DBRS Assigns Provisional Ratings to IM Banco Popular FTPYME 3, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned provisional ratings to the Notes issued by IM Banco Popular FTPYME 3, F.T.A. (the “Issuer”), as follows:

• EUR 475 million Series A1 Notes: AAA (sf)
• EUR 500 million Series A2 (G) Notes: AAA (sf)
• EUR 325 million Series B Notes: B (high) (sf)

The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Banco Popular Espanol, S.A. (“Banco Popular”) to large corporations and small and medium enterprises (“SMEs”) domiciled in Spain. As of 26 September 2011, the transaction’s provisional pool included 7,322 loans with a weighted average life of 3.8 years, a weighted average maturity of 6.0 years and a notional amount of EUR 1,479.2 million. At closing, the Originator will select the final portfolio of EUR 1,300.0 million from above mentioned provisional pool.

The above ratings are provisional. The final rating will be issued upon receipt of executed versions of the governing transaction documents. To the extent that the documents and information provided by IM Banco Popular FTPYME 3, F.T.A., Intermoney Titulización, S.G.F.T., S.A. and Banco Popular and/or their agents to DBRS as of this date differ from the executed versions of the governing transaction documents, DBRS may assign a lower final rating to the Notes, or may avoid assigning a final rating to the Notes altogether.

These ratings are based upon DBRS’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- Credit enhancement is provided in the form of subordination, through the Reserve Fund and excess spread. The current credit enhancement of 40.75% is sufficient to support the AAA (sf) rating on both the Series A1 and Series A2 (G) Notes. The 15.75% credit enhancement provided by the Reserve Fund is sufficient to support the B (high) (sf) rating on the Series B Notes.
-- The Reserve Fund has been initially set at 15.75% of the aggregate balance of the Series A and Series B Notes, or EUR 204.75 million. The Reserve Fund is available to cover shortfalls in the senior expenses and interest on the Series A1 and A2 (G) Notes, throughout the life of the Notes. On the last payment date or the early liquidation payment date (if it occurs), the Reserve Fund can be used to pay interest and principal on the Series A1, the Series A2 (G) and the Series B Notes.
-- The Reserve Fund cannot be reduced during the life of the transaction, except for required payments to cover interest shortfalls.
-- The Reserve Fund will be funded at inception through the issuance of a subordinated loan granted by Banco Popular.

• 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 and A2 (G) Notes address the timely payment of interest and the payment of principal on or before the Final Maturity Date on 22 November 2047, as defined in the transaction documents. The provisional rating of the Series B Notes addresses the ultimate payment of interest and the payment of principal on or before the Final Maturity Date, as defined in the transaction documents. The payments of interest and principal on the Notes will be made monthly, generally on the 22nd day of each month. The first payment date is scheduled for 22 December 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’s 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 3, F.T.A., Intermoney Titulización, S.G.F.T., S.A. and Banco Popular. 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.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Provisional Rating Date: 27 October 2011

Note:
All figures are in Euro unless otherwise noted.