DBRS Confirms and Places Rating Under Review Negative on Notes issued by Mesena CLO 2011-1 B.V.

DBRS Ratings Limited (“DBRS”) has today confirmed and placed Under Review with Negative Implications the 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 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.

The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, 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 Mesena CLO 2011-1 B.V., Banco Espanol de Credito, S.A. and Deutsche Bank, AG. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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

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

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

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 27 September 2011
Most Recent Rating Update: 27 March 2012

Notes:
All figures are in Euros unless otherwise noted.