DBRS Confirms Ratings on Series A and Series B Notes Issued by IM GBP Empresas VI, FTA

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the notes issued by IM GBP Empresas VI, FTA (the Issuer) as follows:

-- €2,340 million Series A Notes at A (sf)
-- €660 million Series B Notes at CCC (low) (sf)

The transaction is a cash flow securitisation collateralised by a portfolio of bank term loans originated by Banco Popular Español, S.A. (Banco Popular) and Banco Pastor, S.A.U. (Banco Pastor; together, the Originators) to small- and medium-sized enterprises (SMEs) and self-employed individuals based in Spain. As of 25 March 2015, the transaction’s securitised portfolio included 43,638 loans to 34,104 obligors groups, totalling EUR 3,000 million.

The rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Legal Maturity Date in January 2046. The rating on the Series B Notes addresses the ultimate payment of interest and principal payable on or before the Legal Maturity Date in 2046.

The rating actions reflect material updates to the methodology DBRS uses to rate and monitor collateralised loan obligations (CLOs) and collateralised debt obligations (CDOs) backed by debt of large corporations (see Rating CLOs and CDOs of Large Corporate Credit published 7 April 2015).

This methodology supersedes the current Rating Methodology for CLOs and CDOs of Large Corporate Credit published 21 January 2014.

The proposed methodology includes revised recovery rates for non-investment-grade rating levels. More specifically, the senior unsecured recovery rates for the Series B Notes has increased from 20.75% to 21.50%. As anticipated in the press release finalising the provisional ratings published on 26 March 2015, the material changes in the updated methodology do not have an impact on the rating for the Series A and Series B Notes.

Notes:
The sources of information used for this rating include the parties involved in the rating, including, but not limited to, the Originator, the Issuer and their agents.

DBRS considers the information made available to it for the purposes of providing this rating to have been 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.

To assess the impact a change of the transaction parameters would have on the ratings, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- Probability of Default (PD) rates used: base case PD of 2.56%, a 10% increase of the base case and a 20% increase of the base case PD.
-- Recovery rates used: base case recovery rates of 16.3% at the A (sf) stress level and 21.5% at the CCC (low) (sf) stress level for the Series A Notes and Series B Notes, respectively, a 10% and 20% decrease in the base case recovery rates.

DBRS concludes that a hypothetical increase of the base case PD by 20% would lead to a downgrade of the Series A Notes to A (low) (sf), and that a hypothetical decrease of the recovery rate by 20% would not have any impact on the rating of the Series A Notes. A scenario combining both an increase in the base case PD by 10% and a decrease in the base case recovery rate by 10% does not have any impact on the rating of the Series A Notes.

Regarding the Series B Notes, a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the base case recovery rate by 20% would not have any impact on the rating of the Series B Notes. A scenario combining both an increase in the base case PD by 10% and a decrease in the base case recovery rate by 10% would not have any impact on the rating of the Series B Notes.

It should be noted that the interest rates and other parameters that would normally vary with rating level, including the recovery rates, were allowed to change as per DBRS methodologies and criteria.

This is the first rating action since the Initial Rating Date.
Information regarding DBRS ratings, including definitions, policies and methodologies is available on www.dbrs.com.

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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

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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies

Rating CLOs and CDOs of Large Corporate Credit
Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
Initial Lead Analyst: María López
Initial Rating Date: 26 March 2015
Initial Rating Committee Chair: Jerry Van Koolbergen

Last Rating Date: Not applicable as no last surveillance rating date
Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

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