DBRS Assigns Provisional Ratings to IM GBP EMPRESAS 3, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the provisional ratings of AAA (sf) to the €500.00 million Series A1 Notes, AAA (sf) to the €1,142.50 million Series A2 Notes and CCC (high) (sf) to the €607.50 million Series B Notes issued by IM GRUPO BANCO POPULAR EMPRESAS 3, F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Banco Popular Español, S.A. (“Banco Popular”) to Spanish enterprises, small-and medium-sized enterprises (“SMEs”) and the self-employed. As of 31 December 2010, the transaction had a portfolio notional amount of €1,313.8 million and included 17,365 loans with a weighted average time to maturity of 8.5 years.

The transaction is an existing transaction that had its Constitution Date on 3 July 2009.

The above ratings are provisional. Final ratings will be issued upon receipt of executed versions of the amended governing transaction documents. To the extent that the documents and information provided by IM GRUPO BANCO POPULAR EMPRESAS 3 and/or its agents to DBRS as of this date differ from the executed versions of the governing transaction documents, DBRS may assign lower final ratings to the Notes, or may avoid assigning final ratings to the Notes altogether.

These ratings are based upon DBRS’ review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of subordination and a reserve funded through a subordinated loan. The current credit enhancement levels of 85.48% and 34.70% are sufficient to support the AAA (sf) ratings of the Series A1 and Series A2 Notes respectively and the current credit enhancement level of 7.70% is sufficient to support the CCC (high) (sf) rating of the Series B Notes.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Banco Popular, the Reserve Fund, initially at 7.70% of the aggregate balance of the Series A1, Series A2 and Series B Notes or €173.25 million, is available to pay shortfalls in the senior expenses and interest throughout the life of the Notes, and interest and principal at maturity on the Series A1, Series A2 and Series B Notes.
-- The Reserve Fund cannot be reduced, except for required payments to cover interest and principal shortfalls, unless:
--- The transaction is at least three years old;
--- The Reserve Fund is at least 14.40% of the then outstanding aggregate balance of the Series A1, Series A2 and Series B Notes; and,
--- The Reserve Fund balance is greater than €86.625 million that is 3.85% of the initial aggregate balance of the Series A1, Series A2 and Series B Notes.
-- In addition, the Reserve Fund will not be eligible for further pay downs, the above notwithstanding, if:
--- The balance of the Reserve Fund was not at the minimum required level the previous period; or,
--- The outstanding balance of the non-failed assets which are more than 90 days in arrears is greater than 1% of the then outstanding balance of the total non-failed assets.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the provisional ratings of the Series A1 and Series A2 Notes address the timely payments of interest, as defined in the transaction documents, and the timely payments of principal on each Payment Date during the transaction and, in any case, at their Legal Final Maturities on 24 May 2051. The provisional rating of the Series B Notes addresses the ultimate payment of interest, as defined in the transaction documents, and the ultimate payment of principal on each Payment Date during the transaction and, in any case, at their Legal Final Maturities on 24 May 2051. Interest and principal payments on the notes will be made annually, generally on the 24th day of May.

• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The applicable public methodologies are Master European Granular Corporate Securitisations (SME CLOs) and Legal Criteria for European Structured Finance Transactions.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. Further information on DBRS’ analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

The sources of information used for these ratings include parties involved in the rating, including but not limited to IM GRUPO BANCO POPULAR EMPRESAS 3, F.T.A. and Intermoney Titulización S.G.F.T, S.A. 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.

Note:
All figures are in Euro unless otherwise noted.