Madrid, January 20, 2020 -- Moody's Investors Service, ("Moody's") has
today upgraded the ratings of Class B notes and affirmed the ratings of
Class A notes in IM SABADELL PYME 11, FONDO DE TITULIZACION.
The rating action reflects the increased levels of credit enhancement
for the affected notes.
....EUR1567.5M (current outstanding
amount EUR478.7M) Class A Notes, Affirmed Aa3 (sf);
previously on Mar 25, 2019 Affirmed Aa3 (sf)
....EUR332.5M Class B Notes,
Upgraded to B2 (sf); previously on Mar 25, 2019 Upgraded to
Caa2 (sf)
IM SABADELL PYME 11, FONDO DE TITULIZACION is an ABS backed by small
to medium sized enterprises ("ABS SME") loans located in Spain.
The deal was originated by Banco Sabadell, S.A. (Baa2/P2).
RATINGS RATIONALE
The rating action is prompted by an increase in credit enhancement for
the affected tranches.
Credit Enhancement for Class A notes has increased to 52.3%
from 33.6% since the last rating action taken on this deal
in March 2019. Class B notes CE has increased during the same period
to 11.3% from 7.3%.
Revision of Key Collateral Assumptions
As part of the rating action, Moody's reassessed its default probability
and recovery rate assumptions for the portfolio reflecting the collateral
performance to date.
The performance of the transactions has slightly deteriorated over the
last year. Total delinquencies have increased in the past year,
with 90 days plus arrears currently standing at 1.57% of
current pool balance. Cumulative defaults currently stand at 2.05%
of original pool balance up from 0.35% a year earlier.
Moody's maintained its default probability on current balance and recovery
rate assumptions, as well as portfolio credit enhancement ("PCE"),
due to observed pool performance in line with expectations.
Counterparty Exposure
Today's rating actions took into consideration the notes'
exposure to relevant counterparties, such as servicer, account
banks or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of note payments, in case of
servicer default, using the CR assessment as a reference point for
servicers.
Moody's also assessed the default probability of the account bank providers
by referencing the bank's deposit rating.
IM SABADELL PYME 11, FONDO DE TITULIZACION is not exposed to any
swap counterparty.
Principal Methodology
The principal methodology used in these ratings was "Moody's Global Approach
to Rating SME Balance Sheet Securitizations" published in July 2019.
Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include (1) performance of the underlying collateral that is better than
Moody's expected, (2) an increase in available credit enhancement
and (3) improvements in the credit quality of the transaction counterparties
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk (2) performance of the underlying
collateral that is worse than Moody's expected, (3) deterioration
in the notes' available credit enhancement and (4) deterioration in the
credit quality of the transaction counterparties.
REGULATORY DISCLOSURE
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Angel Jimenez
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Mehdi Ababou
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
