DBRS Downgrades and Confirms Ratings on the Notes of UNICAJA AyT EMPRESAS I, FTA and removes UR-Neg

DBRS Ratings Limited (“DBRS”) has today downgraded and confirmed the ratings on the Notes (the “Notes”) issued by UNICAJA AyT EMPRESAS I, F.T.A. (the “Issuer”), and has removed the Notes from Under Review with Negative Implications:

• EUR 85,321,349 Series A Notes: downgraded from AA (high) (sf) to A (high) (sf)
• EUR 17,500,000 Series B Notes: confirmed at BBB (high) (sf)
• EUR 18,800,000 Series C Notes: confirmed at BB (high) (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Monte de Piedad y Caja de Ahorros de Ronda, Cádiz, Almería, Málaga, Antequera y Jaén (UNICAJA) (“UNICAJA BANCO”) currently named to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. The ratings on the Notes address the timely payments of interest and ultimate payments of principal on or before the Final Date on 10 July 2051.

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

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.

• Unicaja Banco acts as the account bank provider and swap counterparty in this transaction. Following the downgrade of Spain, DBRS lowered the private rating (internal assessment) on Unicaja Banco to below the level required by our current criteria (see “Legal Criteria for European Structured Finance Transactions” and “Swap Criteria for European Structured Finance Transactions”). No remedial action has been taken as specified in the criteria, and therefore DBRS has downgraded the rating of the Series A Notes.

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 the rating include parties involved in the rating, including but not limited to UNICAJA AyT EMPRESAS I, F.T.A., Ahorro y Titulización, S.G.F.T., S.A., and UNICAJA BANCO. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

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

Surveillance Analyst: Alfonso Candelas
Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 28 December 2011

Notes:
All figures are in Euros unless otherwise noted.