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I AGREE
18 Feb 2011
Madrid, February 18, 2011 -- Moody's Investors Service has today assigned definitive ratings
to the class A notes issued by BBVA RMBS 5 FTA. The ratings take
into account the credit quality of the underlying mortgage loan pool,
the transaction structure and any legal considerations.
Issuer: BBVA RMBS 5 FTA
EUR4.675 billion Class A Notes due 2061, Assigned A2(sf)
RATINGS RATIONALE
The A2(sf) rating for this transaction is based on the expected portfolio
loss of 4.75% of the current balance of the portfolio and
the MILAN Aaa Credit Enhancement (MILAN Aaa CE) of 14.65%,
both of which served as input parameters for Moody's cash flow model.
The latter is in turn based on a probabilistic lognormal distribution,
as described in the report "The Lognormal Method Applied to ABS Analysis",
published in September 2000.
The key drivers for the MILAN Aaa CE number, which is in line with
the MILAN Aaa CE of other BBVA RMBS transactions, are: (i)
that 44.85% of the mortgage loans have current loan-to-value
(LTV) ratios of above 80%; (ii) that 13.22%
of the pool corresponds to loans originated via brokers; (iii) that
7.19% of the pool corresponds to loans granted to non-national
borrowers; and (iv) the uncertainty generated by rising systemic
risk and the deteriorating Spanish economic environment. The key
driver for the portfolio's expected loss is the performance of previous
BBVA deals. In particular, Moody's has taken into account
the delinquency information reported for similar transactions.
This figure is worse than it is for comparable Spanish transactions,
reflecting the high weighted average LTV of the portfolios and the historical
performance of previous BBVA transactions.
The notes are backed by a pool of Spanish mortgages granted to individuals
by BBVA (rated Aa2 on review for possible downgrade /P-1).
The properties are residential and located in Spain. As of January
2011, the mortgage pool balance consisted of approximately EUR4.035
billion. The increase in arrears and artificial write-offs
has resulted in withdrawals from reserve funds, which are funded
at 1.51% of the total outstanding pool and will be used
to pay senior fees, interest and principal shortfalls on the notes
during the life of the deal.
Moody's notes that the transaction documentation contains a trigger
for the appointment of a back-up servicer. All of the payments
under the loans in this pool are collected by the servicer under a direct
debit scheme, whereby payments are deposited into the collection
account held at BBVA and then transferred to the reinvestment account
on a monthly basis. Upon the loss of BBVA's Prime-1 rating,
collections will be transferred on a daily basis.
According to Moody's, the V score for this transaction is
Medium, which is in line with the V score assigned to the Spanish
RMBS sector. However, Moody's has assessed three sub-components
(quality of data, sector historical downgrade rate and transaction
complexity) underlying the V score as being higher than the average for
the Spanish RMBS sector. The quality of historical data for the
issuer/sponsor/originator is Medium/High, which is higher than the
Medium V score assigned to the Spanish RMBS sector for this sub-component.
This disparity is the result of vintage data not being provided for BBVA's
mortgages pool. In addition, we have assessed the sector's
historical downgrade rate and transaction complexity as Medium,
which is higher than the Low/Medium V score that Moody's has assigned
to the Spanish RMBS sector for those sub-components. This
variation is a result of: (i) the transaction's exposure to
High LTVs, which have suffered more downgrades than traditional
mortgages pools in recent years; and (ii) the high exposure of High
LTV loans to house price declines.
V scores are a relative assessment of the quality of available credit
information and of the degree of dependence on various assumptions used
in determining the rating. High variability in key assumptions
could expose a rating to a greater likelihood of rating changes.
The rating agency has assigned V scores in accordance with the report
"V Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors",
published in April 2009.
At the time this provisional rating was assigned, the Moody's
parameter sensitivities model output indicated that the class A notes
would have achieved an A2 (sf) rating if the expected loss was as high
as 4.75%, assuming a MILAN Aaa CE as high as 14.65%
and with all other factors being constant. Moody's parameter sensitivities
provide a quantitative/model-indicated calculation of the number
of rating notches by which the rating for a Moody's structured finance
security would vary if certain input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged,
and is not intended to measure how the rating of the security might migrate
over time. Rather, it measures how the initial rating of
the security might have differed if Moody's varies key rating input
parameters. The rating agency calculates parameter sensitivities
for the typical EMEA RMBS transaction by stressing key variable inputs
in Moody's primary rating model.
The principal methodologies used in this rating were Moody's Approach
to 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, A Framework
for Stressing House Prices in RMBS Transactions in EMEA published in July
2008, V Scores and Parameter Sensitivities in the Major EMEA RMBS
Subsectors published in April 2009, and Moody's Enhanced Approach
to Originator Assessments in EMEA RMBS Transactions published in October
2009.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
REGULATORY DISCLOSURES
The rating has 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 rating are the following:
parties involved in the ratings and public information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
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
Neal Shah
MD - Structured Finance
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 assigns definitive ratings to Spanish RMBS notes issued by BBVA RMBS 5 FTA
No Related Data.
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