DBRS Assigns Ratings to IM FTPYME SABADELL 7, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned the ratings of AAA (sf) to the €52.05 million Series A1 Notes and AA (high) (sf) to the €402.50 million Series A2(G) Notes issued by IM FTPYME SABADELL 7 F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Banco de Sabadell, S.A. (“Banco de Sabadell”) to Spanish enterprises, small-and medium-sized enterprises (“SMEs”) and self-employed individuals. As of 31 December 2010, the transaction had a portfolio notional amount of €554.55 million, which included €15.44 million of loans that were in default or more than 90 days past due. The portfolio comprised 2,305 loans with a weighted average seasoning of 3.8 years and a weighted average time to maturity of 9.4 years.

The transaction is an existing transaction that had its Constitution Date on 22 September 2008.

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. A current credit enhancement level of €145.19 million is sufficient to support the AAA (sf) rating of the Series A1 Notes and the AA (high) (sf) rating of the Series A2(G) Notes.
-- The Series A2(G) Notes benefit from a guarantee from the Kingdom of Spain. The rating ascribed to the Series A2(G) Notes takes into account this guarantee.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Banco de Sabadell, the Reserve Fund was set initially at 4.75% of the initial aggregate balance of the Series A1, Series A2(G), Series B and Series C Notes (“the Notes”), or €47.50 million and is available to pay shortfalls in the senior expenses and principal and interest throughout the life of the Notes. As of 31 December 2010 the Reserve Fund balance was €45.18 million.
-- The Reserve Fund cannot be reduced, except for the required payments to cover interest and principal shortfalls, unless:
---- The transaction is at least three years old;
---- The Reserve Fund is at least 9.50% of the outstanding aggregate balance of the Notes; and,
---- The Reserve Fund balance is greater than € 23.75 million.
-- 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 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 ratings of the Series A1 and the Series A2(G) 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 22 September 2044.

• 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, which can be found on our website under Methodologies.

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 FTPYME SABADELL 7 F.T.A. and Intermoney Titulizaæion, S.G.F.T., S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating was disclosed to Intermoney Titulizaæion, S.G.F.T., S.A. and amended following that disclosure before being assigned.

These ratings concern existing financial instruments. These are the first DBRS ratings on these financial instruments.

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.