DBRS Rates IM Cajamar 5 F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned a BBB (sf) rating to the Class A notes issued by IM Cajamar 5 F.T.A. (“Cajamar 5”).

The Class B, C, D and E notes are not rated by DBRS.

The transaction is a securisation of first lien Spanish residential mortgage loans originated by Cajamar Caja Rural and Caja Rural del Mediterraneo, Ruralcaja. Cajamar and Ruralcaja merged in October 2012 to form Cajas Rurales Unidas (“Cajamar”) and originally closed in September 2007. The transaction has a relatively low non-indexed loan to value (LTV) (55.2%) at the pool cut-off date. At the time of the assignment of the DBRS rating, the loans were approximately 85 months seasoned.

Cajamar is the loan servicer and also fulfills the roles of the collection account and swap provider. DBRS assigned a private rating to Cajamar with the rating below DBRS rating criteria for an eligible counterparty posting collateral. Accordingly, at Cajamar’s current rating level, DBRS views the counterparty to have a heightened jump to default risk. Without the presence of collateral, it becomes increasingly difficult to replace a defaulted swap counterparty on similar terms. As a result, DBRS analysed the transaction as unhedged. As part of the analysis, DBRS amended its standard back loaded default timing curve to account for the fact that the transaction has significant seasoning at the time of rating.

The role of the account bank is undertaken by the Bank of Spain. DBRS does not currently maintain a rating on the Bank of Spain; however, has determined that its financial strength is commensurate with its role as account bank provider for this transaction.

The BBB (sf) rating is based upon DBRS review of the following analytical considerations:
• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination.
• The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Derivative Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include investor reports and revised documents provided by the issuer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The final ratings concern existing financial instruments issued in the past.

This is the first DBRS rating on these financial instruments.

For additional information on this rating, please see the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Alastair Bigley
Rating Committee Chair: Mary Jane Potthoff
Initial Rating Date: 23 May 2013