Madrid, April 15, 2011 -- Moody's Investors Service announced today that it has downgraded the rating
of Class B and C notes and has confirmed the rating of the A2 and A3 notes
issued by BBVA RMBS 1 FTA. A detailed list of the rating actions
is provided at the end of this press release.
The ratings of the notes were placed on review for possible downgrade
in February 2011 due to the worse than expected performance of the collateral.
All the loans were originated by Banco Bilbao Vizcaya Argentaria (BBVA
Aa2/P-1).
RATINGS RATIONALE
Today's rating action concludes the review and takes into consideration
the worse-than-expected performance of the collateral.
It also reflects Moody's negative sector outlook for Spanish RMBS and
the weakening of the macro-economic environment in Spain,
including high unemployment rates.
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pools, from which Moody's determined the MILAN Aaa
Credit Enhancement (MILAN Aaa CE) and the lifetime losses (expected loss),
as well as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis. The expected loss and the Milan
Aaa CE are the two key parameters used by Moody's to calibrate its loss
distribution curve, used in the cash flow model to rate European
RMBS transactions.
Portfolio Expected Loss:
Moody's has reassessed its lifetime loss expectation taking into account
the collateral performance to date, as well as the current macroeconomic
environment in Spain. In February 2011, cumulative write-offs
rose to 2.38% of the original pool balance. The share
of 90+ day arrears stood at 2.50% of current pool balance.
Moody's expects the portfolio credit performance to be under stress,
as Spanish unemployment remains elevated. The rating agency believes
that the anticipated tightening of Spanish fiscal policies is likely to
weigh on the recovery in the Spanish labour market and constrain future
Spanish households finances. Moody's also has concerns over the
timing and degree of future recoveries in a weaker Spanish housing market.
On the basis of Moody's negative sector outlook for Spanish RMBS,
the rating agency has updated the portfolio expected loss assumption to
2.55% of original pool balance up from 1.90%
at December 2008.
MILAN Aaa CE:
Moody's has assessed the loan-by-loan information to determine
the MILAN Aaa CE. Moody's has increased its MILAN Aaa CE assumptions
for 11%, up from 10% at December 2008. The
increase in the MILAN Aaa CE reflects the exposure to broker origination
(28.90%) and non Spanish nationals (5.80%).
In addition 14.36% of the portfolio correspond to temporary
workers. Credit enhancement under the Class A (including subordination
and reserve fund) is 11.83%.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect of the
notes by the legal final maturity. Moody's ratings only address
the credit risk associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
TRANSACTION FEATURES
BBVA RMBS 1 closed in February 2007. The transactions is backed
by portfolios of first-ranking mortgage loans originated by BBVA
secured on residential properties located in Spain, for an overall
balance at closing of EUR 2.5 billion.The purpose of the
mortgage loans were the acquisition or refurbishment of residential properties
The majority of the collateral includes loans with high Loan-to-Value:
loans with LTV over 80% represent 75% of the current pool
balance. The portfolios are also quite concentrated in the area
of Catalonia, Madrid and Andalusia. The loans had been originated
between 2003 and June 2006, with a weighted average seasoning of
1.75 years at closing and a weighted average remaining term of
28.72 years
Reserve fund: The rapidly increasing levels of defaulted loans ultimately
resulted in draws to the reserve fund. The reserve fund represents
0.23% of the outstading amount of the notes and it is currently
at 10% of its target.
Commingling: All of the payments under the loans in this pool are
collected by the servicer under a direct debit scheme into the collection
accounts held at BBVA (Aa2/P-1) and are transferred to the treasury
account held at BBVA every two days.
Swap: According to the swap agreement entered into between the Fondo
and BBVA (Aa2 / P-1), on each payment date:
• The Fondo will pay the amount of interest actually received from
the loans; and
• BBVA will pay the sum of (1) the weighted average coupon on the
notes plus 65 bppa, over a notional calculated as the daily average
outstanding amount of the loans not more than 90 days in arrears and (2)
the servicing fee due on such payment date
For details on the deal structure, please refer to the BBVA RMBS
1, New Issue Reports. The report is available on www.moodys.com.
The principal methodologies used in this rating were Moody's Updated
Methodology for Rating Spanish RMBS published in July 2008, Cash
Flow Analysis in EMEA RMBS: Testing Features with the MARCO Model
(Moody's Analyser of Residential Cash Flows) published in January
2006, Moody's Approach to Automated Valuation Models in Rating
UK RMBS published in August 2008, A Framework for Stressing House
Prices in RMBS Transactions in EMEA published in July 2008. Moody's
also took into account its Rtaing Implementation Guidance : "Global
Structured Finance Operational Risk Guidelines: Moody's Approach
to Analyzing Performance Disruption Risk" published in March 2011.
Moody's Investors Service did not receive or take into account a third-party
due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
LIST OF RATINGS ACTIONS
Issuer: BBVA RMBS 1 Fondo de Titulización de Activos
....EUR1,400M A2 Certificate,
Confirmed at Aaa (sf); previously on Feb 8, 2011 Aaa (sf) Placed
Under Review for Possible Downgrade
....EUR495M A3 Certificate, Confirmed
at Aaa (sf); previously on Feb 8, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR120M B Certificate, Downgraded
to A3 (sf); previously on Feb 8, 2011 A1 (sf) Placed Under
Review for Possible Downgrade
....EUR85M C Certificate, Downgraded
to B3 (sf); previously on Feb 8, 2011 Ba3 (sf) Placed Under
Review for Possible Downgrade
REGULATORY DISCLOSURES
The ratings have been disclosed to the rated entity or its designated
agents and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Madrid
Alberto Barbachano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service takes action on Spanish RMBS notes issued by BBVA RMBS 1 FTA
