OREANDA-NEWS. Fitch Ratings has downgraded IM Tarjetas 1 FTA's EUR840m (ES0347464002) Series A notes to 'A-sf' from 'Asf'. The Outlook is Stable.

The notes are collateralised by a pool of Spanish VISA branded credit card receivables, originally underwritten and serviced by Citibank Espana. In September 2014, Citibank's Spanish retail business was sold to Bancopopular-e, a fully owned subsidiary of Banco Popular (BB-/Positive/B), which became the new asset servicer for IM Tarjetas 1 FTA. Banco Popular subsequently sold a 51% stake of Bancopopular-e to Varde Partners, a private equity fund.

KEY RATING DRIVERS
Revolving Period Extension
The transaction's three-year revolving period has been extended by 18 months until 22 July 2017, and the final maturity date has correspondingly been extended until 22 November 2021. During the revolving period, repayments may be used to finance new drawings from existing credit cards but no new credit card accounts may be purchased. Excess cash in the SPV after acquiring new assets is accumulated in an acquisition reserve at the SPV account bank, Banco Santander (A-/Stable/F2).

Excessive Counterparty Exposure
The acquisition reserve has been steadily increasing since transaction close as the asset balance is decreasing. As of September 2015, the cash balance was of EUR99m, or 9.9% of the initial collateral balance. During the extended revolving period, this cash balance is expected to increase further and is now considered to be "excessive" as defined in Fitch's counterparty criteria. As a result, Fitch is capping the notes' ratings at the level of the SPV account bank's Issuer Default Rating (IDR).

Stable Servicing Procedures
Fitch has conducted a servicer procedures review and concluded that account management has remained fairly stable since Bancopopular-e became the new asset servicer. This is because the sale of Citibank's Spanish retail business to Bancopopular-e included the transfer of the management team, the staff, the processes and the risk models. The obligations of Bancopopular-e under the servicing agreement are covered by an irrevocable and first demand guarantee provided by Banco Popular. There have been no disruptions to monthly reporting.

Positive Performance
We have reduced the steady state annualised charge-offs rate to 6.5% from 7.5%, reflecting the better quality portfolio from the additional accounts' seasoning. At the same time, we increased our 'A' charge-off multiplier to 3.00 from 2.63 to factor in base-case compression. On the other end, we lowered base case purchase rates 90% from 100% to capture closing accounts, as new accounts cannot be added to the portfolio. Finally, we maintained base case monthly payment rates (MPR) and yield rates at 14% and 22%, respectively, based on historical performance. 'A' stressed haircuts on purchase rate, MPR stress and gross yield remain unchanged at 75%, 70% and 25%, respectively.

Structural Features
Credit enhancement for the class A notes is unchanged at 16%, since the transaction is still within the revolving period, during which excess principal collections after acquiring new credit rights are credited to an acquisition reserve, currently sized at EUR99m. In addition, the notes are protected by a dilution reserve to mitigate dilution risk and a liquidity reserve to mitigate payment interruption risk in the event of servicer disruption. The dilution and liquidity reserves are currently fully funded at EUR10.6m and EUR8.8m, respectively.

RATING SENSITIVITIES
If the SPV's account bank Long-term IDR, currently 'A+', was downgraded below 'A', the notes would be downgraded.

The most sensitive performance drivers are charge-offs and MPR. The notes' rating sensitivity to these variables is as follows:

Expected impact upon the class A notes rating of increased charge-offs:
Current rating: Asf
Increase base case defaults by 10%: A-sf
Increase base case defaults by 25%: A-sf

Expected impact upon the class A notes ratings of reduced MPR:
Current rating: Asf
Reduce base case MPR by 10%: A-sf
Reduce base case MPR by 25%: BBB+sf

Expected impact upon the class A notes ratings of increased charge-offs and reduced monthly payment rate:
Current rating: Asf
Increase base case defaults by 10% / Reduce base case MPR by 10%: De: A-sf
Increase base case defaults by 25% / Reduce base case MPR by 25%: BBBsf

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Investor reports provided by InterMoney Titulizacion SGFT, S.A as at 31 August 2015
- Aggregate portfolio data provided by InterMoney Titulizacion SGFT, S.A as at 31 August 2015
- Servicer's procedures review as of at 01 October 2015

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see IM Citibank Tarjetas 1, FTA - Appendix, dated 19 December 2012 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website.