Morningstar DBRS Upgrades Credit Ratings on IM Andbank RMBS 1, Fondo de Titulización

DBRS Ratings GmbH (Morningstar DBRS) upgraded the following credit rating on the notes issued by IM Andbank RMBS 1, Fondo de Titulización (the Issuer):

-- Class A Notes to AAA (sf) from AA (high) (sf)
-- Class B Notes to AA (sf) from at A (high) (sf)
-- Class C Notes to A (high) (sf) from at BBB (high) (sf)

The credit rating on the Class A Notes addresses the timely payment of interest and ultimate repayment of principal on or before the Legal Final Maturity Date in June 2056. The credit ratings on the Class B Notes addresses the ultimate payment of interest, timely once becomes most senior, and ultimate repayment of principal on or before the Legal Final Maturity Date. The credit rating on the Class C Notes addresses the ultimate payment of interest and repayment of principal on or before the Legal Final Maturity Date.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the December 2024 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective credit rating levels.

The Issuer is a securitisation of residential mortgage loans secured over first-lien, owner-occupied properties in Spain granted and serviced by Andbank España, S.A.U (Andbank). The transaction closed in January 2022 with an initial portfolio of EUR 150.0 million and a revolving period of 12 months, which ended on the December 2022 payment date.

On the December 2022 payment date, the Issuer exercised its option to increase the notes balance through a pro rata tap issuance of additional notes of the existing series in an aggregate amount of EUR 17.7 million, with the proceeds used to fund the acquisition of additional receivables from Andbank, resulting in a portfolio balance of EUR 166.9 million, and top up the cash reserve to its target balance.

PORTFOLIO PERFORMANCE
As of the December 2024 payment date, loans 0 to 30 days delinquent represented 0.4% of the outstanding principal balance of the portfolio, with no more loans reported in arrears. There have been no defaults to date, defined in the transaction documents as loans that are 12 or more months in arrears.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base-case PD and LGD assumptions to 2.0% and 3.6%, respectively.

CREDIT ENHANCEMENT
The subordination of the respective junior notes and the cash reserve provides credit enhancement to the rated notes. As of the December 2024 payment date, credit enhancement to the Class A, Class B and Class C Notes increased to 18.6%, 13.5% and 9.0%, respectively, from 14.7%, 10.7% and 7.2%, respectively, as of the December 2023 payment date. The increase in credit enhancement prompted the credit rating upgrades.

The transaction benefits from an amortising reserve fund available to cover senior expenses, interest, and principal payments due on the rated notes. The reserve was funded at closing to EUR 6.75 million through the proceeds of a subordinated loan granted by Andbank. On the December 2022 payment date, following the tap issuance of the rated notes, the reserve was increased to its target balance of EUR 7.5 million. Following the end of the revolving period, the reserve amortises to the lower of EUR 7.5 million and 9.0% of the outstanding rated notes balance, subject to a floor of EUR 3.76 million. As of the December 2024 payment date, the reserve was equal to EUR 6.4 million, its target level.

Banco Santander SA (Santander) acts as the account bank for the transaction. Based on the account bank 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 structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address 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 at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the Master European Structured Finance Surveillance Methodology (19 November 2024), https://dbrs.morningstar.com/research/443204.

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

The A (high) (sf) credit rating on the Class C Notes materially deviates from the higher credit rating implied by the quantitative model. Morningstar DBRS considers a material deviation to be a credit rating differential of three or more notches between the assigned credit rating and the credit rating implied by a quantitative model that is a substantial component of a credit rating methodology; in this case, the credit rating addresses the ultimate payment of interest and principal on or before the final maturity date as defined in the transaction legal documents. Morningstar DBRS typically expects bonds rated in the AA category in the respective credit rating scenario to be able to pay interest on a timely basis once they are the most senior bond in the transaction.

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

A review of the transaction 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 investor reports provided by InteMoney Titulización S.G.F.T., S.A. (the Management Company) and loan-level data provided by European DataWarehouse GmbH.

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

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

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 this transaction took place on 19 January 2024, when Morningstar DBRS confirmed its credit ratings on the Class A and Class B Notes at AA (high) (sf) and A (high) (sf), respectively, and upgraded its credit rating on the Class C Notes to BBB (high) (sf) from BBB (low) (sf).

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 rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (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 for the Issuer are 2.0% and 3.6%, 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.

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 AA (high) (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 AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

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

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of A (high) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (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: Helvia Meana, Assistant Vice President,
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 18 June 2021

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 (19 November 2024)
https://dbrs.morningstar.com/research/443204.
--European RMBS Insight Methodology (3 December 2024) and European RMBS Insight Model version 10.1.0.0
https://dbrs.morningstar.com/research/444100
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- 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/439604.

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