DBRS Downgrades and Confirms Ratings on the Notes of GC FTPYME SABADELL 8, FTA and removes UR-Neg

DBRS Ratings Limited (“DBRS”) has today downgraded and confirmed the rating on the Notes (the “Notes”) issued by GC FTPYME SABADELL 8, F.T.A. (the “Issuer”), and has removed the Notes from Under Review with Negative Implications:

• EUR 72,314,450 Series A1(G) Notes: downgraded from AAA (sf) to A (high) (sf)
• EUR 123,471,699 Series A2(G) Notes: downgraded from AAA (sf) to A (high) (sf)
• EUR 160,000,000 Series A3 Notes: downgraded from AAA (sf) to A (high) (sf)
• EUR 200,000,000 Series B Notes: confirmed at BB (high) (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco de Sabadell, S.A. (“Banco Sabadell”) to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. The DBRS ratings on Series A1(G), A2(G) and A3 Notes address the timely payment of interest and ultimate payment of principal as well as an ultimate payment of interest and principal on Series B Notes on or before the Final Date on 30 June 2039.

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.

• Banco Sabadell is the swap counterparty in this transaction. Following the downgrade of Spain, DBRS lowered the private rating (internal assessment) and initiated coverage on Banco Sabadell assigning a public long term rating of A (low) and a public short term rating of R-1 (low), 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 A1(G), Series A2(G) and Series A3 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 SABADELL 8, F.T.A., Gesticaixa, S.G.F.T., S.A. and Banco Sabadell. 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: 22 September 2010

Notes:
All figures are in Euros unless otherwise noted.