DBRS Assigns Provisional Ratings to IM BANCO POPULAR FTPYME 2, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the provisional ratings of AAA (sf) to the remaining €43,957,228.27 of the Series A1 Notes and AA (high) (sf) to the €388,300,000.00 Series A2(G) Notes issued by IM BANCO POPULAR FTPYME 2, 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”). As of 31 January 2011 the transaction had a portfolio notional amount of €525.73 million and included 3,515 loans with a weighted average time to maturity of 10.78 years.

The transaction is an existing transaction that had its Constitution Date on 26 September 2008.

The above rating is provisional. Final rating 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 BANCO POPULAR FTPYME 2, F.T.A. 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 rating to the Notes, or may avoid assigning final rating 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 performing asset balance of €505.08 million, plus the current Reserve Fund level of €69.25 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 the Kingdom of Spain guarantee. 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 Popular, the Reserve Fund, initially at 8.70% of the aggregate balance of the Series A1, Series A2(G), Series B and Series C Notes (the “Bonds”) or €87,000,000, is available to pay shortfalls in the senior expenses and interest and principal throughout the life of the Notes.
-- The Reserve Fund cannot be reduced, except for required payments to cover interest and principal shortfalls, unless:
---- The transaction is at least two years old;
---- The Reserve Fund is at least 17.40% of the outstanding aggregate balance of the Bonds; and,
---- The Reserve Fund balance is greater than €43,500,000, equivalent to 4.35% of the initial aggregate balance of the Bonds.
-- 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 at 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 approved terms. For this transaction, the provisional ratings of the Series A1 Notes 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 its Final Date on 24 April 2046. Interest and principal payments on the notes will be made quarterly, generally on the 24th day of January, April, July and October. The next payment day will be 24 April 2011.

• 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 principal public methodology is Master European Granular Corporate Securitisations (SME CLOs), 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 BANCO POPULAR FTPYME 2, 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.

This is the first DBRS rating on this financial instrument.

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.