DBRS Places IM Sabadell RMBS 2 Fondo De Titulizacion De Activos Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today placed Under Review with Negative Implications the Class A notes issued by IM Sabadell RMBS 2 Fondo De Titulizacion De Activos.

The rating actions reflect the May 3rd, 2012 DBRS downgrade of the Kingdom of Spain’s long-term foreign and local currency debt rating to A (high) from AA (low) with the Negative Trend maintained (see press release “DBRS Downgrades Spain to A (high), Trend Remains Negative”).

DBRS will undertake a review to determine the impact of the sovereign downgrade on the transaction and will promptly publish updated rating actions that may either result in a confirmation or a downgrade. DBRS employs a case-by-case approach that is jurisdiction-specific and asset-class specific with the risks and protections of each transaction identified and considered. The lower the sovereign rating, the greater relevance and potential impact it has on securitisation ratings due to less favorable macroeconomic conditions, stress factors related to the transaction parties and increased likelihood for unknown events to occur.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria For European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

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

For additional information on these ratings, please refer to the linking document.

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