DBRS Downgrades the Rating on the Class A Notes issued by Mesena CLO 2011-1 B.V. and removes UR-Neg.

DBRS Ratings Limited (“DBRS”) has today downgraded from AAA (sf) to AA (sf) the rating on 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”) and has removed the Notes from Under Review with Negative Implications. The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal 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 downgrade follows the Class A Notes remaining Under Review with Negative Implications on 19 February 2013 and is based on 19 December 2012 amendment 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. Counterparty replacement triggers are an important risk mitigation mechanism. It is DBRS’ opinion that weakening or removing these triggers introduces additional counterparty risk and thus the associated credit risk of the Class A Notes.

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.