DBRS Rates IM Cajamar 6 F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the following ratings to notes issued by IM Cajamar 6 F.T.A. (“Cajamar 6”):

• BBB (sf) to Class A

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

The transaction is a securitisation 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 this transaction originally closed in February 2008. The transaction has a relatively low non-indexed loan to value (LTV) of approximately 58% at the pool cut-off date. At the time of the assignment of the DBRS rating, the loans were approximately 80 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 a rating below DBRS rating criteria for an eligible counterparty posting collateral. Accordingly, at Cajamar’s current private rating level, DBRS views the counterparty to have 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 if it were unhedged.

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, DBRS 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 Structured Finance 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”.

These can be found on dbrs.com under Methodologies.

The sources of information used for this rating include investor reports and documents provided by the issuer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The final ratings concern newly issued financial instruments.

This is the first DBRS rating on these financial instruments.

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

For additional information on this rating, please see the linking document located at http://www.dbrs.com/research/260408/linking-document-im-cajamar-6-f-t-a.pdf

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 6th September 2013
Lead Surveillance Analyst: Keith Gorman

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