DBRS Assigns Ratings to TDA FTPYME PASTOR 9, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned ratings of AAA (sf) to the €62.50 million Series A1 Notes, AAA (sf) to the €250.00 million Series A2(G) Notes and B (low) (sf) to the €127.50 million Series B Notes issued by TDA FTPYME PASTOR 9, F.T.A., (the “Issuer”). The transaction is a cashflow securitisation collateralized primarily by a portfolio of bank loans originated by Banco Pastor, S.A. (“Banco Pastor”) to Spanish small-and medium-sized enterprises (“SMEs”). The transaction has a portfolio notional amount of €440.00 million. As of November 26, 2010, the transaction included 3,384 loans with a weighted average seasoning of 1.4 years and a weighted average time to maturity of 9.4 years.

These 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 and reserve funded through a subordinated loan. A current credit enhancement level of 44.77% is sufficient to support an AAA (sf) rating of the Series A1 and Series A2(G) Notes.

-- Funded at the beginning of the transaction through the is suance of a subordinated loan granted by Originator, the cash reserve, initially at 15.80% of the deal balance or €69.50 million is allowed to step down to the minimum of €34.75 million once sufficient Notes have amortised such that the cash reserve is 31.60% of the outstanding balance of the Notes. The reserve will not be reduced in the first two years of the transaction, except to pay for interest or principal shortfalls for the Series A1, Series A2(G) Notes and Series B Notes, and/or when the outstanding balance of the assets in arrears (90+ Days Past Due) is higher than 1%.

-- 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 provisional ratings of the Series A1 and Series A2(G) Notes address the timely payments of interest, as defined in the transaction documents, and the timely payments of principal on each Payment Date during the transaction and, in any case, at their Legal Final Maturities on the 22nd July, 2053. Interest and principal payments on the notes will be made quarterly, generally on the 22nd of the month, with the first payment date on the 26nd of April, 2011.

-- 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.

Note:
All figures are in Euro unless otherwise noted.

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 link below.

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

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.