DBRS Assigns Rating to IM FTGENCAT SABADELL 3, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned the rating of AA (high) (sf) to the €131,600,593.41 Series A2(G) Notes issued by IM FTGENCAT SABADELL 3, 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 €161.97 million, which consisted of €9.80 million of defaulted loans and €2.03 million of loans that are more than 90 days past due. The non-defaulted portfolio comprised of 1,378 loans with a weighted average seasoning of 4.4 years and a weighted average time to maturity of 9.4 years.

The transaction is an existing transaction that had its Constitution Date on 28 November 2007.

This rating is 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 €152.17 million plus the Reserve Fund of €2.44 million is sufficient to support the AA (high) (sf) rating of the Series A2(G) Notes.
-- The Series A2(G) Notes benefit from the Generalitat of Catalonia 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 de Sabadell, the Reserve Fund was set initially at 2.50% of the initial aggregate balance of the Series A1, Series A2(G), Series B and Series C Notes (“the Notes”), or €8.75 million and is available to pay shortfalls in expenses senior to the Reserve Fund and principal and interest of the Notes throughout the life of the Notes. As of 31 December 2010 the Reserve Fund balance was €2.44 million.
-- The Reserve Fund cannot be reduced, except for the required payments to cover senior expenses and interest and principal shortfalls, unless:
---- The transaction is at least three years old;
---- The Reserve Fund is at least 5.00% of the outstanding aggregate balance of the Notes; and,
---- The Reserve Fund balance is greater than € 4.375 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 on 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 rating of the Series A2(G) Notes addresses 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 18 June 2040.

• 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 primary 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 this rating include parties involved in the rating, including but not limited to IM FTGENCAT SABADELL 3, F.T.A., Banco de Sabadell 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.

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.