axesor rating assigned ratings to the notes issued by IM BCC CAJAMAR PYME 2, FT

04 de mayo de 2018

IM BCC CAJAMAR PYME 2, FT is a SME cash-flow securitisation transaction. The collateral is a portfolio of small and mid-sized enterprises and self-employed individuals, located in Spain and originated by Cajamar Caja Rural, Sociedad Cooperativa de Crédito (“Cajamar”).

Class A: EUR 760.000.000 - A+(sf)

The rating assigned for the Class A notes addresses the timely payment of interest and the ultimate payment of principal on the notes by the legal maturity date (22/06/2057).

 Class B: EUR 240.000.000 - CC(sf)

The rating assigned for the Class B notes addresses the ultimate payment of interest and the ultimate payment of principal on the notes by the legal maturity date (22/06/2057).

 The notes pay a monthly fixed coupon of 50 bps for the Class A and Class B notes over the first 18 months. After that date, the notes would pay variable interest referenced to the 1-month Euribor plus a margin of 20 bps for the Class A notes and 30 bps for the Class B notes.

Some relevant aspects of the transaction:

·        The preliminary portfolio is highly granular with low debtor group concentration. The largest debtor group, top ten and top twenty debtors represent 1.01%, 5.27% and 8.05% of the total, respectively.

·        There is a high industry exposure to Agriculture/Farming services, Food/Tobacco/Beverage and Transportation, which represents 56.30% of the outstanding principal balance. Although, the exposure to these industries is expected given the nature of the originator and its position as a specialist credit institution (primarily in the agriculture industry).

·        There is a high concentration by region. The top 3 regions represent 73,50% of the portfolio balance (Andalusia 29.97%, Murcia 22.69%, Valencian Community 20.84%). However, Axesor believes that this concern is partially mitigated by the fact that the originator has very good market knowledge and a strong competitive position in these regions.

·        The level of credit support available for the senior notes is provided by the subordination, the reserve fund and the excess spread available. The notes will pay in a strictly sequential manner. Therefore, the junior notes (Class B) will not start amortizing until the senior notes (Class A) are repaid in full. The structure has an excess spread trapping mechanism through a 12-month “artificial write-off”.

·        The transaction has in place a reserve fund of (3.0%). The non-amortizing reserve fund is fully funded at closing providing liquidity support to cover timely payment of expenses and interest on each payment date and principal shortfalls on the last payment date of the fund.

·        The structure does not use a swap, therefore, there is a mismatch between the reference indexes for the collateral and the notes. Fixed rate loans represent around 27% of the portfolio with a WA interest rate of 3.79%. Despite the absence of interest hedging mechanisms, Axesor considers that the reserve fund in place and the reset dates, that are distributed over the year, are significant factors to mitigate liquidity risk.

Counterparties: Cajamar acts as originator/servicer and collection account holder and Banco Santander acts as paying agent and issuer account holder.

Cajamar will act as servicer of the portfolio. Axesor believes that payment interruption risk and commingling risk are not material due to the expertise and adequate financial condition of Cajamar. Collections are domiciled and transferred from the collections account to the issuer account on a daily basis, reducing the amount subject to commingling risk. In addition, the reserve fund provides liquidity support.

Banco Santander will act as issuer account bank holder and paying agent. If the rating of Banco Santander falls below BBB- in the long term, the management company will be required to take one of the following steps within 30 working days: obtain a first demand and unconditional guarantee from a third party entity rated at least BBB- covering the obligations held under the bank account agreement or replace the bank by a third party entity rated at least BBB-.

Assumptions: Axesor relies on a Monte Carlo simulation to determinate the portfolio default rate for each rating level, calculated as percentiles of the default distribution based on Axesor´s idealised corporate default rates. Cash flows are calculated by applying the stressed default rate and recovery rate assumed for the rating level combined with different default timing distributions, prepayment levels and interest rate scenarios. The weighted average life (WAL) of the portfolio was 4.13 years. Axesor increased this figure to 4.52 years, to account for the permitted variations allowed in the transaction.

Class A - A+(sf): Expected lifetime default rate (38.50%) and recovery rate (unsecured/secured) 15%/45.99%. The Class A will benefit from a credit enhancement of 27%. Sensitivity analysis describes the impact on the rating assigned changing base case assumptions: DR +15% A(sf) / DR +30% BBB+(sf) / RR -15% A(sf) / RR -30% A(sf) / DR+15% & RR-15% A(sf) / DR+30% & RR-30% BBB+(sf).

Class B - CC(sf): Expected lifetime default rate (11.95%) and recovery rate (unsecured/secured) 25%/70.66%. The Class B will benefit from a credit enhancement of 3%. Sensitivity analysis was not conducted for the class B notes due to the current low rating level.

The information was used in accordance with best practices. Furthermore, where considered necessary, all the information has been fully checked to ensure plausibility and coherence. However, axesor rating declines all responsibility related to the accuracy of the information and the conclusions drawn from it. Axesor rating applied SMEs CLO criteria to conduct the analysis of this transaction.

For more details, please refer to the new issue report of this transaction.

Luis Bel
Head of Structured Finance
Axesor Rating



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