DBRS Assigns Final Ratings to FONCAIXA EMPRESAS 1, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned final ratings of AAA (sf) to the €600,000,000.00 Series A1 Notes, AAA (sf) to the €600,000,000.00 Series A2 Notes, AAA (sf) to the €600,000,000.00 Series A3 Notes and AA (high) (sf) to the remaining €2,969,477,464.50 Series A4 Notes issued by FONCAIXA EMPRESAS 1, 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”). As of 31 January 2011, the transaction had a portfolio notional amount of €4,166.64 million and included 25,570 loans with a weighted average time to maturity of 11.7 years.

The transaction is an existing transaction that had its Constitution Date on 18 March 2009.

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 a reserve funded through the issuance of the Series D Notes. The current performing asset balance of €4,166.64 million plus the Amortisation Account balance of €1,223.26 million and the Reserve Fund of €626.25 million is sufficient to support the AAA (sf) ratings of the Series A1, A2 and Series A3 Notes and the AA (high) (sf) rating of the Series A4 Notes.
-- The Series A1 and Series A2 Notes are completely defeased by the balance in the Amortisation Account.
-- Funded at the beginning of the transaction through the issuance of the Series D Notes, the Reserve Fund, initially at 10.50% of the aggregate balance of the of the Series A1, A2, A3, A4, B and Series C Notes or €630.00 million, is available to pay shortfalls in the senior expenses and interest throughout the life of the Notes, and interest and principal on the Notes. It is currently at €626.25 million.
-- The Reserve Fund cannot be reduced, except for required payments to cover interest and principal shortfalls, unless:
---- The transaction is at least three years old;
---- The Reserve Fund is at least 21.00% of the outstanding aggregate balance of the Series A1, A2, A3, A4, B and Series C Notes; and,
---- The Reserve Fund balance is greater than €315.00 million, equivalent to 5.25% of the initial aggregate balance of the Series A1, A2, A3, A4, B and Series C Notes.
-- In addition, the Reserve Fund will not be eligible for further pay downs, the above notwithstanding, if:
---- The balance of the Reserve Fund was not at the minimum required level the previous period; or,
---- The outstanding balance of the non-failed assets which are more than 90 days in arrears is greater than 1% of the outstanding balance of the total non-failed assets.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the ratings of the Series A1, Series A2, Series A3 and Series A4 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 24 May 2051. Interest and principal payments on the notes are made quarterly, generally on the 19th day of March, June, September and December. The next payment day will be 21 March 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, which can be found on our website under Methodologies.

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’ 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 1, F.T.A. and GESTICAIXA, S.G.F.T., S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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

Rating was disclosed to GESTICAIXA S.G.F.T., S.A. and no amendments were made following that disclosure before being assigned.

Note:
All figures are in Euro unless otherwise noted.