DBRS Assigns Final Ratings to FTA PYMES BANESTO 3

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

• EUR 426.30 million Series A Notes: A (sf)
• EUR 63.70 million Series B Notes: BBB (sf)
• EUR 98.00 million Series C Notes: C (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco Español de Crédito, S.A. (“Banesto” or the “Originator”) to large corporations and small and medium enterprises (“SMEs”) and self-employed individuals domiciled in Spain. At closing date, the transaction’s pool included 5,231 loans with a weighted average maturity of 4.4 years, and a notional amount of EUR 490 million.

The portfolio exhibits high obligor concentration, with the top obligor with the largest ten obligor groups representing 3.1% and 12.5% of the outstanding balance, respectively. The remainder of the portfolio is well diversified across regions and industries. The top three regions are Catalonia, Madrid, and Valencia, representing approximately 21.3%, 15.1%, and 10.8% of the portfolio balance, respectively. The top three industries by NACE group are “Manufacturing” (25.2%), “Wholesale and Retail Trade” (20.4%), and “Agriculture, Forestry and Fishing” (11.8%). The combined exposure to the “Construction” and “Real Estate” sectors remains a source of concern considering the challenging situation in Spain; however, the exposure to these sectors is low at 7.6% of the final pool.

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 33%, which DBRS considers to be sufficient to support the A (sf) rating. The Series B Notes will benefit from a credit enhancement of 20%, which DBRS considers to be sufficient to support the BBB (sf) rating. Credit enhancement is provided by subordination and the Cash Reserve. In addition, the Notes also benefit from available excess spread.
-- The Series C Notes have been issued for the purpose of funding the Cash Reserve. The Cash Reserve has been initially set at 20% of the aggregate balance of the Series A Notes and Series B Notes, equivalent to EUR 98.0 million. The Cash Reserve is available to cover shortfalls in the senior expenses, interest and principal throughout the life of the Series A Notes and Series B Notes.
-- The Cash Reserve can start to amortise after the first two years if certain conditions – relating to the performance of the portfolio and deleveraging of the transaction – are met. The Cash Reserve cannot amortise below EUR 49.0 million.

• 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 A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Legal Final Maturity on 18 October 2034. The rating of the Series B Notes and Series C Notes address the ultimate payment of interest and the ultimate payment of principal payable on or before the Legal Final Maturity on 18 October 2034. Interest and principal payments on the Notes will be made quarterly, generally on the 18th day of January, April, July and October with the First Payment Date on 18 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.

• The rating of the Series C Notes is based upon DBRS’s review of the following considerations:
-- The Series C Notes are in the first loss position and, as such, are highly likely to default.
-- Given the characteristics of the Series C Notes as defined in the transaction documents, the default most likely would only be recognised at the maturity or early termination of the transaction.

DBRS determined key inputs used in our analysis based on historical performance data provided for the Originator 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 FTA PYMES Banesto 3, Santander de Titulizacion, S.G.F.T., S.A. and Banesto. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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

These ratings concern newly issued financial instruments. This is the first DBRS rating on this financial instrument.

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

Lead Analyst: Mudasar Chaudhry
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 17 January 2013

Notes:
All figures are in Euro unless otherwise noted.