TEXT-S&P lowers rtg on IM SABADELL EMPRESAS 5's class A2 notes

Mon Nov 5, 2012 6:37am EST

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(The following statement was released by the rating agency)

Nov 05 -

OVERVIEW

-- We lowered our long-term rating on the guaranteed investment contract and swap provider in the transaction, Banco de Sabadell, on April 30, 2012, and more recently on Oct. 15, 2012, following our downgrade of the Kingdom of Spain on Oct. 10, 2012.

-- Since we lowered our long-term rating on Banco de Sabadell on April 30, 2012, under the transaction documents, the counterparty is no longer considered eligible and the 60-day remedy period has now expired.

-- The trustee and the originator have confirmed that the transaction will fully amortize on the next interest payment date, and that the issuer will therefore not take any remedy actions. Our 2012 counterparty criteria therefore link the ratings in the transactions to the long-term issuer credit rating on the guaranteed investment contract and the swap provider, Banco de Sabadell.

-- Consequently, we have today lowered and placed on CreditWatch negative our rating on the class A2 notes following the application of our 2012 counterparty criteria.

-- IM SABADELL EMPRESAS 5 is a Spanish SME transaction that securitizes a static portfolio of loans granted to SMEs in their normal course of business. Banco de Sabadell is the originator in this transaction.

Standard & Poor's Ratings Services today lowered to 'BB (sf)' from 'BBB- (sf)' and placed on CreditWatch negative its credit rating on IM SABADELL EMPRESAS 5 , Fondo de Titulizacion de Activos' class A2 notes.

Today's rating action follows our rating action on Banco de Sabadell S.A. (BB/Watch Neg/B), the guaranteed investment contract (GIC) and swap provider in the transaction, and the application of our 2012 counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on May 31, 2012).

Prior to today's rating action, we lowered our long-term issuer credit rating (ICR) on Banco de Sabadell twice: We previously lowered it to 'BB+' from 'BBB-' on April 30, 2012, and more recently to 'BB' from 'BB+' on Oct. 15, 2012, following our downgrade of the Kingdom of Spain on Oct. 10, 2012 (see "Negative Rating Actions On 16 Spanish Banks Following Sovereign Downgrade," published on April 30, 2012, "Various Rating Actions On Spanish Financial Institutions Following Sovereign Downgrade," published on Oct. 15, 2012, and "Spain Ratings Lowered To 'BBB-/A-3' On Mounting Economic And Political Risks; Outlook Negative," published on Oct. 10, 2012).

The transaction documents, which reflect our (superseded) 2010 counterparty criteria, stipulate that remedy actions need to be taken if the long-term ICR on the GIC provider and the swap counterparty are lowered below 'BB+'. Since we previously lowered our long-term ICR on Banco de Sabadell on April 30, 2012, under the transaction documents, the counterparty is no longer eligible and the 60-day remedy period has now expired.

The trustee and the originator (Intermoney de Titulizacion S.G.F.T. S.A. and Banco de Sabadell, respectively) have confirmed that the transaction will fully amortize on the next interest payment date, and that the issuer will therefore not take any remedy actions regarding the GIC or the swap counterparty. Our 2012 counterparty criteria therefore link our ratings on the notes in this transaction to the long-term ICR on the GIC and the swap provider, Banco de Sabadell.

Consequently, we have today lowered to 'BB (sf)' from 'BBB- (sf)' and placed on CreditWatch negative our rating on the class A2 notes following the application of our 2012 counterparty criteria.

IM SABADELL EMPRESAS 5 is a Spanish small and midsize enterprise (SME) transaction that securitizes a static portfolio of loans granted to SMEs in their normal course of business. Banco de Sabadell is the originator in this transaction.

RELATED CRITERIA AND RESEARCH

-- Various Rating Actions On Spanish Financial Institutions Following Sovereign Downgrade, Oct. 15, 2012

-- Spain Ratings Lowered To 'BBB-/A-3' On Mounting Economic And Political Risks; Outlook Negative, Oct. 10, 2012

-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

-- Negative Rating Actions On 16 Spanish Banks Following Sovereign Downgrade, April 30, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

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