DBRS Confirms Rating on the Notes Issued by IM BCG RMBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS

DBRS Ratings Limited (DBRS) has today confirmed the A (high) (sf) rating on the Class A notes issued by IM BCG RMBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS (the Issuer).

The confirmation of the rating on the Class A notes reflects an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults as of the May 2017 payment date.
-- Probability of default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining portfolio collateral.
-- Current available credit enhancement to the Class A notes to cover the expected losses at the A (high) (sf) rating level.

The Issuer is a securitisation of Spanish prime residential mortgage loans originated and serviced by Banco Caixa Geral, S.A., a subsidiary of Portugal’s largest bank, the government-owned Caixa Geral de Depósitos, S.A. The transaction follows Spanish securitisation law and closed in November 2013.

PORTFOLIO PERFORMANCE
The performance of the collateral portfolio is within DBRS’s expectations. As of May 2017, loans more than 90 days in arrears are at 0.19% of the outstanding performing portfolio collateral balance. Defaults are defined as loans in arrears for more than 12 months, and the cumulative percentage is at 0.31% of the original portfolio collateral balance.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining pool and updated its PD and LGD assumptions to 16.25% and 45.83%, respectively, to reflect the current rating on the remaining portfolio collateral pool.

CREDIT ENHANCEMENT
The Class A notes are supported by subordinated Loan B and the Reserve Fund, which provide liquidity support to the Class A notes. As of the May 2017 payment date, the Class A notes’ credit enhancement was at 11.1% of the outstanding performing portfolio collateral balance.

Banco Santander SA acts as Account Bank (as holder of the Treasury Account) for this transaction. The Account Bank reference rating of “A”, which is one notch below the DBRS Long-Term Critical Obligations Rating (COR) of Banco Santander SA at A (high), complies with the Minimum Institution Rating, given the rating assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Master European Structured Finance Surveillance Methodology.”

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

A review of the transaction 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 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 sources of data and information used for this rating include the investor reports provided by InterMoney Titulización S.G.F.T., S.A and the loan-by-loan data from the European DataWarehouse GmbH.

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

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

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

DBRS 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 2 June 2016, when DBRS upgraded the rating on the Class A notes to A (high) (sf) from A (sf).

The lead analyst responsibilities for this transaction have been transferred to Antonio Di Marco.

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

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

-- 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 pool of mortgages are 4.33% and 32.31%, respectively. At the A (high) (sf) rating level, the corresponding PD is 16.25% and the LGD is 45.83%.

-- 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 on the Class A notes would be expected to be A (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A notes would be expected to be A (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A notes would be expected to be BBB (sf).

Class A notes Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (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.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 19 November 2013

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

-- Master European Structured Finance Surveillance Methodology
-- European RMBS Insight: Spanish Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- 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.