Press Release


October 05, 2018

DBRS Ratings Limited (DBRS) upgraded its rating on the Class A notes (the Notes) issued by IM BCG RMBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS (the Issuer) to AA (high) (sf) from A (high) (sf).

Additionally, DBRS removed the Under Review with Positive Implications (UR-Pos.) status on the Class A notes.

The rating action is the result of an annual review of the transaction following publication of an update to the “European RMBS Insight: Spanish Addendum” on 2 October 2018 where DBRS updated its house price indexation and market value decline rates to reflect data through Q3 2017.

The Notes were originally placed UR-Pos. on 30 April 2018, following the upgrade of the Kingdom of Spain’s Long-Term Foreign and Local Currency – Issuer Rating to “A” from A (low). For additional information on the upgrade, please see DBRS’s press release entitled “DBRS Upgrades the Kingdom of Spain to A, Stable Trend”, published on 6 April 2018. The UR-Pos. status of the Notes was extended following the publication of the “European RMBS Insight: Spanish Addendum - Request for Comment” on 24 July 2018.

The upgrade is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the September 2018 payment date.
-- Updated portfolio default rates (PD), loss given default (LGD) and expected loss assumptions for the remaining collateral portfolio.
-- Current credit enhancement available to the Notes to cover the expected losses at the AA (high) (sf) rating level.

The rating addresses the timely payment of interest and ultimate payment of principal on or before the Final Maturity Date in September 2061.

The Issuer is a securitisation of Spanish prime residential mortgage loans originated and serviced by Banco Caixa Geral, a subsidiary of Portugal’s largest bank, the government-owned Caixa Geral de Depósitos, S.A. The transaction follows Spanish securitisation law and closed in November 2013.

As of the September 2018 payment date, the EUR 956.8 million portfolio consisted of 9,801 loans extended to borrowers mainly located across the Galicia (21.1% of the loan balance), Catalonia (19.9%) and Extremadura (17.6%) regions of Spain. The collateral is amortising with a pool factor of 73.6% and had a weighted-average current loan-to-value ratio of 52.6%.

The portfolio is performing within DBRS’s expectations. The amount of delinquent and defaulted loans has remained fairly stable since the last annual review. As of August 2018, loans that were two- to three-months in arrears represented 0.2% of the outstanding portfolio balance. The 90+ delinquency ratio was 0.2% and the cumulative default ratio was 0.4%.

DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions to 3.8% and 25.1%, respectively.

As of the September 2018 payment date, credit enhancement to the Notes was 12.2%, up from 9.0% at the transaction closing. Credit enhancement is provided by the overcollateralisation of the portfolio of mortgages and does not include the cash reserve, which is available to cover senior fees and interest shortfalls on the Notes. The reserve stands at its current target level of EUR 39 million.

Banco Santander S.A. is the account bank for the transaction. Based on the reference rating of Banco Santander S.A. at A (high), one notch below DBRS Long-Term Critical Obligations Rating of AA (low), and the downgrade provisions outlined in the transaction documents, DBRS considers the risk arising from the exposure to Santander to be consistent with the ratings assigned to the Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

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 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 at:

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:

The sources of data and information used for this rating include investor and delinquency reports provided by 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 27 July 2018, when DBRS extended its UR-Pos. status on the Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on

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 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 mortgages for the Issuer are 3.8% and 25.1%, respectively.
-- 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 AA (low) (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 A (high) (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 A (low) (sf).

Class A notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see:

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Ilaria Maschietto, Assistant Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 19 November 2013

DBRS Ratings Limited
20 Fenchurch Street
31st Floor
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at:

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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at [email protected].