DBRS Assigns Ratings to Foncaixa Empresas 2, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned ratings of AAA (sf) to the €416.30 million Series A1 Notes and AAA (sf) to the €1,063.70 million Series A2 Notes issued by Foncaixa Empresas 2, F.T.A., (the “Issuer”). The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Caixa d’Estalvis i Pensions de Barcelona (“la Caixa”) to Spanish enterprises and small-and medium-sized enterprises (“SMEs”). The transaction has a portfolio notional amount of €1.85 billion. As of 23 November 2010, the transaction included 9,198 loans with a weighted average seasoning of 1.8 years and a weighted average time to maturity of 9.0 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, a reserve funded through a subordinated loan and excess spread. A current credit enhancement level of 33.75% is sufficient to support an AAA (sf) rating of the Series A1 and Series A2 Notes;
--- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by la Caixa, the cash reserve, initially at 13.75% 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 reserve cannot be reduced until it is 27.50% of the notes outstanding balance, which includes the Class A Notes, Class B and Class C Notes and cannot be reduced to less than €127,187,500 other than to pay interest or principal as specified.

• 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 ratings of the Series A1 and Series A2 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 1 August 2044. Interest and principal payments on the notes will be made quarterly, generally on the 15th of each month, with the first payment date on 15 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.

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. Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

The sources of information used for these ratings include parties involved in the rating, including but not limited to Foncaixa Empresas 2, F.T.A. and Caixa d’Estalvis i Pensions de Barcelona. 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.