Madrid, October 28, 2015 -- Moody's Investors Service has today downgraded the rating of BBVA RMBS
10, FTA's class B notes and affirmed the rating of the class A notes.
These rating actions follow Moody's review of the recent structural changes
to BBVA RMBS 10, FTA and concluded that these amendments have both
neutral and negative impact on the ratings, depending on the ranking
of the notes:
Issuer: BBVA RMBS 10, FTA
....EUR1376M Class A Notes, Affirmed
Aa2 (sf); previously on Jul 10, 2015 Upgraded to Aa2 (sf)
....EUR224M Class B Notes, Downgraded
to Ba2 (sf); previously on Jul 10, 2015 Affirmed Baa3 (sf)
RATINGS RATIONALE
The structural amendments relate to a reduction of the size of the reserve
fund from 12.0% of the initial amount of the notes at closing
to 5.0% of the initial amount of the notes at closing.
Accordingly, Class B does not benefit from sufficient credit enhancement
to maintain the rating of the notes.
In reaching this conclusion, Moody's has taken into consideration
the characteristics of the mortgage pool, the current level of credit
enhancement and the level of credit enhancement that will be present in
the transaction after the amendments have taken place, together
with the amount of liquidity within the transaction given by the new reserve
fund level. However, Moody's opinion addresses only the credit
impact associated with the amendment, and Moody's is not expressing
any opinion as to whether the amendment has, or could have,
other non-credit related effects that may have a detrimental impact
on the interests of note holders and/or counterparties.
The key collateral assumptions have not been updated as part of this restructuring.
Moody's rating analysis also took into consideration the exposure to key
transaction counterparties, including the roles of servicer and
account bank provided by Banco Bilbao Vizcaya Argentaria, S.A.
(Baa1(cr)/P-2(cr)).
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may 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,
but rather how the initial rating of the security might have differed
if key rating input parameters were varied. Parameter Sensitivities
for the typical EMEA RMBS transaction are calculated by stressing key
variable inputs in Moody's primary rating model.
At the time the deal was restructured, the model output indicated
that the class A notes would have achieved an Aa2 if the expected loss
was as high as 8.8% and the MILAN CE was 20.0%
and all other factors were constant.
The principal methodology used in these ratings was Moody's Approach To
Rating RMBS Using the MILAN Framework published in January 2015.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for
further information on Moody's analysis at the initial rating assignment
and the on-going surveillance in RMBS.
Moody's will continue monitoring the ratings. Any change in the
ratings will be publicly disseminated by Moody's through appropriate media.
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 with respect of the class A and
ultimate payment of principal 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
The transaction is a securitisation of Spanish prime mortgage loans originated
by Banco Bilbao Vizcaya Argentaria, S.A. (Baa1(cr)/P-2(cr))
to obligors located in Spain. The portfolio consists of high Loan
To Value ("HLTV") mortgage loans secured by residential properties.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of these ratings
include (1) further reduction in sovereign risk, (2) performance
of the underlying collateral that is better than Moody's expected,
(3) deleveraging of the capital structure and (4) improvements in the
credit quality of the transaction counterparties.
Factors or circumstances that could lead to a downgrade of these ratings
include (1) an increase in sovereign risk, (2) performance of the
underlying collateral that is worse than Moody's expects, (3) deterioration
in the notes' available credit enhancement and (4) deterioration in the
credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
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 or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt 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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Maria Turbica Manrique
Vice President - Senior 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
SUBSCRIBERS: 44 20 7772 5454
Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
Telephone:+39-02-9148-1100
Juan Miguel Martin-Abde
Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 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
SUBSCRIBERS: 44 20 7772 5454
Moody's takes actions on two classes of Spanish RMBS notes issued by BBVA RMBS 10, FTA
