DBRS Confirms and Places the Ratings on Notes of Mesena CLO 2011-1 B.V. Under Review Negative

DBRS Ratings Limited (“DBRS”) has today confirmed the rating of AAA (sf) and placed under review with negative implications the EUR 219,198,277 Class A Senior Secured Floating Rate Notes (the “Class A Notes”) issued by Mesena CLO 2011-1 B.V. (the “Issuer”).

The rating on the Class A Notes addresses the timely payment of principal and interest to the Class A Notes on or before the Maturity Date on 27 July 2026.

The principal methodologies applicable are Rating Methodology for CLOs and CDOs of Large Corporate Credit and Mapping Financial Institution Internal Ratings to DBRS Ratings for Structured Credit Transactions, which can be found on www.dbrs.com.

The confirmation 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, including the incorporation of a sovereign related stress component related to the A (low) rating on Trend Negative. 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 28 November 2012 release of an updated methodology (Mapping Financial Institution Internal Ratings to DBRS Ratings for Structured Credit Transactions) to conduct a rating mapping of Banco Español de Crédito, S.A.’s internal ratings to DBRS ratings in order to ascertain the credit quality for investments permitted by the Issuer.

• The ongoing performance of the transaction and continued amortisation of the Class A Notes, which were issued initially with a balance of EUR 848,381,000 in September 2011. The reinvestment period will end on 27 October 2014.

The placement of the Class A Notes under review with negative implications is based on an amendment dated 19 December 2012 that introduced language that either lowered or removed rating based counterparty replacement triggers deemed necessary by DBRS to adequately delink the transaction counterparty ratings from the transaction’s eligible ratings.

DBRS will undertake a review to determine the impact these changes on the Class A Notes. Upon the conclusion of the rating analysis, DBRS will promptly publish a rating action that may result in either a confirmation or downgrade.

The sources of information used for this rating include Mesena CLO 2011-1 B.V., Banco Español de Crédito, S.A. and Deutsche Bank, AG. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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.

Surveillance Analyst: Alfonso Candelas
Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 27 September 2011

Notes:
All figures are in Euros unless otherwise noted.