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Rating Action:

Moody's assigns definitive ratings to Spanish RMBS issued by IM Sabadell RMBS 3

10 Dec 2008
Moody's assigns definitive ratings to Spanish RMBS issued by IM Sabadell RMBS 3

EUR1440 million of debt securities rated

Madrid, December 10, 2008 -- Moody's Investors Service has today assigned the following definitive ratings to three series of "Bonos de Titulización de Activos" (securitisation bonds) to be issued by IM Sabadell RMBS 3, a Spanish asset securitisation fund created by Intermoney Titulización, S.G.F.T, S.A.:

- Aaa to the EUR1411.2 million Series A notes

- A1 to the EUR14.4 million Series B notes

- Baa3 to the EUR14.4 million Series C notes

Moody's ratings address the expected loss posed to investors by the legal final maturity. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal at par, on or before the final legal maturity date. The ratings do not address the full redemption of the notes on the expected maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

According to Moody's, this deal benefits from strong features, including: (i) the relatively low weighted-average loan-to-value ratio (WALTV) in the pool (63.16%); (ii) the swap agreement, which guarantees 25 bps excess spread; (iii) the good performance data on Banco Sabadell's global portfolio of mortgage loans granted to individuals; (iv) a reserve fund that is fully funded upfront to cover a potential shortfall in interest and principal; (v) residential mortgages securing 100% of the loans; and (vi) a 12-month artificial write-off mechanism.

However, Moody's notes that the deal also has a number of weaknesses, including: (i) the lack of information with respect to borrower employment or the origination channel of each loan; (ii) almost 10% of the pool corresponds to mortgage loans backed by second residences, mainly in coastal areas; (iii) a significant concentration in the region of Catalonia (45% of the pool); (iv) the deferral of interest payments on Series B and C increases the expected loss on these subordinated series; and (v) the pro-rata amortisation of Series B and C leads to reduced credit enhancement of the senior series in absolute terms. These increased risks were reflected in Moody's rating assessment.

The products being securitised are first-lien mortgage loans granted to individuals (all of whom will use these loans to acquire or refurbish properties located in Spain), originated by Banco Sabadell (Aa3/Prime-1), which will continue to service them.

As of 14 November 2008, the provisional portfolio comprised 12,041 loans for a total amount of EUR1,541,719,382. The original WALTV is 69.60%. The current WALTV is 63.16%. The average loan size is EUR128,039. The loans were originated between 1998 and September 2008, with a weighted-average seasoning of 29.34 months. The pool is concentrated in the Catalonia (45%), Asturias (11%) and Madrid (10%) regions.

To hedge the potential mismatch risk derived from the different index reference rates on the asset and notes sides, or the risk derived from any amendment in the terms of the mortgage agreements, the "Fondo" will enter into a swap agreement with Banco Sabadell.

Moody's bases its ratings on (i) an evaluation of the underlying portfolio of mortgage loans securing the structure; and (ii) the transaction's structural protections, which include the subordination, the strength of the cash flows (including the reserve fund) and any excess spread available to cover losses.

Moody's initially analysed and monitors this transaction using the rating methodology for EMEA RMBS transactions as described in the Rating Methodology reports "Moody's Updated Methodology for Rating Spanish RMBS", July 2008 and "Cash Flow analysis in EMEA RMBS: testing structural features with the MARCO model" January 2006. Other methodologies and factors that may have been considered in the process of rating this issue can also be found at www.moodys.com in the Rating Methodology & Performance page.

The key parameters used by Moody's to calibrate the loss distribution curve are a Milan Aaa CE range of 4.80- 5.00% and an Expected Loss range of 1.05- 1.25%.

The Spanish Government announced on November 4th 2008 a package of aid to assist unemployed, self employed and pensioneer borrowers through a form of mortgage subsidy aid. It is unclear how this package will be implemented, and also if it is implemented, how the transaction will be affected, although both liquidity and credit implications are possible on this portfolio. However, any implications on the ratings will ultimately depend on the actual financial aid conditions which will be approved.

London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Madrid
Antonio Tena
Associate Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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