DBRS Assigns Final Ratings to IM GRUPO BANCO POPULAR EMPRESAS 4, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned the final ratings of AAA (sf) to the €1,875 million Series A Notes and B (sf) to the €625 million Series B Notes issued by IM GRUPO BANCO POPULAR EMPRESAS 4, 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. to Spanish enterprises and small-and medium-sized enterprises (“SMEs”). The transaction has a portfolio notional amount of €2,500 million. As of 11 March 2011, the transaction included 23,407 loans with a weighted average time to maturity of 2.55 years.

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 the Reserve Fund. The credit enhancement level of 42.00% is sufficient to support the AAA (sf) rating for the Series A Notes and the credit enhancement level of 17.00% is sufficient to support the B (sf) rating for the Series B Notes.
-- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Banco Popular, the Reserve Fund, initially set at 17%, which is equivalent to €425 million of the aggregate balance of the Series A Notes and the Series B Notes, 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 Series A Notes and Series B Notes.
-- On each Payment Date, the Reserve Fund will be funded to reach the Required Level of the Reserve Fund with the resources that are available to do so on such Payment Date, in accordance with the Priority Order of Payments.
-- The Required Level of the Reserve Fund shall be the lesser of the following:
---- 17% of the Initial Balance of the Series A Notes and the Series B Notes.
---- 34% of the Outstanding Principal Balance of the Series A Notes and the Series B Notes.
-- The Required Level of the Reserve Fund shall not be reduced during the first 2 years of the transaction
-- The Required Level of the Reserve Fund shall not be reduced in the event of the following:
---- If the Outstanding Principal Balance of the Non-Defaulted Credit Rights with arrears above 90 days is higher than 1% of the Outstanding Principal Balance of the Non-Defaulted Credit Rights.
---- If on the previous Payment Date, the Reserve Fund had not achieved the Required Level on such Date.
-- The Required Level of the Reserve Fund shall be subject to an absolute minimum of 212,500,000 Euros.

• 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 provisional 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 their Final Dates on 22 June 2037. The provisional rating of the Series B Notes addresses the ultimate payment of interest, as defined in the transaction documents, and the ultimate payment of principal on each Payment Date during the transaction and, in any case, at their Final Dates on 22 June 2037. Interest and principal payments on the notes will be made quarterly, generally on the 22nd day of March, June, September and December, with the first payment date on 22 June 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 GRUPO BANCO POPULAR EMPRESAS 4, F.T.A, Intermoney Titulización SGFT, S.A. and Banco Popular Español, 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 these financial instruments.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Lead Analyst: Glen Leppert
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 31 March 2011

Note:
All figures are in Euro unless otherwise noted.