OREANDA-NEWS. Fitch Ratings has placed one tranche of IM Cajamar 4 on Rating Watch Negative (RWN) and two tranches of IM Cajamar 5 on Rating Watch Positive (RWP) following discovery of errors in the manual processing of the loan level data and manual entry of data into its EMEA RMBS Surveillance Model for Spain. A full list of rating actions is at the end of this rating action commentary.

KEY RATING DRIVERS

Fitch has found that in its 22 January 2016 rating action for IM Cajamar 4 and 5's notes some of the entered data relating to borrower and loan characteristics of the two portfolios, as well as data used in the calculation of the cost of carry were incorrectly entered into Fitch's EMEA RMBS Surveillance Model for Spain. This resulted in erroneous foreclosure frequency, recovery rates and net loss rates.

Fitch will determine the effect of these inconsistencies by conducting a full analysis of the transactions.

RATING SENSITIVITIES

The resolution of the Rating Watch may result in downgrades for IM Cajamar 4's class D notes and upgrades of IM Cajamar 5's class B and C notes.

DUE DILIGENCE USAGE

Fitch has not checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

The rating actions are as follows:

IM Cajamar 4, FTA

Series D: 'BBsf'; placed on RWN

IM Cajamar 5, FTA

Series B: 'BBBsf'; placed on RWP

Series C: 'BB+sf'; placed on RWP

SOURCES OF INFORMATION

The information below was used in the analysis.

Loan-by-loan data with a cut-off date of:

30 August 2015 downloaded from the European Data Warehouse.