DBRS Assigns Final Ratings to IM GRUPO BANCO POPULAR EMPRESAS V, FTA

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the Notes issued by IM GRUPO BANCO POPULAR EMPRESAS V, FTA (“the Issuer”), as follows:

• EUR 1,987.5 million Series A Notes: A (sf)
• EUR 662.5 million Series B Notes: B (high) (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco Popular Español, S.A (“Banco Popular”) to self-employed individuals and small-and medium-sized enterprises (“SMEs”) based in Spain. As of 28 January 2013, the transaction’s provisional pool included 49,580 loans totaling EUR 2,866.37 million. At closing, the Originator selected the final portfolio of EUR 2,650 million from the above mentioned provisional pool.

The provisional pool exhibits low obligor concentration with the top obligor and the largest ten obligor groups representing 0.59% and 3.67% of the outstanding balance, respectively. The provisional pool is well diversified across regions. The top three regions are Madrid, Catalonia and Andalusia, representing about 16.4%, 16.3%, and 13.2% of the provisional pool balance, respectively. The portfolio is sufficiently diversified across industries. The top three industries by NACE industry group are “Manufacturing” 26.5%), “Wholesale and retail trade; repair of motor vehicles, motorcycles and personal and household goods” (24.6%), and “Renting and business activities” (10.3%) The exposure to the “Construction” sector is 7.7%. The exposure is lower than seen in seasoned transactions and is in line with other recent transactions DBRS has seen.

These ratings are based upon DBRS’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- At closing, the Series A Notes benefits from a total credit enhancement of 35% which DBRS considers to be sufficient to support the A (sf) rating. The Series B Notes will benefit from a credit enhancement of 10% which DBRS considers to be sufficient to support the B (high) (sf) rating. Credit enhancement is provided by subordination and the Reserve Fund. In addition, the Notes also benefit from available excess spread.
-- The Reserve Fund (“RF”) is non-amortising with a balance of EUR 265 million, 10% of the aggregate balance of the Series A and Series B Notes. The RF is available to cover shortfalls in the senior expenses and interest on the Series A Notes, throughout the life of the Notes. The RF will only be available as credit support for the Notes at the Legal Final Maturity.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the rating of the Series A Notes addresses the timely 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 Legal Final Maturity on 22 October 2043. The 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 Legal Final Maturity on 22 October 2043. Interest and principal payments on the Notes will be made quarterly, generally on the 22nd day of January, April, July and October with the First Payment Date on 22 April 2013.

• 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.

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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.dbrs.com.

The sources of information used for this rating include IM GRUPO BANCO POPULAR EMPRESAS V, FTA, Intermoney Titulización S.G.F.T., 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.

For additional information on DBRS European SME CLO(s), 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: María López
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 1 March 2013

Notes:
All figures are in Euro unless otherwise noted.