Solicited rating
IM BCC CAJAMAR 1, FT
Rating Action
EthiFinance Ratings ("the Agency") has affirmed the rating of the Class A of AAA (sf) and the Class B notes of BB+ (sf) issued by IM BCC CAJAMAR 1, FT.
Executive Summary
IM BCC CAJAMAR 1, FT (the "FT" or the "Fund"), is a granular securitization fund with a static pool of secured loans structured under Spanish Legislation. The Fund was established with the purpose of funding and liquidity. The collateral consists of a portfolio of residential mortgage loans originated and serviced by Cajamar Caja Rural, Sociedad Cooperativa de Crédito (“Cajamar”). The legal maturity date is March 20, 2059.
The main drivers analyzed by EthiFinance Ratings are the macroeconomic environment that influences interest rates, prepayment rates, and housing prices affecting the Loan to Value ratio.
Rating Fundamentals
- The Credit Enhancement (CE) of Tranche A and B has risen. This rise is attributed to organic amortization, with Tranche A going up from 46.98% to 55.28%, and Tranche B from 6.71% to 7.90% between November 2023 and November 2024.
- The Probability of Default (PD) of the Loan Portfolio has decreased from 4.8% in November 2023 to 4.7% in November 2024. The decrease in the PD is explained by the organic amortization of the portfolio and the lower Loan to Value.
- The accumulated Default Rate has risen by 0.15% since the last review. It was initially set at 0.69% in November 2023 and increased to 0.84% in November 2024, influenced by multiple interest rate hikes during this period. The increase in the last 12-month period was higher that in the previous review, when the accumulated default rate increased 0.11%.
- The Combined Loan To Value (CLTV) maintains its declining trajectory, reaching 49.7% in November 2024 vs. 51.7% in November 2023. Since the inception of the Fund, the CLTV has consistently followed a downward trend, hovering below 50%, a favourable scenario in the event of foreclosures. The Combined Loan to Value represents the weighted average of the LTV of the Loans.
- The lifetime prepayments have increased. The lifetime prepayment reached 6.7% in November 2024 vs. 5.8% in November 2023. We expect the prepayment to increase gradually considering the recent monthly prepayment rate, which reached 16.3% in November 2024. However, it has been observed that the monthly prepayment rate exhibits an increase in prepayments during specific months, particularly towards the end of the year.
Sensitivity Analysis
Factors that could (individually or collectively) impact the rating
- Positive factors
An improvement in the Credit Enhancement of the Fund given a lower LTV and lower level of defaults. Additionally, for Tranche B, it is necessary to achieve the same higher rating in all the stress tests.
- Negative factors
Worsening of the macroeconomic conditions may result in a diminished valuation of the collateral. Additionally, sustained pressure on interest rates or the absence of a decrease could negatively impact the debtor’s ability to fulfill financial obligations.
Description of the Transaction
IM BCC CAJAMAR 1, FT is a granular securitization fund with a static pool of secured loans structured under Spanish legislation, thus closed by the asset and liability side. The collateral consists of a portfolio of residential mortgage loans originated and serviced by Cajamar. In November 2024 the Fund had assets and a reserve fund for an amount of € 302,109,112 and liabilities for € 284,896,103.
Participants
Operation Diagram
Sources of information
The credit rating assigned in this report has been made solicited by the originator of the assets, taking part in the process. The credit rating is based in:
- Public information from public access sources.
- Information provided by the originator of assets assigned or that shall be assigned to the securitization fund.
From the time of the assignment of the credit rating, all information provided by the originator of the assets, by the servicer of the assets (other than the originator) o by a third participant in the transaction, shall be reviewed and analyzed with the aim to assess the following issues:
- The performance of the credit quality of the assets comprising the collateral of the Fund.
- The level of credit enhancement.
- The evolution of the quantitative triggers of the Fund.
- The evolution of the qualitative triggers (counterparty risks).
The information has been thoroughly reviewed to ensure that it is valid, coherent and consistent and it is considered as satisfactory. Nevertheless, EthiFinance Ratings assumes no responsibility for the accuracy of the information provided and the conclusions drawn from it.
Additional information
-
The rating was carried out in accordance with Regulation (EC) N°1060/2009 of the European Parliament and the
Council of 16 September 2009, on credit rating agencies. Principal methodology used in this research are :
- Structured Finance Rating Methodology - General : https://files.qivalio.net/documents/methodologies/CRA 140 V1.Structured Finance Rating Methodology General.pdf
- The rating scale used in this report is available at https://www.ethifinance.com/en/ratings/ratingScale.
- EthiFinance Ratings publishes data on the historical default rates of the rating categories, which are located in the central statistics repository CEREP, of the European Securities and Markets Authority (ESMA).
- In accordance with Article 6 (2), in conjunction with Annex I, section B (4) of the Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009, it is reported that during the last 12 months EthiFinance Ratings has not provided ancillary services to the rated entity or its related third parties.
- The issued credit rating has been notified to the rated entity, and has not been modified since.
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