DBRS Assigns AAA (sf) Rating to Class A Notes issued by Mesena CLO 2011-1 B.V.

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the EUR 848,381,000 Class A Senior Secured Floating Rate Notes (the “Class A Notes”) for Mesena CLO 2011-1 B.V. (the “Issuer”). The Issuer is a limited liability company incorporated under the laws of the Netherlands. The transaction is a cash flow collateralised loan obligation (CLO) securitisation with a portfolio of European secured and unsecured bank loans originated by Banco Español de Crédito S.A. (“Banesto”). The rating on the Class A Notes addresses the timely payment of principal and interest payable to the Class A Notes on or before the Maturity Date on 27 July 2026. DBRS does not rate the Class B Deferrable Secured Floating Rate Notes (the “Class B Notes”), the Class C Deferrable Secured Floating Rate Notes (the “Class C Notes”) or the Class D Notes. The Class A, Class B, Class C and Class D Notes together are referred to as the “Notes”.

The transaction portfolio consists of 73 loans extended to 48 separate borrowers. Of the loans, 71 are to borrowers located in Spain and two are to borrowers located in Luxembourg. On the Issue Date, the par balance of the portfolio is EUR 1,631,501,542, which is funded by the aggregate issuance of the Class A, Class B and Class C Notes. A Reserve Fund of EUR 81,575,073 has been financed on the Issue Date through the proceeds from the Class D Notes, which has also provided the funds for the upfront expenses of the Issuer. Reinvestment of certain principal proceeds other than the scheduled principal proceeds for up to three years is permitted. Banesto acts as the Portfolio Servicer and Originator of the portfolio, Swap Counterparty and Account Bank.

The rating of the Class A Notes is based upon DBRS’ review of the following considerations:
• The assessment of the credit quality of the investments permitted under the terms of transaction documents. In order to ascertain the credit quality for investments permitted by the Issuer, DBRS conducted a rating mapping of Banesto’s internal ratings to DBRS ratings.

• Review of the legal structure, operational capabilities of key transaction participants, eligibility criteria and reinvestment criteria.

• Credit enhancements to withstand projected collateral loss rates under various cash flow stress scenarios:
-- The Class A Notes credit enhancement is equal to the sum of the asset overcollateralisation and the Reserve Fund. In addition, the interest trapping mechanism of the Principal Deficiency Tests provide extra protection for the Class A Notes.
-- The overcollateralisation is the amount by which the balance of the collateral exceeds the notional of the Class A Notes. At the Issue Date, this amount is equal to EUR 783,120,452.
-- The Initial Reserve Fund Amount is financed by the issuance of the Class D Notes and is EUR 81,575,073. During the transaction, the Reserve Fund Required Amount will be the greater of:
---- 5% of the sum of the Principal Outstanding Amount of all Classes of Notes minus the Defaulted Portfolio Amount on the related Determination Date, and
---- EUR 20,000,000.
-- The credit enhancement for the Class A Notes at the Issue Date is EUR 864,695,525.

• The Interest Rate Swap, under which:
-- The Issuer pays all interest received by the Collateral Loan Obligations during the related Calculation Period.
-- The Swap Counterparty pays 3 month EURIBOR plus 1.50% p.a.

• The two Principal Deficiency Tests that prevent Interest Proceeds from being paid to the subordinated notes if the balance in the Principal Deficiency Ledger is greater than a specified amount.
-- The Principal Deficiency Test is equal to:
---- The Principal Deficiency Amount, divided by
---- The outstanding balance of the Notes.
-- The Principal Deficiency Amount is equal to the greater of zero and the outstanding aggregate balance of the Notes minus the aggregate of:
---- The Current Performing Portfolio Balance;
---- The Reserve Fund Balance, and
---- The sum of the CCC Haircut Amount.
-- The test levels:
---- The Class B Principal Deficiency Test level is 10%.
---- The Class C Principal Deficiency Test level is 3%.
-- If the Class C Principal Deficiency Test is failing on a Payment Date, Interest Proceeds pay down the lesser of the Principal Deficiency Amount and the balance of the Class A Notes, before it is available to pay the interest accrued on the Class C Notes. Similarly, if the Class B Principal Deficiency Test is failing, the Interest Proceeds pay down the lesser of the Principal Deficiency Amount and the balance of the Class A Notes, before it is available to pay the interest accrued on the Class B or Class C Notes.

• DBRS constructed a worst case scenario portfolio, based on the Eligibility Criteria and the Profile Tests, which was used in DBRS CDO Toolbox to generate the Required Break Even Default Rate for this transaction. This Required Break Even Default Rate was used to assess whether the actual Break Even Default Rate, generated by the DBRS cash flow model, was sufficient for the rating requested.

• DBRS used credit transition matrices from Banesto to generate a mapping from their internal ratings to the DBRS equivalent ratings. For the break even analysis, the worst case scenario portfolio assumed that the ratings of the individual loans were such that the DBRS Risk Score was equal to the Maximum DBRS Risk Score Test.

• 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 principal methodology is “Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives”, which can be found on our website under Methodologies.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to Mesena CLO 2011-1 B.V. and Banco Español de Crédito, S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

Further information on DBRS’ analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Disclosure Requirements, located at http://www.dbrs.com/research/237794.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 27 September, 2011

Note:
All figures are in Euros unless otherwise noted.