DBRS Assigns Provisional Ratings to FTPYME TDA CAM 7, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the provisional ratings of AA (sf) to the €244,192,575.55 Series A1 Bonds, AA (sf) to the €170,000,000.00 Series A2(CA) Bonds and AA (sf) to the €123,500,000.00 Series A3 Bonds (the “Class A Bonds”) issued by FTPYME TDA CAM 7, F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Caja de Ahorros del Mediterráneo (“CAM”) to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. As of 30 April 2011, the transaction had a performing notional amount of €618.91 million and included 4,766 loans with a weighted average time to maturity of 11.05 years.

The transaction is an existing transaction that had its Constitution Date on 1 August 2008.

The above ratings are provisional. Final ratings will be issued upon receipt of executed versions of the amended governing transaction documents. To the extent that the documents and information provided by FTPYME TDA CAM 7, F.T.A., Titulización de Activos, S.G.F.T. S.A., Caja de Ahorros del Mediterráneo and/or their agents to DBRS as of this date differ from the executed versions of the governing transaction documents, DBRS may assign lower final ratings to the Notes, or may avoid assigning final ratings to the Notes altogether.

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 participative loan and excess spread. For the purpose of analysing this transaction, DBRS considers the credit enhancement to be the difference between: i) the non-defaulted portfolio that is either current or less than 90 days in arrears in all payments of principal and interest plus the current balance in the Reserve Fund and ii) the total of the outstanding balance of the particular debt series in question and all series senior to it. The Class A Bonds’ current credit enhancement level is equal to €129.40 million and is sufficient to support AA (sf) rating.
-- The Series A2(CA) Bonds benefit from the Kingdom of Spain guarantee. The rating ascribed to the Series A2(CA) Bonds takes this guarantee into account.
-- Funded at the beginning of the transaction through the issuance of a participative loan granted by CAM, the Reserve Fund was initially set at €63.00 million. The Reserve Funds is available to cover shortfalls in the senior expenses and interest on the Series A1, Series A2(CA), Series A3, Series B and Series C Bonds (the “Issued Bonds”). On the last payment date or in case of early amortisation date, the Reserve Fund can also be used to cover principal shortfalls.
-- The required Reserve Fund minimum amount cannot be reduced, except for required payments to cover interest, principal and expense shortfalls, unless:
---- The transaction is at least three years old;
---- The Reserve Fund is at least 12.60% of the outstanding aggregate balance of the Issued Bonds. This percentage is twice the percentage that the Reserve Fund was of the initial aggregate balance of the Issued Bonds; and,
---- The Reserve Fund balance is at least €31.50 million, which is 3.15% of the initial aggregate balance of the Issued Bonds.
-- In addition, the Reserve Fund will not be eligible for further payments, unless:
---- The balance of the Reserve Fund was not at the minimum required level on the relevant Payment Date; or,
---- The outstanding balance of the non-failed assets, which are more than 90 days in arrears, is greater than 2.00% of the outstanding balance of the total non-failed assets.
-- The Class A Bonds will be paid sequentially unless the Cumulative Receivable Nominal Balance of the defaulted assets exceeds €40.00 million.
-- The principal of the Series B and C Bonds will be paid sequentially once the Class A Bonds have been redeemed in full, including any payments owed to the Kingdom of Spain under the guarantee on the Series A2(CA) Bonds, unless the Class A Bonds are not being redeemed sequentially and:
---- For the Series B Bonds:
------ The Series B Bonds balance is greater than or equal to 12.60% of the outstanding balance of the Issued Bonds;
------ The balance of the non-defaulted assets more than 90 days in arrears is less than 1.25% of the total non-defaulted assets;
------ The Reserve Fund is fully funded at the required level; and
------ The asset balance is at least €100.0 million.
---- For the Series C Bonds:
------ The Series C Bonds balance is greater than or equal to 8.00% of the outstanding balance of the Issued Bonds;
------ The balance of the non-defaulted assets more than 90 days in arrears is less than 1.00% of the total non-defaulted assets;
------ The Reserve Fund is fully funded at the required level; and
------ The asset balance is at least €100.0 million.

• 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(CA) and Series A3 Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Legal Maturity Date, in accordance with the transaction documents. Interest and principal payments on the Notes will be made quarterly, generally on the 25th day of each February, May, August and November. The next payment date will be 25 August 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 ratings, including but not limited to FTPYME TDA CAM 7, F.T.A., Titulización de Activos, S.G.F.T. S.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 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.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Provisional Rating Date: 13 June 2011

Note:
All figures are in Euro unless otherwise noted.