DBRS Downgrades and Confirms Ratings on the Notes of GC FTPYME Unnim 1, FTA and removes UR-Negative

DBRS Ratings Limited (“DBRS”) has today downgraded and confirmed the rating on the Notes (the “Notes”) issued by GC FTPYME Unnim 1, F.T.A. (the “Issuer”), and has removed the Notes from Under Review with Negative Implications:

• EUR 68,979,119 Series AG Notes: downgraded from AAA (sf) to A (high) (sf)
• EUR 27,500,000 Series AS Notes: downgraded from AAA (sf) to A (high) (sf)
• EUR 137,500,000 Series B Notes: confirmed at CCC (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Unnim Banc (“Unnim”), currently owned by Banco Bilbao Vizcaya Argentaria, S.A. (BBVA), to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. The rating of the Series AG and Series AS Notes address the timely payments of interest and the ultimate payments of principal on or before the Final Date on 17 December 2053. The rating of the Series B Notes addresses the ultimate payment of interest and principal on or before the Final Date on 17 December 2053.

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.

• Caixabank is the swap counterparty in this transaction. Following the downgrade of Spain, DBRS lowered the private rating (internal assessment) on Caixabank to below the level required by our current criteria (see “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 AG and Series AS Notes.

We communicated this change in rating to the Gestora, Gesticaixa, S.G.F.T., S.A., on 10 September 2012, and notified them that they had 30 days in which to take remedial actions, as explained in our Criteria.

To date, no remedial actions have been taken and consequently, DBRS has lowered the rating of the 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 GC FTPYME Unnim 1, F.T.A., Gesticaixa, S.G.F.T., S.A., BBVA and Unnim. 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: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 28 December 2011

Notes:
All figures are in Euros unless otherwise noted.