Press Release

DBRS Morningstar Upgrades and Confirms Ratings on IM BCC Cajamar 2 FT

RMBS

August 01, 2022

DBRS Ratings GmbH (DBRS Morningstar) upgraded and confirmed its ratings on the Class A and Class B Notes (together, the Rated Notes) issued by IM BCC Cajamar 2 FT (the Issuer) as follows:

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to BB (high) (sf) from B (low) (sf)

DBRS Morningstar also removed the Class B Notes from Under Review with Positive Implications (UR-Pos.), where they were placed on 4 May 2022 following a methodology update. For more information, please see:
https://www.dbrsmorningstar.com/research/396361/dbrs-morningstar-places-ratings-on-five-spanish-rmbs-transactions-under-review-with-positive-implications-following-methodology-update.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the final maturity date in December 2061. The rating on the Class B Notes addresses the ultimate payment of interest and principal on or before the final maturity date.

The 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 July 2022 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; -- Updated Spanish addendum to the “European RMBS Insight Methodology” and model; and
-- The current available credit enhancement to the Rated Notes to cover the expected losses assumed at their respective rating levels.

The transaction is a securitisation of residential mortgage loans originated and serviced by Cajamar Caja Rural that closed in December 2019. The Rated Notes are backed by a portfolio of first-lien and second-lien mortgages, secured over properties located in Spain.

PORTFOLIO PERFORMANCE
As of the July 2022 payment date, loans that were one to two months and two to three months delinquent represented 0.5% and 0.2% of the portfolio balance, respectively, while loans more than three months delinquent stood at 0.1%. Gross cumulative defaults represented 0.05%, of which 9.5% has been recovered so far.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions to 3.0% and 18.6%, respectively, from 7.6% and 26.1%, respectively. The improved assumptions are mainly driven by the updated Spanish addendum to the “European RMBS Insight Methodology” and model, which prompted the rating actions.

CREDIT ENHANCEMENT
The subordination of the Class B Notes and the reserve fund provide credit enhancement to the Rated Notes. As of the July 2022 payment date, the credit enhancement to the Class A and Class B Notes stood at 18.7% and 2.5%, respectively, up from 17.6% and 2.3%, respectively, since the latest annual review of the transaction.

The transaction benefits from a nonamortising reserve fund, sized at 2% of the initial balance of the Rated Notes, currently at its target of EUR 14.5 million. The reserve provides liquidity support and credit support to the Class A Notes until the Class A Notes are paid in full, after which time the reserve fund will provide liquidity support to the Class B Notes.

Banco Santander SA (Banco Santander) acts as the account bank of the transaction. Based on the account bank reference rating of A (high) (one notch below the DBRS Morningstar Long Term Critical Obligations Rating of AA (low) of Banco Santander), 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 in the transaction to be consistent with the ratings assigned to the Rated Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

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

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/396929.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

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.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports provided by Intermoney Titulización, SGFT, S.A. (the management company) and loan-level data provided by 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 purpose 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 4 May 2022, when DBRS Morningstar placed its rating on the Class B Notes UR-Pos. Prior to that, on 16 December 2021, DBRS Morningstar upgraded the rating on the Class A Notes to AAA (sf) from AA (high) (sf) and upgraded the rating on the Class B Notes to B (low) (sf) from CCC (sf).

The lead analyst responsibilities for this transaction have been transferred to Preben Cornelius Overas.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the Base Case):
-- DBRS Morningstar 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 3.0% and 18.6%, 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. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (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 AA (high) (sf).

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

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

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

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

Lead Analyst: Preben Cornelius Overas, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 19 December 2019

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The rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

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

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

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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