DBRS Assigns Rating to UNICAJA TDA VPO, F.T.A.

DBRS Inc., (DBRS) has assigned the following ratings to notes issued by UNICAJA TDA VPO, F.T.A.:

• €188.8 million Series A rated A (high) (sf)

The receivables securitized in the transaction consist of obligations arising under mortgage loans to individuals secured by both Protected Housing or Government-Subsidized Housing (Vivienda de Protección Oficial or “VPO”) and non VPO properties. The mortgages were originated by Monte de Piedad y Caja de Ahorros De Ronda, Cádiz, Almería, Málaga, Antequera y Jaén (“Unicaja”).

The ratings are based upon review by DBRS of the following analytical considerations:

•The transaction’s capital structure and the form and sufficiency of available credit enhancement.
•Relevant credit enhancement in the form of subordination, a reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios for the Series of notes issued by UNICAJA TDA VPO, F.T.A.
•Unicaja’s capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
•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.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies. Readers should also consider the DBRS commentary The Effect of Sovereign Risk on Securitisations in the Euro Area.

The sources of information used for this rating include performance data relating to the receivables provided by Unicaja. 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 these financial instruments.

For additional information on these ratings, please refer to the linking document located below.

Lead Analyst: Lain Gutierrez, Senior Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: May 11, 2011