DBRS Downgrades Series A2 from GC Sabadell Empresas 2, FTA

DBRS, Inc. (DBRS) has downgraded the rating on Series A2 Notes issued by GC Sabadell Empresas 2 from AA (sf) to A (high) (sf).

The downgrade is based upon the following analytical considerations:

•The transaction’s available credit enhancement is insufficient to cover DBRS expected losses at the original rating level.
•The increasing concentration of real estate assets in the portfolio and the related increase in the real estate sector as an industry concentration relative to the continuing difficulties facing the real estate sector in Spain.
The transaction parties continue to meet DBRS criteria to act in their capabilities to perform their respective duties, and the quality of origination, underwriting and servicing practices.

Note:
All figures are in Euros (€) unless otherwise noted.

The principal methodologies applicable are:
•Master European Structured Finance Surveillance Methodology
•European Consumer and Commercial Asset-Backed Securitisations
•Legal Criteria for European Structured Finance Transactions
•Swap Criteria For European Structured Finance Transactions
•Operational Risk Assessment for European ABS and SME Servicers
•Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies.

The sources of information used for this rating include performance data relating to the receivables provided by Banco de Sabadell, S.A. DBRS considers the information available to it for the purposes of providing this rating confirmation was of satisfactory quality.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

For additional information on this rating, please see the linking document.

Lead Analyst – Mike Babick
Surveillance Analyst(s) – Lain Gutierrez
Rating Committee Chair - Claire Mezzanotte
Initial Rating Date: February 22, 2011