DBRS Assigns Ratings to PYMECAT 3 FTPYME, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned ratings of AAA (sf) to the €240.0 million Series A1(G) Notes, AAA (sf) to the €50.0 million Series A2 Notes and AAA (sf) to the €109.7 million Series A3 Notes issued by PYMECAT 3 FTPYME, F.T.A. (the “Issuer”). The transaction is a cashflow securitisation collateralized primarily by a portfolio of bank loans originated by Caixa Catalunya, Tarragona i Manresa (“CatalunyaCaixa”) to Spanish enterprises, small-and medium-sized enterprises (“SMEs”) and self-employed individuals. The transaction has a portfolio notional amount of €650 million. As of October 21, 2010, the transaction included 7,206 loans with weighted average seasoning of 1.9 years and a weighted average time to maturity of 7.4 years.

The final ratings are based upon DBRS’ review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
--- Credit enhancement is in the form of subordination, a non-amortising reserve funded through a subordinated loan and excess spread. A current credit enhancement level of 43.5% is sufficient to support the AAA (sf) rating of the Series A1(G), Series A2 and Series A3 Notes.
---Funded at the beginning of the transaction through the issuance of a subordinated loan granted by CatalunyaCaixa, the cash reserve, initially at 5% of the deal balance, is available to pay shortfalls in the senior expenses and interest throughout the life of the notes, and interest and principal at maturity on the rated Class A Notes.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the DBRS ratings on the Series A1(G), Series A2 and Series A3 Notes address the Issuer’s ability to make timely payments of interest, as specified in the transaction documents, and principal on or before the legal final maturities on 20th July, 2052. Interest and principal payments on the notes will be made monthly, generally on the 20th of each month, with the first payment date on the 20th of December 2010.

• The timely payment of interest and principal of the Series A1(G) Notes is guaranteed by the Ministry of the Economy and Finance of the Kingdom of Spain. Regardless of this Guarantee, however, the expected loss associated with the Series A1(G) Notes is consistent with a AAA rating.

• 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 made appropriate adjustments to our model parameters based on the analysis of historical performance data provided by the originator and servicer and incorporated the assessment of the current economic environment in Spain.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

The principal methodology applicable is Master European Granular Corporate Securitisations (SME CLOs) which can be found on our website under Methodologies or by clicking on the following link http://www.dbrs.com/research/235001.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality due to our review of this data at the time of its use.

Note:
All figures are in Euro unless otherwise noted.

For additional information on this rating, please see European Disclosure Requirements.