Press Release

DBRS Morningstar Confirms Ratings on the Notes Issued by IM BCC Cajamar PYME 2, FT

Structured Credit
January 28, 2020

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AA (high) (sf) rating on the Series A Notes and confirmed its CC (sf) rating on the Series B Notes, issued by IM BCC Cajamar PYME 2, FT (the Issuer).

The rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date. The rating on the Series B Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults, as of November 2019.
-- Base case probability of default (PD), recovery rates, and updated default rates on the remaining receivables.
-- The credit enhancement available to the Series A and Series B Notes to cover the expected losses at their respective rating levels.

The issuer is a cash flow securitisation collateralised by a portfolio of term loans originated by Cajamar Caja Rural, Sociedad Cooperativa de Credito (Cajamar, also the Servicer) to small and medium-size enterprises (SMEs) and self-employed individuals based in Spain.

The portfolio is performing within DBRS Morningstar’s expectations. As of 30 November 2019, the portfolio consisted of 6,148 loans with an aggregated principal balance of EUR 358.5 million. The cumulative defaults were at 0.5% and the 90+ delinquency ratio increased to 1.7% from 0.7% a year ago.

DBRS Morningstar conducted a loan-by-loan analysis on the outstanding pool of receivables and updated its default rate assumptions and maintained its recovery rate assumptions. The annual PD for the loans in the portfolio remains unchanged.

The credit enhancement available to all rated notes continues to increase as the transaction deleverages. As of the November 2019 payment date, the credit enhancement available to the Series A Notes and Series B Notes was 75.3% and 8.4%, respectively, up from 55.3% and 6.1%, respectively, last year.

The transaction benefits from a EUR 30.0 million Reserve Fund (RF), available to cover missed interest on the Series A Notes, and once the Series A Notes are fully paid, interest on the Series B Notes throughout the life of the deal. The RF cannot be amortised during the life of the transaction and will be replenished up to its required/initial level of EUR 30.0 million on each payment date if it was used by the SPV on previous payment dates.

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

DBRS Morningstar analysed the transaction structure in its proprietary Excel-based cash flow engine.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating CLOs Backed by Loans to European SMEs”.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction’s 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 “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for these ratings include reports and information provided by the Management Company InterMoney Titulización S.G.F.T., S.A. and loan-by-loan data from the European DataWarehouse GmbH.

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

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

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar 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 29 January 2019, when DBRS Morningstar upgraded its rating to AA (high) (sf) from A (high) (sf) on the Series A Notes and confirmed its CC (sf) rating on the Series B Notes.

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

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

-- Probability of Default Rates Used: Base Case PD of 2.18% for standard loans and 7.22% for refinanced loans, a 10% increase of the base case and a 20% increase of the base case PD.
-- Recovery Rates Used: Base Case Recovery Rates of 28.7% at the AA (high) (sf) stress level and 41.3% at the CC (sf) stress level for the Series A Notes and Series B Notes, respectively, a 10% and 20% decrease in the Base Case Recovery Rates.

In relation to the Series A Notes, DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a confirmation of the Series A Notes’ rating at AA (high) (sf). A hypothetical decrease of the recovery rate by 20%, ceteris paribus, would also lead to a confirmation of the Series A Notes’ rating at AA (high) (sf). A scenario combining both a hypothetical increase in the PD by 20% and a hypothetical decrease in the recovery rate by 20% would also lead to a confirmation of the Series A Notes at AA (high) (sf).
The rating on the Series B Notes would also not be affected by any of the above additional stresses.

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

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

Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 24 April 2018

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main – Deutschland

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Rating CLOs Backed by Loans to European SMEs
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- European RMBS Insight Methodology
-- European RMBS Insight: Spanish Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Structured Finance Surveillance Methodology

A description of how DBRS Morningstar 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].