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

DBRS Ratings Limited (“DBRS”) has today assigned ratings of AAA (sf) to the €104.0 million Series A1 Notes and AAA (sf) to the €416.0 million Series A2 (G) Notes issued by FTPYME TDA CAM 9, F.T.A., (the “Issuer”). The transaction is a cashflow securitisation collateralised primarily by a portfolio of bank loans originated by Caja de Ahorros del Mediterráneo (“CAM”) to Spanish small-and medium-sized enterprises (“SMEs”). The transaction is issued under the FTPYME program following the Spanish Ministry of Economy’s allocation of a new guarantee budget for such transactions for the current year. As of 18th of November, 2010, the transaction has a current portfolio notional amount of €946.7 million and includes 8,517 loans with a weighted average seasoning of 2.7 years and a weighted average time to maturity of 10.6 years. The portfolio will be serviced by CAM.

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 37.33% 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 issuance of a subordinated loan granted by CAM, the cash reserve, initially at 6.67% of the initial balance of the Notes and the Loan B, or €50.0 million, is allowed to step down to the minimum of €25.0 million once i) sufficient Notes have amortised such that the cash reserve is 13.34% of the outstanding balance of the outstanding Notes and Loan B, ii) the transaction has been outstanding for more than three years, and iii) the outstanding balance of the assets in arrears (90+ Days Past Due) is less than 1%. Notwithstanding these, the reserve can be used at any time to pay for interest shortfalls on the Series A1 and Series A2 (G) Notes. In addition, the reserve will also be available to cover principal deficiencies of the Notes at the earlier of the final payment date and the Legal Final maturity.
• 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 25th of May, 2058. Interest and principal payments on the notes will be made quarterly, generally on the 25th of the month, with the first payment date on 25th of February, 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, amongst other considerations, the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle.

The applicable public methodologies are Master European Granular Corporate Securitisations (SME CLOs) and Legal Criteria for European Structured Finance Transactions.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment.

The sources of information used for these ratings include parties involved in the rating, including but not limited to FTPYME TDA CAM 9, F.T.A. and Caja de Ahorros del Mediterráneo. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Notes:
All figures are in Euro unless otherwise noted.