DBRS Assigns AAA (sf) Final Rating to Series A Notes issued by IM Caja Laboral Empresas 1, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the final rating of AAA (sf) to the €294,500,000 Series A Notes issued by IM Caja Laboral Empresas 1, F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Caja Laboral Popular Cooperativa de Crédito – Lan Kide Aurrezkia (“Caja Laboral”) to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. As of 18 May 2011, the final portfolio included 3,318 loans with a weighted average time to maturity of 10.7 years and a notional amount of €430.0 million.

This rating is based upon DBRS’ review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of subordination, a reserve funded through a participative loan and excess spread. For the purpose of analysing this transaction, DBRS considers the credit enhancement to be the difference between: i) the non-defaulted portfolio plus the current balance in the Reserve Fund and ii) the total of the outstanding balance of the particular debt series in question and all series senior to it. The Series A Notes’ current credit enhancement level is equal to €167.75 million (or 39% of the portfolio) and is sufficient to support AAA (sf) rating.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Caja Laboral, the Reserve Fund is initially set at €32.25 million, which was 7.5% of the aggregate initial balance of the Series A Notes and Loan B. The Reserve Fund is available to cover shortfalls in the senior expenses and interest on the Series A Notes. On the last payment date or in the case of an early amortization date the Reserve Fund can also be used to cover principal shortfalls.
-- The Reserve Fund cannot be reduced during the life of the transaction, except for required payments to cover interest and principal shortfalls.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the rating of the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Final Date, in accordance with the transaction documents. Interest and principal payments on the Notes will be made monthly, generally on the 20th day of each month. The first payment date will be 20 July 2011.

• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. Further information on DBRS’ analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

The sources of information used for this rating include parties involved in the rating, including but not limited to IM Caja Laboral Empresas 1, F.T.A., InterMoney Titulización S.G.F.T., S.A. and Caja Laboral Popular Cooperativa de Crédito – Lan Kide Aurrezkia. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Lead Analyst: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 20 May 2011

Note:
All figures are in Euro unless otherwise noted.