DBRS Finalises Provisional Ratings on IM GBP Consumo I F.T.

DBRS Ratings Limited (DBRS) has today finalised its provisional ratings on the notes issued by IM GBP Consumo I F.T. (the Issuer or IM GBP Consumo I) as follows:

-- Series A Notes: A (sf)
-- Series B Notes: CC (sf)

The transaction represents the issuance of notes backed by a pool of approximately EUR 510 million of receivables related to consumer loan contracts (the receivables or collectively the portfolio) granted by Banco Popular Español S.A. and Banco Pastor S.A.U. (Banco Popular Español and Banco Pastor, the originators and the servicers) to private individuals in the Kingdom of Spain.

The ratings are based on a review by DBRS of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of subordination.
-- Credit enhancement levels are sufficient to support the expected net loss assumptions projected under various stress scenarios at A (sf) and CC (sf) standards for the Series A and Series B Notes, respectively.
-- The transaction is unhedged with the notes paying three-month Euribor and the collateral paying either a fixed rate, 12-month Euribor or other floating-rate indexes closely linked to 12-month Euribor.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The transaction parties’ capabilities with respect to originations, underwriting and servicing.
-- The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
-- The operational risk review conducted on Banco Popular Español and Banco Pastor by DBRS to conclude that they are acceptable servicers.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The sovereign rating of the Kingdom of Spain, currently at A (low).
-- The legal structure and presence of legal opinions addressing the assignment of assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

The transaction was modelled in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted. The principal methodology applicable is: “Rating European Consumer and Commercial Asset-Backed Securitisations.”

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The information used for these ratings includes performance and portfolio data relating to the consumer loans originated by Banco Popular Español and Banco Pastor. In particular, DBRS received quarterly default, recovery, amortisation and prepayment static vintage analysis relating to originations from June 2006 to December 2016. All data was sourced by Banco Popular Español and Banco Pastor directly or through the management Company, Intermoney Titulización, S.G.F.T., S.A.

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

DBRS has been supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

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:

-- Probability of Default (PD) Rates Used: Expected PD of 10.32% was applied. A 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Expected Recovery Rate of 35%.
-- Loss Given Default (LGD) Used: Expected LGD of 65%, a 25% and 50% increase in the LGD.

DBRS concludes that for the Series A Notes:
-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Series A Notes to A (low) (sf).
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Series A Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Series A Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Series A Notes to BB (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Series A Notes to BB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Series A Notes to B (high) (sf).

DBRS concludes that for the Series B Notes:
-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change of the rating of the Series B Notes.
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Series B Notes to C (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Series B Notes to C (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Series B Notes to C (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Series B Notes to C (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Series B Notes to C (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Alessio Pignataro, Senior Vice President
Initial Rating Date: 28 March 2017
Initial Rating Committee Chair: Christian Aufsatz, Managing Director

DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations

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