DBRS Confirms Ratings of FONCAIXA PYMES 4, FTA

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Notes issued by FONCAIXA PYMES 4, FTA (the Issuer), as follows:

-- EUR 322.3 million Series A Notes at A (sf)
-- EUR 129.0 million Series B Notes at B (low) (sf)

The transaction is a cash flow securitisation collateralised by a portfolio of term loans and drawn amounts on credit lines originated by CaixaBank, S.A. to self-employed individuals and small and medium-sized enterprises based in Spain.

The rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Legal Maturity Date in September 2046. The rating on the Series B Notes addresses the ultimate payment of interest and the ultimate payment of principal payable on or before the Legal Maturity Date in September 2046.

The rating action reflects an annual review of the transaction. In approximately one year, the Series A Notes are at 62.5% of its initial balance. Given this deleveraging, the current credit enhancement available has increased considerably. Performance is in line with our expectations at closing. As of 31 October 2014, the percentage of loans in arrears for more than 90 days over the original balance at the closing date is at 1.64%, while cumulative defaulted loans are at 0.04% as per the default definition in the transaction’s documents.

The portfolio annualized probability of default (PD) used has not changed (3.5%).

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating CLOs Backed by Loans to European Small and Medium Sized Enterprises (SMEs),” which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for these ratings include the parties involved in the ratings, including but not limited to the Originator, the Issuer and their agents.

DBRS considers the information made available to it for the purposes of providing these ratings to have been of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the ratings (the Base Case):
• Probability of Default Rates Used: Base Case PD of 3.5%, a 10% and 20% increase on the Base Case PD.
• Recovery Rates Used: Base Case Recovery Rates, corresponding to a recovery rate of 38.06% at the A (sf) stress level (and for the Series B Notes a Base Case Recovery Rate of 45.23% at the B (low) (sf) stress level), a 10% and 20% decrease in the Base Case Recovery Rates.

DBRS concludes that a hypothetical increase of the base PD by 20%, ceteris paribus, would produce model results suggesting a confirmation of the Series A Notes at A (sf) and a downgrade of the Series B Notes to CCC (high) (sf). A hypothetical decrease of the Recovery Rate by 20% would produce model results suggesting a confirmation of the Series A and Series B Notes at A (sf) and B (low) (sf), respectively. A scenario combining both a hypothetical increase in the PD by 10% and a hypothetical decrease in the Recovery Rate by 10% would lead to model results suggesting a confirmation of the current ratings of the Series A Notes and a downgrade of the Series B Notes to CCC (high) (sf).

It should be noted that the interest rates and other parameters that would normally vary with the rating level, including the recovery rates, were allowed to change as per the DBRS methodologies and criteria.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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

Initial Lead Analyst: Carlos Silva
Initial Rating Date: 26 November 2013
Initial Rating Committee Chair: Jerry van Koolbergen

Last Rating Date: Not applicable as no last rating date
Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
Rating Methodology for CLOs and CDOs of Large Corporate Credit
Cash Flow Assumptions for Corporate Credit Securitizations
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for U.S. and European Structured Credit
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda