DBRS Assigns Final Ratings to Rural Hipotecario X, Fondo de Titulización de Activos Notes

DBRS Ratings Limited (“DBRS”) has today assigned a BBB (sf) rating to the Series B notes and a B (sf) rating to the Series C notes issued by Rural Hipotecario X, Fondo de Titulización de Activos (“RH X”).

The notes under Series A are rated ‘A’ (sf), effective February 8, 2013, by DBRS.

RH X, originally closed in June 2008, is the securitisation of first-ranking mortgage loans originated by 21 Spanish rural savings banks. The mortgage portfolio is seasoned more than 6 years and is serviced by the respective originators.

The credit enhancement to the Series A notes is provided by the subordination of Series B and Series C and an amortising reserve fund. The credit enhancement for Series B is provided by Series C and the amortising reserve fund. The credit enhancement for Series C is provided by only the amortising reserve fund.

As of the last payment date in May 2013, the credit enhancement to Series A notes stood at 10.40%, for Series B notes stood at 7.31% and that for Series C stood at 2.91%, built-up since close of the transaction by amortisation of notes.

The Series B and Series C notes are rated for ultimate payment of interest as the terms and conditions for these series of notes allow for deferment of interest to be paid based on specific trigger conditions. These, Series B and Series C notes, are also rated for ultimate payment of principal.

The Class A notes rated by DBRS in February 2013 are rated for timely payment of interest and ultimate payment of principal.

The ratings are based upon DBRS review of the following analytical considerations:
• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination, a reserve fund, and excess spread.
• The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• 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.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Derivative Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. 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”.

The sources of information used for this rating include a loan level data file for the receivables, performance of loans since closing of the transaction and foreclosure data provided by the issuer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The final ratings concern existing financial instruments issued in the past.

This is the first DBRS rating on these financial instruments.

The most recent rating action on this transaction took place on 8 February 2013, when DBRS assigned final rating of ‘A’ (sf) to Series A notes.

For additional information on this rating, please see the linking document which is located at http://dbrs.com/research/258644/linking-document-rural-hipotecario-x-fondo-de-titulizaci-n-de-activos.pdf

For further information on DBRS’s 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: Kali Sirugudi
Initial Rating Date: 08/02/2013
Rating Committee Chair: Erin Stafford

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Quincy Tang