Press Release

DBRS Places 33 Spanish CLO Transactions and 68 Classes Under Review with Negative Implications

Structured Credit

May 08, 2012

DBRS Ratings Limited (“DBRS”) has today placed Under Review with Negative Implications 33 transactions and 68 ratings for Spanish cash flow securitisations collateralized primarily by portfolios of bank loans to small and medium-sized enterprises (“SMEs”).

The rating actions reflect the 3 May 2012 DBRS downgrade of the Kingdom of Spain’s Long-Term Foreign Currency and Long-Term Local Currency ratings from AA (low) to A (high) with the Negative Trend maintained (see press release “DBRS Downgrades Spain to A (high), Trend Remains Negative”).

DBRS will undertake a review to determine the impact of the sovereign downgrade on the transaction and will publish updated rating actions that may either result in a confirmation or a downgrade. DBRS employs a case-by-case approach that is jurisdiction-specific and asset-specific with the risks and protections of each transaction identified and considered. The lower the sovereign rating, the greater relevance and potential impact it has on securitisation ratings. This is due to less favorable macroeconomic conditions, stress factors related to the transaction parties, and increased likelihood for unknown events to occur.

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”, located at http://dbrs.com/research/239786.

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

SME CLO Transactions

BANKINTER EMPRESAS 1
BBVA EMPRESAS 2, F.T.A.
Empresas Banesto 5, F.T.A.
Empresas Banesto 6, F.T.A.
FONCAIXA AUTÓNOMOS 1, F.T.A.
FONCAIXA EMPRESAS 1, F.T.A.
Foncaixa Empresas 2, F.T.A.
FONCAIXA EMPRESAS 3, F.T.A.
F.T.A. SANTANDER EMPRESAS 8
F.T.A. SANTANDER EMPRESAS 9
F.T.A. SANTANDER EMPRESAS 10
F.T.A. SANTANDER EMPRESAS 11
FTPYME TDA CAM 7, F.T.A.
FTPYME TDA CAM 9, F.T.A.
GC FTPYME SABADELL 8, F.T.A.
GC FTPYME Unnim 1, F.T.A.
IM BANCO POPULAR FTPYME 2, F.T.A.
IM BANCO Popular FTPYME 3, F.T.A.
IM Caja Laboral Empresas 1, F.T.A.
IM FTGENCAT SABADELL 3, F.T.A.
IM FTGENCAT SABADELL 4, F.T.A.
IM FTPYME SABADELL 7, F.T.A.
IM FTPYME Sabadell 9, F.T.A.
IM GRUPO BANCO POPULAR EMPRESAS 3, F.T.A.
IM GRUPO BANCO POPULAR EMPRESAS 4, F.T.A.
IM SABADELL EMPRESAS 3, F.T.A.
IM SABADELL EMPRESAS 5, F.T.A.
PYME Valencia 2, F.T.A.
PYMECAT 2 FTPYME, F.T.A.
PYMECAT 3 FTPYME, F.T.A.
TDA FTPYME PASTOR 9, F.T.A.
UNICAJA AyT EMPRESAS I, F.T.A.

CLOs of Large Corporate Credit

Mesena CLO 2011-1 B.V.

Ratings

BANKINTER EMPRESAS 1, F.T.A.

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Class A	AAA (sf)	--	UR-Neg.	UK
08-May-12	Class B	AA (low) (sf)	--	UR-Neg.	UK
08-May-12	Class C	BBB (low) (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series B	BBB (low) (sf)	--	UR-Neg.	UK
08-May-12	Series C	C (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series B	B (sf)	--	UR-Neg.	UK
08-May-12	Series C	C (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AA (sf)	--	UR-Neg.	UK
08-May-12	Series B	B (sf)	--	UR-Neg.	UK
08-May-12	Series C	C (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series B	BB (high) (sf)	--	UR-Neg.	UK
08-May-12	Series C	C (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Class A	AAA (sf)	--	UR-Neg.	UK
08-May-12	Class B	BBB (low) (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A4	AA (high) (sf)	--	UR-Neg.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A1	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series A2	AAA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series B	B (sf)	--	UR-Neg.	UK
08-May-12	Series C	C (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A1	AA (sf)	--	UR-Neg.	UK
08-May-12	Series A2(CA)	AA (sf)	--	UR-Neg.	UK
08-May-12	Series A3	AA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A2 (G)	AAA (sf)	--	UR-Neg.	US

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A1	AAA (sf)	--	UR-Neg.	US E
08-May-12	Series A2	AAA (sf)	--	UR-Neg.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A1(G)	AAA (sf)	--	UR-Neg.	US
08-May-12	Series A2(G)	AAA (sf)	--	UR-Neg.	US
08-May-12	Series A3	AAA (sf)	--	UR-Neg.	US
08-May-12	Class B	BB (high) (sf)	--	UR-Neg.	US

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series AG	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series AS	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series B	CCC (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A2(G)	AA (high) (sf)	--	UR-Neg.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A1	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series A2 (G)	AAA (sf)	--	UR-Neg.	UK
08-May-12	Series B	B (high) (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A	AAA (sf)	--	UR-Neg.	UK

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
08-May-12	Series A2(G)	AA (high) (sf)	--	UR-Neg.	UK

Show More Issuers

BANKINTER EMPRESAS 1, F.T.A.

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

BBVA EMPRESAS 2 FTA

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Empresas Banesto 5, FTA

Class A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Class B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (low) (sf)
Trend:--
Rating Recovery:
Issued:UK

Class C

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:UK

Empresas Banesto 6, FTA

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:UK

Series C

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UK

F.T.A. SANTANDER EMPRESAS 10

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:B (sf)
Trend:--
Rating Recovery:
Issued:UK

Series C

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UK

F.T.A. SANTANDER EMPRESAS 11

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:B (sf)
Trend:--
Rating Recovery:
Issued:UK

Series C

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UK

F.T.A. SANTANDER EMPRESAS 9

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:BB (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

Series C

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UK

FONCAIXA AUTÓNOMOS 1, FTA

Class A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Class B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:UK

FONCAIXA EMPRESAS 1, F.T.A.

Series A4

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

FONCAIXA EMPRESAS 3, FTA

Series A1

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series A2

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

FTA SANTANDER EMPRESAS 8

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:B (sf)
Trend:--
Rating Recovery:
Issued:UK

Series C

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:C (sf)
Trend:--
Rating Recovery:
Issued:UK

FTPYME TDA CAM 7, F.T.A.

Series A1

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series A2(CA)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series A3

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:UK

FTPYME TDA CAM 9, F.T.A.

Series A2 (G)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:US

Foncaixa Empresas 2, F.T.A.

Series A1

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:USE

Series A2

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:USE

GC FTPYME SABADELL 8, F.T.A.

Series A1(G)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:US

Series A2(G)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:US

Series A3

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:US

Class B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:BB (high) (sf)
Trend:--
Rating Recovery:
Issued:US

GC FTPYME Unnim 1, F.T.A.

Series AG

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series AS

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:CCC (sf)
Trend:--
Rating Recovery:
Issued:UK

IM BANCO POPULAR FTPYME 2, F.T.A.

Series A2(G)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

IM Banco Popular FTPYME 3, F.T.A.

Series A1

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series A2 (G)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

Series B

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:B (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

IM Caja Laboral Empresas 1, F.T.A.

Series A

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AAA (sf)
Trend:--
Rating Recovery:
Issued:UK

IM FTGENCAT SABADELL 3, F.T.A.

Series A2(G)

Date Issued:May 8, 2012
Rating Action:UR-Neg.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:UK

Show More Issuers

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