DBRS Confirms IM Sabadell RMBS 3 Fondo De Titulización De Activos

DBRS Ratings Limited (“DBRS”) has reviewed the IM Sabadell RMBS 3 Fondo De Titulización and confirms the Class A Notes (the “Notes”) at AA (high) (sf). The Notes are backed by a pool of mostly variable rate, first lien mortgage loans secured by residential properties in Spain originated and serviced by Banco Sabadell, SA.

The pool of mortgages supporting the transaction is performing within DBRS expectations and available credit enhancement for the Notes is sufficient to cover DBRS expected losses at the current rating level. The rating analysis incorporates a sovereign related stress component to address the impact of macroeconomic variables on collateral performance.

The Notes are supported by two classes of subordinated notes (Classes B and C) and a Cash Reserve Fund. As of the 19 September 2013 payment date, credit enhancement for the Notes as a percentage of the non-defaulted mortgage loans was 11.27%. The Cash Reserve Fund was increased from €39,600,000 to €68,850,581 by the Issuer on 11 July 2013.

Banco Santander SA serves the role of Account Bank for the transaction while Banco Sabadell, SA is the swap counterparty. The rating of Banco Santander SA is above the Minimum Institution Rating given the rating of the Notes as described in the DBRS Legal Criteria for European Structured Finance Transactions. The rating of Banco Sabadell SA is below the First Rating Threshold for a derivative counterparty as described in the DBRS Derivative Criteria for European Structured Finance Transactions. Banco Sabadell SA is currently posting collateral consistent with the framework.

Notes:
All figures are in Euros unless otherwise noted.

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

These can be found on www.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 periodic investor reports provided by InterMoney Titulización S.G.F.T., S.A. and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances.

The most recent rating action on this transaction took place on 4 February 2013, when the ratings of the Class A Notes was confirmed at AA (high) (sf) following an amendment to the transaction where Banco Santander, S.A. was assigned the role of Account Bank.

For additional information on this rating, please see the linking document or European Disclosure Requirements.

The individual linking document for this transaction is located at http://www.dbrs.com/research/245858.

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Alastair Bigley
Initial Rating Date: 2 March 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Quincy Tang

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