DBRS Assigns Final Ratings to GC FTPYME Unnim 1, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned final ratings to the Notes issued by GC FTPYME Unnim 1, F.T.A. (the “Issuer”), as follows:

• EUR 110 million Series AG Notes: AAA (sf)
• EUR 27.5 million Series AS Notes: AAA (sf)
• EUR 137.5 million Series B Notes: CCC (sf)

The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Unnim Banc (“Unnim”) to small and medium enterprises (“SMEs”) and self-employed individuals domiciled in Spain. As of 23 December 2011, the final portfolio included 5,571 loans granted to 4,953 borrowers with a weighted average maturity of 9.5 years and a notional amount of EUR 275.0 million.

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 provided in the form of subordination, through the Reserve Fund and excess spread. The current credit enhancement of 60% is sufficient to support the AAA (sf) rating on both the Series AG and Series AS Notes. The 10% credit enhancement provided by the Reserve Fund is sufficient to support the CCC (sf) rating on the Series B Notes.
-- The Reserve Fund has been initially set at 10% of the aggregate balance of the Series A and Series B Notes, or EUR 27.5 million. The Reserve Fund is available to cover shortfalls in the senior expenses and interest on the Series AG and Series AS Notes, throughout the life of the Notes. The Reserve Fund will also be available to cover interest on the Series B Notes once the Series AG and Series AS Notes are fully amortised. On the last payment date or on the early liquidation payment date (if it occurs), the Reserve Fund can be used to pay interest and principal on the Series AG, the Series AS and the Series B Notes.
-- The Reserve Fund can amortise after the first three years if certain conditions – relating to the performance of the portfolio and deleveraging of the transaction – are met.
-- The Commingling Reserve will allow interest and principal to be paid on the Senior Notes for a limited time in the event that a default of the Servicer causes an interruption of proceeds available to the Fund.

• 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 AG and Series AS Notes address the timely payment of interest and the payment of principal on or before the Legal Final Maturity Date on 17 December 2053, as defined in the transaction documents. The rating of the Series B Notes addresses the ultimate payment of interest and the payment of principal on or before the Legal Final Maturity Date on 17 December 2053, as defined in the transaction documents. The payments of interest and principal on the Notes will be made quarterly, generally on the 17th day of March, June, September and December. The first Payment Date is scheduled for 20 March 2012.

• 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’s 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 GC FTPYME Unnim 1, F.T.A., GestiCaixa, S.G.F.T., S.A. and Unnim Banc. 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.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Final Rating Date: 28 December 2011

Note:
All figures are in Euro unless otherwise noted.