Morningstar DBRS Confirms Credit Ratings on Three Spanish RMBS Transactions

DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the bonds issued by three Spanish residential mortgage-backed security (RMBS) transactions as follows:

IM BCC Cajamar 1 (BCC Cajamar 1):
-- Class A Notes at AAA (sf)
-- Class B Notes at BBB (low) (sf)

IM Cajamar 5 F.T.A. (Cajamar 5):
-- Class A Notes at AAA (sf)

IM Cajamar 6 F.T.A. (Cajamar 6):
-- Class A Notes at AAA (sf)

The credit ratings on the Class A Notes address the timely payment of interest and the ultimate repayment of principal on or before the respective legal final maturity dates. The credit rating on the Class B Notes issued by BCC Cajamar 1 transaction addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date.

The credit rating confirmations follow annual reviews of the transactions and are based on the following analytical considerations:
-- Portfolio performances, in terms of delinquencies, defaults, and losses as of the respective latest payment dates;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- The current available credit enhancement to the rated notes to cover the expected losses assumed at their respective credit rating levels.

BCC Cajamar 1, Cajamar 5 and Cajamar 6 closed in January 2016, September 2007 and February 2008, respectively. The three transactions are Spanish residential mortgage-backed securities transactions originated and serviced by Cajamar Caja Rural, Sociedad Cooperativa de Crédito (Cajamar).

PORTFOLIO PERFORMANCE
The three portfolios are currently performing within Morningstar DBRS' expectations. As of the latest cut-off dates, the 90+-day arrears and gross cumulative defaults ratios were as follows:

-- BCC Cajamar 1: 0.4% and 0.8%, respectively;
-- Cajamar 5: 0.1% and 5.9%, respectively; and
-- Cajamar 6: 0.3% and 8.5%, respectively.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables of each transaction and updated its base case PD and LGD assumptions as follows:

-- BCC Cajamar 1: 2.7% and 19.9%, respectively;
-- Cajamar 5: 1.5% and 1.2%, respectively; and
-- Cajamar 6: 1.6% and 3.8%, respectively.

CREDIT ENHANCEMENT
In each transaction, credit enhancement to the rated notes is provided by the subordination of the junior classes and the respective cash reserves.

-- For BCC Cajamar 1, the Class A and Class B Notes follow a sequential amortisation schedule. As of the September 2024 payment date, the Class A Notes' credit enhancement increased to 54.1% from 44.5% in the last annual review. Once the Class A Notes are paid in full, the reserve fund will provide credit support to the Class B Notes. There is no credit enhancement available to the Class B Notes until the Class A Notes were paid in full.
-- For Cajamar 5 and Cajamar 6, the Class A, Class B, Class C, and Class D Notes follow a pro rata amortisation schedule. As of the September 2024 payment date, the Class A Notes' credit enhancement increased slightly to 13.4% for Cajamar 5 and 19.2% for Cajamar 6, up from 12.6% and 18.3%, respectively, in the last annual review.

RESERVE FUNDS
The reserve funds for all the three transactions are at their respective target levels.
-- BCC Cajamar 1 benefits from a nonamortising reserve fund sized at 3% of the initial balance of the Class A Notes and Class B Notes. It is currently at its target balance of EUR 22.5 million. The reserve fund provides liquidity and credit support to the Class A Notes, and once the Class A Notes are paid in full it will be available to support the Class B Notes.
-- Cajamar 5 and Cajamar 6 transactions benefit from amortising cash reserves, currently at their respective floor and target balances of EUR 7.5 million and EUR 25.4 million, respectively. Both reserves provide liquidity and credit support to the Class A Notes.

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

Morningstar DBRS' credit rating on the applicable class addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transactions structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is the "Master European Structured Finance Surveillance Methodology" (6 August 2024), https://dbrs.morningstar.com/research/437540.

Other methodologies referenced in these transactions are listed at the end of this press release.

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

A review of the transactions' legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

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

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

For BCC Cajamar 1, at the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments for the transaction. However, this did not impact the credit rating analysis.

For Cajamar 5 and Cajamar 6, at the time of the initial credit ratings, Morningstar DBRS was not supplied with third-party assessments for the transactions. However, this did not impact the credit rating analyses.

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

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

The last credit rating action on BCC Cajamar 1 took place on 26 September 2023, when Morningstar DBRS confirmed its credit ratings on the Class A and Class B Notes at AAA (sf) and BBB (low) (sf), respectively.

The last credit rating actions on Cajamar 5 and Cajamar 6 took place on 29 September 2023, when Morningstar DBRS confirmed its credit ratings on the Class A Notes at AAA (sf) in both transactions.

Information regarding Morningstar DBRS credit ratings, including definitions, policies and methodologies is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the 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 of the current pool of loans at the B (sf) credit rating level are as follows:
-- BCC Cajamar 1: 2.7% and 19.9%, respectively;
-- Cajamar 5: 1.5% and 1.2%, respectively.
-- Cajamar 6: 1.6% and 3.8%, respectively.

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

BCC Cajamar 1:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)

Cajamar 5 Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Cajamar 6 Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Baran Cetin, Senior Analyst
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Dates:
-- BCC Cajamar 1: 15 January 2016
-- Cajamar 5: 23 May 2013
-- Cajamar 6: 6 September 2013

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at:
https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (6 August 2024), https://dbrs.morningstar.com/research/437540/.
-- European RMBS Insight Methodology (18 September 2024) and the European RMBS Insight Model v.10.0.0.0, https://dbrs.morningstar.com/research/439573/.
-- European RMBS Insight: Spanish Addendum (8 March 2024), https://dbrs.morningstar.com/research/429109/.
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435278/.
-- Legal Criteria for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435165/.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571/.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781/.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/278375.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.