DBRS Confirms and Places Ratings Under Review Negative on Notes Issued by IM Caja Laboral Empresas 1

DBRS Ratings Limited (“DBRS”) has today confirmed and placed Under Review with Negative Implications the AAA (sf) rating on the EUR 232,653,615.85 Series A Notes issued by IM Caja Laboral Empresas 1, F.T.A.

The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Caja Laboral Popular Cooperativa de Crédito – Lan Kide Aurrezkia (“Caja Laboral”) to Spanish enterprises, small-and medium-sized enterprises (“SMEs”) and self-employed individuals. The rating of the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Final Date of 20 May 2051.

The principal methodology applicable is Master European Granular Corporate Securitisations (SME CLOs) which can be found on www.dbrs.com.

The rating action reflects the following analytical considerations:

• The impact of the May 3, 2012 downgrade by DBRS, Inc. of the long term foreign and local currency debt of the Kingdom of Spain to A (high) from AA (low) with trends remaining Negative (see press release “DBRS Downgrades Spain to A (high), Trend Remains Negative”), including the incorporation of a sovereign related stress component related to the A (high) rating on trend Negative.

• The impact of the May 22, 2012 rating action by DBRS, Inc. placing the long term foreign and local currency debt of the Kingdom of Spain Under Review with Negative Implications (see “DBRS Places Spain’s Ratings Under Review with Negative Implications”).

• Heightened concern with respect to the stress certain transaction parties may come under to perform transaction obligations (servicers and collection account banks domiciled in Spain).

• Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance.

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.

The sources of information used for this rating include parties involved in the rating, including but not limited to IM Caja Laboral Empresas 1, F.T.A., InterMoney Titulización S.G.F.T., S.A. and Caja Laboral Popular Cooperativa de Crédito – Lan Kide Aurrezkia. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see www.dbrs.com/research/235269.

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

Lead Analyst: Carlos Silva
Surveillance Analyst: Ryan O’Shea
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 20 May 2011

Notes:
All figures are in Euros unless otherwise noted.