DBRS Assigns AAA (sf) Rating to Series A Notes issued by IM SABADELL EMPRESAS 3, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the remaining €679,221,994.32 Series A Notes issued by IM SABADELL EMPRESAS 3, F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco de Sabadell, S.A. to Spanish enterprises, small and medium-sized enterprises (“SMEs”) and self-employed individuals. As of 31 January 2011, the transaction had a current non-defaulted portfolio notional amount of €979.91 million and included 3,207 loans with a weighted average time to maturity of 8.2 years.

The transaction is an existing transaction that had its Constitution Date on 19 December 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, a reserve funded through a subordinated loan and excess spread. For the purpose of analysing this transaction, DBRS considers the credit enhancement to be the difference between i) the non-defaulted portfolio plus the current balance in the Reserve Fund and ii) the total of the outstanding balance of the Series A Notes. By this definition, the current credit enhancement level is €578.94 million and is sufficient to support AAA (sf) rating for the Series A Notes.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Banco de Sabadell, the Reserve Fund, initially set at 15.00% of the aggregate balance of the Series A, Series B and Series C Notes (the “Bonds”) or €261.00 million, is available to pay shortfalls in the expenses senior to the replenishment of the Reserve Fund in the Priority of Payments, and interest and principal throughout the life of the Notes. The current level of the Reserve Fund is €248.34 million.
-- 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 30.00% of the outstanding aggregate balance of the Bonds; and,
---- The Reserve Fund balance is greater than €130.50 million, which is equivalent to 7.50% 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 rating of the Series A 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 its Final Date on 17 October 2044. Interest and principal payments on the notes will be made quarterly, generally on the 17th day of January, April, July and October. The next payment date will be 18 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 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 SABADELL EMPRESAS 3, F.T.A., Intermoney Titulizaæion, S.G.F.T., S.A. and Banco de Sabadell, 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.

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.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 30 March 2011

Note:
All figures are in Euro unless otherwise noted.