DBRS Downgrades and Discontinues Ratings on the Notes issued by Empresas Banesto 6, FTA

DBRS Ratings Limited (DBRS) has today discontinued its rating of AA (sf) on the Series B notes, and has downgraded to D (sf) from C (sf) and discontinued its rating on the Series C notes issued by Empresas Banesto 6, FTA (the Issuer). The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco Español de Crédito, S.A. (fully integrated in Banco Santander, S.A. in May 2013) to large corporations and small and medium-sized enterprises (SMEs) based in Spain.

The rating action reflects:
(1) The payment in full of the Series B notes as of 17 June 2015. The remaining balance of the Series B notes prior to the final repayment was €106,114,816.50.
(2) The failure to pay ultimate interest and principal of the Series C notes. After repayment of the Series B notes, the remaining proceeds accounted for 96.23% (€254,048,857.49) of the outstanding balance (€264,000,000.00) of the Series C notes.

The Finalised Rating of the Series C notes was initially assigned on 24 October 2011. Please refer to www.dbrs.com for more information on this rating.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)”, which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

The sources of information used for this rating include information provided by Santander de Titulización, SGFT, SA (Santander de Titulización).

Notwithstanding the provision of the transaction documentation, DBRS was not notified in advance of the early repayment of the Notes. Nonetheless, upon requesting information after the payment date, DBRS received details about the repayment of the Notes and considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The previous rating action on this transaction took place on 17 April 2015, when the rating of the Series B notes was upgraded to AA (sf) from A (high) (sf) and the rating of the Series C notes was confirmed at C (sf).
As this is a discontinued/withdrawn rating action, sensitivity analysis is not applicable.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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

Initial Lead Analyst: Carlos Silva
Initial Rating Date: 25 October 2011
Initial Rating Committee Chair: Jerry van Koolbergen

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

DBRS Ratings Limited
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United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies
Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
Rating Methodology for CLOs and CDOs of Large Corporate Credit
Cash Flow Assumptions for Corporate Credit Securitizations
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for European Securitisations
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375