Madrid, April 19, 2011 -- Moody's Investors Service announced today the following rating action
on notes issued by BBVA RMBS 2, FTA a Spanish RMBS securitisation
deal closed in March 2007, following an internal review after the
discovery of an input error in the cash flow model:
Issuer: BBVA RMBS 2 Fondo de Titulizacion de Activos
....EUR112.5M B Certificate,
Downgraded to Baa3 (sf); previously on Oct 13, 2010 Downgraded
to Baa2 (sf)
....EUR100M C Certificate, Downgraded
to B3 (sf); previously on Oct 13, 2010 Downgraded to B2 (sf)
Moody's Investors Service has also today placed on review direction
uncertain the ratings of all notes issued by BBVA RMBS 4, FTA in
relation to the discovery of the same input error in the cash flow model.
Issuer: BBVA RMBS 4 Fondo de Titulizacion de Activos
....EUR2740M A1 Certificate, Aa3 (sf)
Placed Under Review Direction Uncertain; previously on Oct 13,
2010 Downgraded to Aa3 (sf)
....EUR960M A2 Certificate, Aa3 (sf)
Placed Under Review Direction Uncertain; previously on Oct 13,
2010 Downgraded to Aa3 (sf)
....EUR1050.5M A3 Certificate,
Aa3 (sf) Placed Under Review Direction Uncertain; previously on Oct
13, 2010 Downgraded to Aa3 (sf)
....EUR41.7M B Certificate, Baa3
(sf) Placed Under Review Direction Uncertain; previously on Oct 13,
2010 Downgraded to Baa3 (sf)
....EUR107.8M C Certificate,
Caa1 (sf) Placed Under Review Direction Uncertain; previously on
Oct 13, 2010 Downgraded to Caa1 (sf)
RATINGS RATIONALE
Today's rating actions conclude the rating review that was prompted by
Moody's discovery that the Principal Deficiencies (PDL) were incorrectly
set in the cash flow models used at the latest rating review of BBVA RMBS
2 and BBVA RMBS 4, concluded on 13 October 2010, when full
amount of PDL was not modeled for the transactions.
BBVA RMBS 2
PDL currently represents EUR 6.76 million for BBVA RMBS 2.
After correctly modeling PDL and considering the current level of credit
enhancement under each Class, Moody's concluded that the correction
of PDL modeling has no impact on Classes A2, A3 and A4 Aa1(sf) rating
and an impact of 1 notch for classes B and C.
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pool, as well as the transaction structure and 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.
Moody's is not revising the 2.27% of original balance expected
loss assumption for BBVA RMBS 2 given performance is still in line with
expectations as of rating review time. Milan Aaa CE remains at
9.5%.
BBVA RMBS 4
PDL currently represents EUR 36.18 million for BBVA RMBS 4.
Moody's Investors Services is not taking immediate action on the
notes but placing them under review direction uncertain in consideration
of the restructuring process currently in progress with the intention
to increase credit enhancement in the transaction. Today's
review will be concluded upon detailed analysis of the restructuring proposal
and evidence of its implementation.
Moody's ratings address the expected loss posed to investors by the legal
final maturity of the notes. Moody's ratings address only the credit
risks associated with the transaction. Other risks have not been
addressed, but may have a significant effect on yield to investors.
The principal methodologies used in these ratings were Moody's Updated
Methodology for Rating Spanish RMBS published in July 2008, Revising
Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction published
in December 2008 and Cash Flow Analysis in EMEA RMBS: Testing Structural
Features with the MARCO Model (Moody's Analyser of Residential Cash Flows)
published in January 2006.
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.
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, parties not involved in the ratings,
public information, 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
Maria Turbica Manrique
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Milan
Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
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 downgrades two classes of Spanish RMBS notes issued by BBVA RMBS 2 and places all notes issued by BBVA RMBS 4 under review direction uncertain