DBRS Downgrades the Rating on GC Sabadell Empresas 4

DBRS, Inc. (DBRS) has downgraded the Class A notes to ‘A’ (high) (sf) from AAA (sf) issued by GC Sabadell Empresas 4. Additionally, DBRS has removed the Class A notes from Under Review with Negative Implications.

The rating action reflects the following analytical considerations:
• The impact of the 8 August 2012 downgrade of the Kingdom of Spain from ‘A’ (high) Under Review Negative to ‘A’ (low) Negative Trend (see “DBRS Downgrades Spain’s Rating to ‘A’ (low) with Negative Trend”), including the incorporation of a sovereign related stress component related to the ‘A’ (low) Negative Trend rating.
• Following the downgrade of Spain, DBRS initiated coverage on Banco Sabadell on November 19, 2012 and assigned a long term rating of ‘A’ (low) and a short term rating of R-1 (low).
• Banco Sabadell is the account bank in this transaction. As such, the bank does not meet the minimum institution rating necessary for the highest rated security to be rated AAA in accordance with our Legal Criteria for European Structured Finance Transactions. Banco Sabadell has not taken any of the remedial actions specified in the criteria, therefore DBRS has downgraded Class A from AAA to ‘A’ (high).
• The downgrade of the Class A notes was not the result of portfolio performance issues.

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

These can be found on dbrs.com under Methodologies. 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.”

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by Banco de Sabadell SA. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on DBRS European ABS ratings, please refer to the linking document.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Lain Gutierrez
Rating Committee Chair: Chuck Weilamann
Initial Rating Date: February 22, 2011
Most Recent Rating Update: March 7, 2012