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

DBRS Ratings Limited (“DBRS”) has today assigned final ratings of AAA (sf) to the €960.5 million Class A Notes and BBB (low) (sf) to the €169.5 million Class B Notes issued by FONCAIXA AUTÓNOMOS 1, F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralized primarily by a portfolio term loans and credit lines draw downs originated by CaixaBank, S.A. (“CaixaBank”) to Spanish self-employed individuals. As of 22 July 2011, the final portfolio included 31,322 loans with a remaining weighted average life of about 8.3 years and a notional amount of €1,130 million.

The portfolio is well diversified in terms of region, industry and obligor concentration. The top three regions are Madrid, Catalunya and Andalucia, representing 16.0%, 15.2% and 12.1% of the portfolio balance, respectively. The top 3 industries by NACE code are Retail & Wholesale, Hotels & Food Services and Agriculture, representing 27.7%, 14.7% and 11.5% of the portfolio balance, respectively. The top obligor equals to 0.53% of the portfolio balance, whereas the top 10 obligors represent 2.86%.

The portfolio contains a small pool of delinquent loans which is common in Spanish SME transactions. The outstanding balance of loans with interest or principal in arrears for less than 30 days totaled €27.1 million or 2.4% of the portfolio. The present portfolio does not consist of loans that are more than 30 days in arrears.

These ratings are based upon DBRS’s 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 29.3% and 14.3% is sufficient to support the AAA (sf) and BBB (low) (sf) ratings on the Class A Notes and the Class B Notes, respectively.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by CaixaBank, the Reserve Fund has been initially set at 14.3% of the aggregate balance of the Class A and Class B or €161.59 million. The Reserve Fund is available to cover shortfalls in the senior expenses, 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 28.60% of the outstanding aggregate balance of the Class A and Class B Notes and in any case not less than €80.79 million; and,
-- In addition, the Reserve Fund will not be allowed to amortise if:
---- the balance of the Reserve Fund is not at the minimum required level as of the previous period; or,
---- the outstanding balance of the non-performing assets, that are between 90 days and one year in arrears, is less than 1% of the total outstanding balance of the performing 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 rating of the Class A Notes addresses the timely payments of interest and the payments of principal on or before the Legal Final Maturity Date on 25 April 2052, as defined in the transaction documents. The final rating of the Class B Notes addresses the ultimate payment of interest and the payments of principal on or before the Legal Final Maturity Date on 25 April 2052, as defined in the transaction documents. The payments of interest and principal on the Notes will be made quarterly, generally on the 25th day of January, April, July and October. The first payment date will be 25 October 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 AUTÓNOMOS 1, F.T.A., GestiCaixa S.G.F.T., S.A. and CaixaBank. 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: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Final Rating Date: 26 July 2011

Note:
All figures are in Euro unless otherwise noted.