DBRS Assigns Final Ratings to IM FTPYME Sabadell 9, F.T.A.

DBRS Ratings Limited (“DBRS”) has assigned final ratings to the Notes issued by IM FTPYME Sabadell 9, F.T.A. (the “Issuer”), as follows:

• EUR 295 million Series A1 Notes: AAA (sf)
• EUR 650 million Series A2 (G) Notes: AAA (sf)
• EUR 555 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 de Sabadell, S.A. (“Banco Sabadell”) to large corporations and small and medium enterprises (“SMEs”) domiciled in Spain. As of 27 October 2011, the final portfolio included 6,443 loans granted to 6,039 borrowers with a weighted average maturity of 8.1 years and a notional amount of EUR 1,500 million.

The portfolio is well diversified in terms of industry and obligor concentration. The top three industries by NACE code are Real Estate Activities, Manufacturing, and Wholesale and Retail Trade representing 22.8%, 20.3% and 16.1% of the portfolio balance, respectively. The largest obligor represents 0.9% while the largest ten obligors total 6.8% of the portfolio balance.

The portfolio has a high exposure to the bank’s home region of Catalonia which represents 43.5% of the portfolio balance. Madrid and the Valencian Community, with 14.9% and 7.2% of the portfolio balance respectively, complete the top three region distributions of the borrowers.

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 47% is sufficient to support the AAA (sf) rating on both the Series A1 and Series A2 (G) Notes. The 10% 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 10% of the aggregate balance of the Series A and Series B Notes, or EUR 150 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 Sabadell.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the final ratings of the Series A1 and A2 (G) Notes address the timely payment of interest and the payment of principal on or before the Legal Final Maturity Date on 17 January 2046, as defined in the transaction documents. The final rating of the Series B Notes addresses the ultimate payment of interest and the payment of principal on or before the Legal Final Maturity Date on 17 January 2046, as defined in the transaction documents. The payments of interest and principal on the Notes will be made quarterly, generally on the 17th day of January, April, July and October. The first payment date is scheduled for 17 January 2012.

• 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 FTPYME Sabadell 9, F.T.A., Intermoney Titulización, S.G.F.T., S.A. and Banco Sabadell. 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
Final Rating Date: 1 November 2011

Note:
All figures are in Euro unless otherwise noted.