DBRS Assigns Final Ratings to IM CAJAMAR EMPRESAS 5, FTA

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the Notes issued by IM CAJAMAR EMPRESAS 5, FTA (“the Issuer”), as follows:

• EUR 175 million Series A1 Notes: A (low) (sf)
• EUR 365 million Series A2 Notes: A (low) (sf)
• EUR 135 million Series B Notes: CCC (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans to self-employed individuals and small-and medium-sized enterprises (“SMEs”) based in Spain. The loans were originated by “Cajamar Caja Rural, Sociedad Cooperativa de Crédito” (“Cajamar”) and “Caja Rural del Mediterráneo, Ruralcaja, Sociedad cooperativa de Crédito” (“Ruralcaja”) before 16 October 2012 and by “Cajas Rurales Unidas, Sociedad Cooperativa de Crédito” (“CRU” or the “Originator”) after 16 October 2012. CRU is the new entity resulting from the merger of Cajamar and RuralCaja. At closing of 26 March 2013, the transaction’s portfolio included 9,908 loans granted to 9,096 borrower groups totaling EUR 675 million.

The portfolio exhibits low obligor concentration, with the top obligor and the largest ten obligor groups representing 1.7% and 6.6% of the outstanding balance, respectively. The portfolio has a high industry exposure to the “Agriculture, Forestry and Fishing” sector, which represents approximately 36.6% of the outstanding balance. The exposure to this sector is expected given the nature of the Originator as a rural savings bank and its position as the specialist credit institution in the agriculture sector. The top three industries by NACE group also include the “Wholesale and Retail Trade” and “Manufacturing” sectors, which represent 16.9% and 13.2% of the portfolio balance, respectively. The exposure to the “Construction” and “Real Estate” sectors is negligible, representing less than 2.5% of the portfolio principal balance, which DBRS considers to be positive given the significant stress these sectors are going through in Spain.

The portfolio is mainly concentrated in the south of Spain where CRU is headquartered. The top three regions are Andalucía, Murcia, and the Valencian Community, representing approximately 44.2%, 23.1%, and 17.2% of the portfolio balance, respectively.

These ratings are based upon DBRS’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- At closing, the Series A1 and Series A2 Notes benefit from a total credit enhancement of 37% which DBRS considers to be sufficient to support the A (low) (sf) rating. The Series B Notes benefit from a credit enhancement of 17% which DBRS considers to be sufficient to support the CCC (sf) rating. Credit enhancement is provided by subordination and the Reserve Fund. In addition, the Notes also benefit from available excess spread.
--The Series A1 and Series A2 Notes are senior. For the first nine payment dates, the Principal Proceeds available from the amortisation of the portfolio will be used to amortise the Series A1 Notes only. Starting from the tenth Payment Date, the Series A1 and Series A2 Notes will amortise pro rata and pari passu until both series are paid-in-full. Nevertheless, the Series A1 and A2 Notes will amortise pro rata before the tenth Payment Date if the portfolio performance deteriorates below a specified level. The Series B Notes will start to amortise once the Series A1 and Series A2 Notes have paid-in-full.
--The transaction benefits from a Reserve Fund, which is available to cover senior expenses and interest shortfalls on the Series A1 and Series A2 Notes only. Once the Series A1 and Series A2 Notes have fully amortised, the Reserve Fund will also be available to cover missed interest on the Series B Notes. On the last Payment Date or the Liquidation Payment Date, the Reserve Fund can be used to pay principal on the Notes in accordance with the Priority of Payments, hence providing additional credit enhancement to the Notes. At closing, the Reserve Fund will equal EUR 114.75 million (17% of the initial portfolio notional) and will not amortise during the life of the transaction.

• 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 A1 and Series A2 Notes addresses the timely payments of interest, as defined in the transaction documents, and the ultimate payment of principal on or before the Final Maturity Date on November 2055. The rating of the Series B Notes addresses the ultimate payment of interest, as defined in the transaction documents, and the ultimate payment of principal on or before the Final Maturity Date in November 2055. Interest and principal payments on the Notes will be made monthly, generally on the 22nd day of each month, with the First Payment Date on 22 May 2013.

• The transaction does not benefit from any hedge agreements to mitigate interest rate risk (which include liquidity risk and basis risk). Nevertheless, DBRS considers that the liquidity risk is adequately covered by the Reserve Fund mechanism in place. Furthermore, DBRS adjusted the spread earned on the floating portfolio to account for basis risk. In addition, the transaction was also tested in DBRS cash flow model under different interest rate stress scenarios and concluded that the notes were able to survive the expected losses associated with the assigned ratings.

• 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.

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’s 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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.dbrs.com.

The sources of information used for this rating include IM CAJAMAR EMPRESAS 5, FTA; Intermoney Titulización, S.G.F.T., S.A. and Cajas Rurales Unidas, Sociedad Cooperativa de Crédito. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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

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

Lead Analyst: Carlos Silva
Rating Committee Chair: Simon Ross
Initial Rating Date: 3 April 2013

Notes:
All figures are in Euros unless otherwise noted.