DBRS Assigns Ratings to IM Sabadell RMBS 3 Fondo De Titulizacion De Activos

DBRS Ratings Limited (DBRS) has today assigned a AA (high) (sf) rating to the Class A note issued by IM Sabadell RMBS 3 Fondo de Titulizacion de Activos. The transaction is backed by prime, mostly variable rate, first-lien mortgage loans secured by residential properties in Spain. They were originated and serviced by Banco De Sabadell S.A. The transaction was €1.44bn at inception in December 2008. The size of the rated A note is € 1,125,993,798 as at the last interest payment date.

IM Sabadell RMBS 3 Fondo De Titulizacion De Activos issued three classes of mortgaged-backed floating rate notes. The Class A is the most senior note in the structure and is supported by two classes of subordinated mortgage backed notes, Classes B and C. There is additional subordination below the Class C note in the form of a cash reserve. Total credit support for the Class A note including the Cash reserve fund is 5.67%

The transaction will not have a revolving period and principal will be paid sequentially except in the situation where certain performance triggers are met when principal can be paid pro-rata amongst the classes. The cash reserve fund at the time DBRS issued its rating stood at €36.71million. The reserve fund can amortise when certain performance triggers are met.

Interest and principal payments on the notes will be made quarterly on the 19th day of March, June, September and December each year. The first payment date following the issuance of the DBRS rating will be on the 21st March 2011.

DBRS conducted loan-level credit analysis and cash flow analysis, as well as a historical performance review of Banco De Sabadell S.A.’s mortgage portfolio dating back to 1998.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies with adjustments made for the Spanish mortgages and the originator- and servicer-specific historical performance.

The sources of information used for this rating include data relating to the underlying mortgages provided by Banco De Sabadell 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 these ratings, please refer to the linking document located below.

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 28 February 2011