DBRS Assigns Provisional Ratings to Foncaixa PYMES 3, FTA

DBRS Ratings Limited (“DBRS”) has today assigned provisional ratings to the Notes issued by Foncaixa PYMES 3, FTA (“the Issuer”), as follows:

• EUR 2,040 million Series A Notes: A (sf)
• EUR 360 million Series B Notes: BB (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by CaixaBank, S.A. to self-employed individuals and small-and medium-sized enterprises (“SMEs”) based in Spain. As of 25 October 2012, the transaction’s provisional pool included 69,121 loans totaling EUR 2,550 million. At closing, the Originator will select the final portfolio of EUR 2,400 million from the above mentioned provisional pool.

The provisional pool exhibits low obligor concentration with the top obligor and the largest 10 obligor groups representing 0.43% and 3.06% of the outstanding balance, respectively. The provisional pool is well diversified across industry sectors and regions. The top three industries by NACE group are “wholesale and retail trade (19.7%)”, “Manufacturing” (15.7%) and “Accommodation and food services” (10.8%). The combined exposure to the construction and real estate sectors of 10.2% is below the average seen in previous Spanish SME transactions. The top three regions are Catalonia, Madrid and Andalucía, representing about 29.2% 13.8% and 10.2% of the provisional pool balance, respectively.

The above ratings are provisional. Final ratings will be issued upon receipt of executed versions of the governing transaction documents. To the extent that the documents and information provided by Foncaixa PYMES 3, FTA; GestiCaixa S.G.F.T., S.A. and CaixaBank, S.A. 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’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- At closing, the Series A Notes will benefit from a total credit enhancement of 25% which DBRS considers to be sufficient to support the A (sf) rating. The Series B will benefit from a credit enhancement of 10% which DBRS considers to be sufficient to support the BB (sf) rating. Credit enhancement is provided by subordination and the Reserve Fund. In addition, the notes also benefit from available excess spread.
-- The Reserve Fund can start to amortise after the first three years if certain conditions – relating to the performance of the portfolio and deleveraging of the transaction – are met. The Reserve Fund cannot amortise below EUR 120 million.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the provisional rating of the Series A Notes addresses the timely payments of interest, as defined in the transaction documents, and the timely payments of principal on each Payment Date during the transaction, and, in any case, at their Legal Final Maturities on 15 July 2046. The provisional rating of the Series B Notes addresses the ultimate payment of interest, as defined in the transaction documents, and the ultimate payment of principal on each Payment Date during the transaction, and, in any case, at their Legal Final Maturities on 15 July 2046. Interest and principal payments on the Notes will be made quarterly, generally on the 15th day of January, April, July and October, with the First Payment Date on 15 April 2013.

• 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.

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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.dbrs.com.

The sources of information used for this rating include Foncaixa PYMES 3 FTA, GestiCaixa, S.G.F.T., S.A. and CaixaBank, S.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 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
Initial Rating Date: 19 November 2012

Notes:
All figures are in Euro unless otherwise noted.