DBRS Assigns Provisional Ratings to PYMECAT 2 FTPYME, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the provisional rating of AA (low) (sf) to the €88,678,477.53 Series A1 Notes and the provisional rating of AA (low) (sf) to the €70,808,477.22 Series A2(G) Notes issued by PYMECAT 2 FTPYME, F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Caixa d'Estalvis de Catalunya, Tarragona i Manresa (“Catalunya Caixa”) to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. As of 31 May 2011, the transaction had a loan collateral balance of €234.56 million and included 2,026 loans with a weighted average time to maturity of 8.6 years.

The transaction is an existing transaction that had its Closing Date on 8 October 2008. The rating for the Class A2(G) Notes does not take into account the guarantee by the Kingdom of Spain.

The above ratings are provisional. Final ratings will be issued upon receipt of executed versions of the amended governing transaction documents including those specifying the replacement of Catalunya Caixa as Swap Counterparty. Catalunya Caixa has chosen to do this as its ratings require to provide additional credit support if it were to remain as Swap Counterparty. To satisfy the requirements from DBRS, Catalunya Caixa would have to choose one to the following options:
-- replace itself;
-- post collateral; or,
-- enter into an agreement with a sufficiently rated financial institution for such institution to provide a guarantee.
To the extent that the documents and information provided by PYMECAT 2 FTPYME, F.T.A., Titulización de Activos S.G.F.T., S.A., Gestión de Activos Titlulizados, S.G.F.T., S.A., Caixa d'Estalvis de Catalunya, Tarragona i Manresa 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 rating to the Notes, or may avoid assigning final rating to the Notes altogether.

This rating is 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. 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 and 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 Series A1 and Series A2(G) Notes’ current credit enhancement level is equal to €78.73 million and is sufficient to support AA (low) (sf) rating.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Catalunya Caixa, the Reserve Fund was initially set at €32.50 million. The Reserve Fund is available to cover shortfalls in the senior expenses and interest on the Series A1, Series A2(G), Series B, Series C and Series D Notes (the “Issued Notes”). On the last payment date or in case of early amortization date, the Reserve Fund can also be used to cover principal shortfalls.
-- The Reserve Fund cannot be reduced, except for required payments to cover interest, principal and expense shortfalls, unless:
---- The transaction is at least two years old;
---- The Reserve Fund is at least 13.0% of the outstanding aggregate balance of the Issued Notes. This percentage is twice the percentage that the Reserve Fund was of the initial aggregate balance of the Issued Notes; and,
---- The Reserve Fund balance is greater than €16.25 million.
-- In addition, the minimum required level of the Reserve Fund cannot decrease if:
---- 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 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 rating of the Series A1 and Series A2(G) Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Final Date, in accordance with the transaction documents. Interest and principal payments on the Notes will be made quarterly, generally on the 20th day of each March, June, September and December. The next payment date will be 20 September 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 this rating include parties involved in the rating, including but not limited to PYMECAT 2 FTPYME, F.T.A., Titulización de Activos S.G.F.T., S.A., Gestión de Activos Titlulizados, S.G.F.T., S.A., Caixa d'Estalvis de Catalunya, Tarragona i Manresa. 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: 5 July 2011

Note:
All figures are in Euro unless otherwise noted.