DBRS Confirms and Places Ratings Under Review Negative on Notes Issued by PYMECAT 3 FTPYME

DBRS Ratings Limited (“DBRS”) has today confirmed and placed Under Review with Negative Implications the following ratings on the Notes issued by PYMECAT 3 FTPYME, F.T.A. (the “Issuer”):

• EUR 116,834,016.00 Series A1(G): AAA (sf)
• EUR 24,340,420.00 Series A2: AAA (sf)
• EUR 53,402,881.48 Series A3: AAA (sf)

The ratings of the Series A1(G), the Series A2 and the Series A3 address the timely payment of interest and ultimate payment of principal on or before the Statutory Maturity Date of the Fund on 20 July 2052.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

The rating action reflects the following analytical considerations:

• The impact of the May 3, 2012 downgrade by DBRS, Inc. of the long term foreign and local currency debt of the Kingdom of Spain to A (high) from AA (low) with trends remaining Negative (see press release “DBRS Downgrades Spain to A (high), Trend Remains Negative”), including the incorporation of a sovereign related stress component related to the A (high) rating on trend Negative.

• The impact of the May 22, 2012 rating action by DBRS, Inc. placing the long term foreign and local currency debt of the Kingdom of Spain Under Review with Negative Implications (see “DBRS Places Spain’s Ratings Under Review with Negative Implications”).

• Heightened concern with respect to the stress certain transaction parties may come under to perform transaction obligations (servicers and collection account banks domiciled in Spain).

• Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”, located at http://dbrs.com/research/239786.

The sources of information used for this rating include the parties involved in the rating, including but not limited to Catalunya Banc, S.A., J.P. Morgan Securities, Ltd., and PYMECAT 3 FTPYME, F.T.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at www.dbrs.com/research/235269.

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

Lead Analyst: Simon Ross
Surveillance Analyst: Ryan O’Shea
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 09 November 2010

Note:
All figures are in Euros unless otherwise noted.