santander) acquired Banco Popular in June 2017.

PORTFOLIO PERFORMANCE
The transaction is performing within DBRS’s expectations. As of March 2018, one year after closing, cumulative defaults stood at 0.1%. The 90+ delinquency ratio was 1.5%.

REVOLVING PERIOD
The transaction includes an initial two-year revolving period that is scheduled to end on the payment date in March 2019, after which the transaction will begin to amortise. Concentration limits are in place to mitigate any negative evolution of the portfolio and performance triggers are included in the Revolving Period Termination Events. To date, all triggers are being met.

CREDIT ENHANCEMENT
CE to the Series A Notes is provided by the subordination of the Series B Notes and a cash reserve funded at closing through a subordinated loan. CE for the Series A Notes remained at 19.0% in March 2018, stable from closing given the revolving period. The transaction benefits from a reserve that provides liquidity support to the structure and can be used to pay down principal on the Series A, and on Series B Notes on the last payment date.

BPE and Santander act as account banks for the transaction. Given the account bank reference rating of “A” – one notch below the DBRS public Long-Term Critical Obligations Rating of BPE and Santander at A (high) – as well as the mitigants outlined in the transaction documents, DBRS considers the risk arising from the exposure to the two account banks to be consistent with the ratings assigned to the Series A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings 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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include performance reports and information provided by InterMoney Titulización S.G.F.T., S.A., and loan by loan 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 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 these ratings to be of satisfactory quality.

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

This press release was amended on 25 April 2018 to include the disclosure: “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 30 March 2017, when DBRS finalised its provisional ratings assigned to the Notes.

The lead analyst responsibilities for this transaction have been transferred to Joana Seara da Costa.

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

To assess the impact of the changing the transaction parameters on these ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a base case probability of default (PD) and loss given default (LGD) for the portfolio 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 receivables, including sovereign stress are 10.0% and 65.3%, respectively.

For example, if the LGD increases by 50%, the rating of the Series A Notes would be expected to decrease to BBB (sf), ceteris paribus. If the PD increases by 50%, the rating of the Series A Notes would be expected to decrease to BBB (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Series A Notes would be expected to decrease to B (high) (sf), ceteris paribus.

Series A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Series B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of C (sf)
-- 50% increase in LGD, expected rating of C (sf)
-- 25% increase in PD, expected rating of C (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of C (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of C (sf)
-- 50% increase in PD, expected rating of C (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of C (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of C (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 and US regulations only.

Lead Analyst: Joana Seara da Costa, Assistant Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 28 March 2017

DBRS Ratings Limited
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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
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions

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.

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