DBRS Assigns Final Ratings to FONCAIXA EMPRESAS 3, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the final ratings of AAA (sf) to the €300.00 million Series A1 Notes and AAA (sf) to the €820.00 million Series A2 Notes issued by FONCAIXA EMPRESAS 3, F.T.A. (the “Issuer”). The total balance of Notes issued is €1,400.00 million. 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, small and medium-sized enterprises (“SMEs”). The transaction has a portfolio notional amount of €1,400.00 million. As of 27 February 2011, the transaction included 13,109 loans with a weighted average time to maturity of 10.4 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, a reserve funded through a subordinated loan and excess spread. The current credit enhancement of 30.55% is sufficient to support an AAA (sf) rating for the Series A1 Notes and the Series A2 Notes.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by la Caixa, the Reserve Fund, initially at 10.55% of the aggregate balance of the Series A1, Series A2 and Series B Notes (the “Bonds”) or €147.70 million, is available to pay shortfalls in the senior expenses and interest and principal throughout the life of the Notes.
-- 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 21.10% of the outstanding aggregate balance of the Bonds; and,
---- The Reserve Fund balance is greater than €73.85 million, equivalent to 5.275% of the initial aggregate balance of the Bonds.
-- 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 at 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 final ratings of the Series A1 Notes and the 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 its Legal Final Maturity Date on 25 October 2048. Interest and principal payments on the notes will be made quarterly, generally on the 25th day of January, April, July and October. The first payment date will be 26 July 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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), 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 3, F.T.A., GestiCaixa S.F.G.T., S.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 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.

Simon Ross
Lead Analyst
Senior Vice President - European Structured Credit
+44 (0)20-3137-9502
sross@dbrs.com

Jerry van Koolbergen
Rating Committee Chair
Managing Director - U.S. & European Structured Credit
+1 212-806-3260
jvankoolbergen@dbrs.com

Note:
All figures are in Euro unless otherwise noted.