DBRS Confirms Ratings on Series A Notes and Series B Notes Issued by FCC Surf

DBRS, Inc. (DBRS) confirmed the ratings on the notes issued by FCC Surf (or the Issuer) as follows:

-- EUR 207,000,000 Series A1 Notes due November 26, 2024, at A (low) (sf)
-- EUR 168,000,000 Series A2 Notes due November 26, 2024, at A (low) (sf)
-- EUR 207,000,000 Series B1 Notes due November 26, 2024, at BBB (high) (sf)
-- EUR 168,000,000 Series B2 Notes due November 26, 2024, at BBB (high) (sf)

The Series A1 Notes and Series A2 Notes (together, the Series A Notes) and the Series B1 Notes and Series B2 Notes (together, the Series B Notes) were issued on August 14, 2007 (the Issuer Closing Date), pursuant to the Facility Agreement dated July 24, 2007, among Dexia Crédit Local and BNP Paribas SA (as Arrangers) and the FCC Surf Issuer Regulations dated August 10, 2007, among EuroTitrisation SA (as Management Company) and BRED Banque Populaire S.A. (as Custodian).

The Issuer is a mutual debt fund (fonds commun de créances) jointly created by EuroTitrisation SA and BRED Banque Populaire S.A. The Issuer is governed under the laws of the Republic of France (rated AAA with a Stable trend by DBRS) — specifically, Articles L. 214-5, L. 214-43 to L. 214-49 and R. 214-92 to R. 214-115 of the Code monétaire et financier and the terms of the FCC Surf Issuer Regulations.

This transaction is a French credit-linked note, which securitizes the receivables arising from a bank loan to SANEF S.A., a French toll road operator. The Series A Notes and Series B Notes were partly funded at closing and will continue to be funded in installments. The Series A1 Notes and Series B1 Notes were fully funded as at February 2011, and the Series A2 Notes and Series B2 Notes were fully funded as at February 2016. The proceeds of the Series A Notes and Series B Notes were used by the Issuer to purchase Loan Receivables from Dexia Crédit Local, Dublin Branch (as Originator). The Loan Receivables are guaranteed by Assured Guaranty (UK) Ltd. (for the Series A Notes) and MBIA UK Insurance Limited (for the Series B Notes).

FCC Surf issued two Residual Units, which are unrated.

FCC Surf also entered into a swap with Dexia Crédit Local (as Swap Counterparty) on the Issuer Closing Date, where, throughout the life of the transaction, FCC Surf will pay a fixed base rate to Dexia Crédit Local in exchange for a floating-rate Euribor due to the Series A Notes and Series B Notes.

The ratings on the Series A Notes and Series B Notes address the ultimate payment of interest and principal on or before the final Repayment Date in November 2024 (as defined by the Facility Agreement referred to above).

The ratings reflect the following primary considerations:

(1) The Facility Agreement dated July 24, 2007, and other relevant transaction documents.
(2) The FCC Surf Issuer Regulations dated August 10, 2007.
(3) The credit quality of the relevant counterparties.
(4) The integrity of the transaction structure.
(5) DBRS’s assessment of the financial guarantees in place.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology is Structured Finance Flow-Through Ratings, which can be found on dbrs.com under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did participate in the rating process. DBRS had have access to the accounts and other relevant internal documents of the rated entity or its related entities.

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