DBRS Confirms Series A from IM Sabadell RMBS 3 Fondo De Titulizacion De Activos Following Amendment

DBRS, Inc. (DBRS) has confirmed the rating of the Series A Note issued by IM Sabadell RMBS 3 Fondo De Activos at AA (high) (sf). The ratings had previously been left Under Review with Negative Implications following an update to the DBRS Master European Residential Mortgage-Backed Securities Rating Methodology pending a resolution of a counterparty replacement. At the time, Banco de Sabadell, S.A., as holder of the Treasury Account, was below the minimum institution rating for an AA (high) security. Following the amendment to the transaction effective 24 January 2013, Banco Santander, S.A. is the now the holder of the Treasury Account. Banco Santander SA is publicly rated ‘A’ with Negative trend by DBRS, above the minimum institution rating for a AA (high) rated security.

Banco de Sabadell, S.A. remains the swap counterparty for the transaction.

The rating actions are based upon the following analytical considerations:
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance. The additional stress was prompted by the recent downgrade by DBRS of the Kingdom of Spain’s sovereign rating from ‘A’ (high) Under Review with Negative Implications to ‘A’ (low), with Negative Trend maintained (see “DBRS Downgrades Spain’s Rating to ‘A’ (low) with Negative Trend”).
• The update to the DBRS Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda in which DBRS changed the Market Value Decline (MVD) assumption for all rating levels and also increased its time to recovery assumptions for the Spanish Market.
• The transaction parties meet DBRS criteria.

Notes:
All figures are in euro unless otherwise noted.

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

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”.

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see the linking document.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Keith Gorman
Rating Committee Chair: Erin Stafford
Initial Rating Date: 2 March 2011
Most Recent Rating Update: 2 January 2013