DBRS Assigns Ratings to Cajas Rurales Unidas Cedulas Hipotecarias New Issuance

DBRS Rating Limited (DBRS) has today assigned a rating of BBB (High) to a new covered bond issuance (ES0422714024) issued by Cajas Rurales Unidas (CRU). The new issuance is a EUR750mln fixed rate security with a 3.75% annual coupon maturing in November 2018. At the same time, DBRS has confirmed the BBB (High) rating on all outstanding singular Cedulas Hipotecarias (CH).

The ratings are based on the following analytical considerations:
• The credit quality of the cover pool and the substantial support of the cover pool in the event of the default of CRU.
• DBRS Legal and Structuring Framework assessment of “Modest”.
• Cover Pool Credit Assessment of BBB.
• CRU’s capabilities with respect to origination of the cover pool assets and servicing of the cover pool.

The transaction was modeled in DBRS European Covered Bond Cash Flow Model. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses and market spread values to calculate liquidation values on the cover pool.

Following the issuance, the total outstanding amount of CH is EUR7.1bln while the aggregate balance of mortgages in the cover pool is EUR18.39bln resulting in a nominal over-collateralisation (OC) of 159%.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is: “Rating European Covered Bonds”. This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include historical default performance data and cover pool stratification tables that allowed DBRS to further assess the portfolio. 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.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com

All else equal, a downgrade of the Issuer rating by one notch would lead to up to two notches of downgrade of the covered bonds.

For further information on DBRS 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.

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

Initial Lead Analyst: Covadonga Aybar
Initial Rating Date: 19 July 2013
Initial Rating Committee Chair: Quincy Tang

Last Rating Date: 4 December 2013
Lead Analyst: Covadonga Aybar
Rating Committee Chair: Quincy Tang

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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

• Rating European Covered Bonds
• Global Methodology for Rating Banks & Banking Organisations
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations