Press Release

DBRS Morningstar Confirms AA (high) Ratings on Cajamar Caja Rural S.C.C. Covered Bonds (Cédulas Hipotecarias – Mortgages)

Covered Bonds
June 06, 2023

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AA (high) ratings on the outstanding Spanish mortgage covered bonds (Cédulas Hipotecarias or CH) issued under the Cajamar Caja Rural S.C.C. (Cajamar) Covered Bonds programme (the programme). This rating action follows the completion of a full review of the ratings.

The ratings are based on the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) of BBB (low), which is one notch above Cajamar’s Long-Term Senior Debt Rating. Cajamar is the Issuer and Reference Entity (RE) for the Programme.
-- A Legal and Structuring Framework (LSF) Assessment of “Strong” associated with the Programme.
-- A Cover Pool Credit Assessment (CPCA) of AA (high), which is the lowest CPCA in line with the LSF-Implied Likelihood (LSF-L).
-- An LSF-L of AA (low).
-- A two-notch uplift for high recovery prospects.
-- A level of overcollateralisation (OC) of 28.1% to which DBRS Morningstar gives credit, which is the minimum level observed in the last 12 months adjusted by a scaling factor of 0.85.
-- The sovereign rating of the Kingdom of Spain, rated ‘A’ with a Stable trend by DBRS Morningstar, as of the date of this press release.

DBRS Morningstar analysed the transaction with its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses, and market value spreads to calculate liquidation values on the cover pool (CP).

Everything else being equal, a one-notch downgrade of the CBAP would lead to a two-notch downgrade of the LSF-L, resulting in a two-notch downgrade of the covered bonds rating. In addition, all else unchanged, the CH ratings would be downgraded if any of the following occurred: (1) the CPCA was downgraded below AA (high); (2) the sovereign rating of the Kingdom of Spain was downgraded below A (low); (3) the LSF assessment associated with the Programme was downgraded; (4) the quality of the CP and the level of OC were no longer sufficient to support a two-notch uplift for high recovery prospects; (5) the relative amortisation profile of the CH and CP moved adversely; or (6) volatility in the financial markets caused the currently estimated market value spreads to increase.

As of 31 March 2023, the total outstanding amount of CH under the programme was EUR 6.1 billion, of which DBRS Morningstar publicly rates EUR 2.0 billion. The assets in the CP amounted to EUR 8.1 billion. This resulted in a total estimated OC of 33.0%.

Spanish CBs are backed by a specific portfolio of assets selected by the issuer. As of 31 March 2023, the CP comprised 123,361 mortgage loans, with a weighted-average (WA) current unindexed loan-to-value ratio of 46.7%. The pool is composed of residential loans (90.3%) and commercial loans (4.7%). The remaining part of the portfolio (4.9%) corresponds to liquid assets to cover the net liquidity outflow of the CB programme over the next 180 days.

The CP is geographically diversified across Spain, with higher concentrations in Andalusia (31.0%), Valencia (24.5%), and Murcia (18.3%). The pool is 105 months seasoned, with a WA remaining term of 222 months.

As is customary in the Spanish market, CHs do not benefit from hedging agreements to cover the mismatch between the interest paid by the CP (83.1% floating-rate linked to different indexes and resets) and the interest paid to the CB holders (100% fixed-rate). This risk is mitigated by the available OC and has been accounted for in DBRS Morningstar´s cash flow analysis.

All the assets and liabilities are EUR denominated.

The DBRS Morningstar-calculated WA life of the assets is approximately 11.2 years while that of the CBs is approximately 4.5 years. This generates an asset-liability mismatch that is mitigated by the available OC.

DBRS Morningstar assessed the LSF related to the programme as “Strong” according to its “Rating and Monitoring Covered Bonds” methodology. For more information, please refer to DBRS Morningstar’s “Spanish Mortgage Covered Bonds: Legal and Structuring Framework Review” commentary, available at

For further information on the programme, please refer to the rating report at


Credit rating actions on Cajamar are likely to have an impact on this credit rating.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at


All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is:
“Global Methodology for Rating and Monitoring Covered Bonds” (8 May 2023);

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at:

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The sources of data and information used for these ratings include CP stratification tables and loan by loan data as of 31 March 2023 on Cajamar CP and static pool default and recovery data on Cajamar mortgage book, as provided by the Issuer.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 8 July 2022, when DBRS Morningstar upgraded its ratings on the outstanding series of CBs issued under the programme.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Tomas Rodriguez-Vigil Junco, Vice President, Credit Ratings
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 19 July 2013

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81
Plantas 26 & 27
28046 Madrid, Spain
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Global Methodology for Rating and Monitoring Covered Bonds (8 May 2023),
-- Global Methodology for Rating and Monitoring Covered Bonds Addendum: Market Value Spreads (8 May 2023),
-- Global Methodology for Rating Banks and Banking Organisations (23 June 2022),
-- Legal Criteria for European Structured Finance Transactions (22 July 2022),
-- European RMBS Insight Methodology (27 March 2023) and European RMBS Insight model v (5 June 2023),
-- European RMBS Insight: Spanish Addendum (1 March 2023),
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022),
-- Rating CLOs and CDOs of Large Corporate Credit (7 February 2023),
-- Rating CLOs Backed by Loans to European SMEs (10 June 2022) and SME Diversity Model v. (2 June 2023),
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022),
-- Global Methodology for Rating Sovereign Governments (29 August 2022),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at