Press Release

DBRS Takes Rating Actions on IM Sabadell PYME 10, FT

Structured Credit
June 28, 2019

DBRS Ratings GmbH (DBRS) took the following rating actions on IM Sabadell PYME 10, FT (the Issuer):

-- Series A Notes confirmed at AA (sf)
-- Series B Notes upgraded to BBB (low) (sf) from BB (high) (sf)

The rating of the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date (May 2049). The rating of the Series B Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies and defaults as of the May 2019 payment date.
-- Base case probability of default (PD), and updated recovery rates on the remaining receivables.
-- The credit enhancement (CE) available to the rated notes to cover the expected losses at their respective rating levels.

The Issuer is a cash flow securitisation established in July 2016 and collateralised by a portfolio of bank loans originated and serviced by Banco de Sabadell, S.A. (Sabadell) to self-employed individuals and small and medium-sized enterprises (SMEs) based in Spain.

The portfolio is performing within DBRS’s expectations. As of May 2019, the 90+ delinquency ratio was at 0.4% and the cumulative default ratio was at 0.9%. DBRS conducted a loan-by-loan analysis on the remaining pool and updated its default rate and recovery assumptions.

The CE available to all the rated notes has continues to increase as the transaction deleverages. As of May 2019, the CE available to the Series A Notes and Series B Notes was 72.3% and 15.6%, respectively (up from 47.0% and 10.2% respectively in May 2018). The increase in the CE prompted the confirmation and upgrade of the ratings.

Sabadell acts as the account bank provider for the transaction. Based on the account bank reference rating of Sabadell at “A”, which is one notch below the DBRS public Long-Term Critical Obligations Rating of Sabadell of A (high), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Series A Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

The transaction structure was analysed in Callisto, DBRS’s proprietary cash flow engine.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating CLOs Backed by Loans to European SMEs”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on at:

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at:

The sources of data and information used for these ratings include reports and information provided by InterMoney Titulización, S.G.F.T., S.A. and loan-level data from the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The latest rating actions on this transaction took place on 28 June 2018, when DBRS confirmed its rating on the Series A Notes at AA (sf) and upgraded its rating on the Series B Notes to BB (high) (sf) from CCC (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the “Base Case”):

Probability of Default Rates Used: Base case PD of 2.2%, a 10% and 20% increase on the base case PD.

Recovery Rates Used: Base case recovery rate of 48.0% at the AA (sf) stress level and 52.8% at the BBB (low) (sf) level, and a 10% and 20% decrease in the base case Recovery Rates.

DBRS concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the Recovery Rate by 20%, ceteris paribus, would lead to a confirmation of the Series A Notes at AA (sf) and a downgrade of the Series B Notes to BB (high) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the Recovery Rate by 10% would also lead to a confirmation of the Series A Notes at AA (sf) and a downgrade of the Series B Notes to BB (high) (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 28 July 2016

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs Backed by Loans to European SMEs
-- Legal Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Rating CLOs and CDOs of Large Corporate Credit
-- European RMBS Insight Methodology
-- European RMBS Insight: Spanish Addendum
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Structured Finance Surveillance Methodology

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at