DBRS Ratings Limited Assigns Final Ratings to BBVA RMBS 11 Fondo de Titulización de Activos

DBRS Ratings Limited (DBRS) has today assigned a final rating of AA (sf) to the Class A Notes, BBB (sf) to the Class B Notes and B (high) (sf) to the Class C Notes to be issued by BBVA RMBS 11 Fondo de Titulización de Activos (the “Notes”). The Class A, Class B and Class C Notes have also been placed Under Review with Negative Implications due to the placement of the ratings of the Kingdom of Spain’s long-term foreign and local currency debt Under Review with Negative Implications. The ratings for the Kingdom of Spain’s foreign and local currency debt are at ‘A’ (high). The receivables securitised in the transaction consist of obligations arising under mortgage loans to individuals secured by residential properties in Spain. The mortgages were originated by Banco Bilbao Vizcaya Argentaria S.A. (“BBVA”).

Upon a confirmation of the current sovereign rating, DBRS is expected to confirm and remove the ratings for the Class A, Class B and Class C Notes (Notes) from Under Review with Negative Implications. Upon a downgrade of the current sovereign rating, DBRS will apply an additional sovereign related stress component to the Notes, which may result in a confirmation or downgrade of the existing ratings and removal of the ratings from Under Review with Negative Implications.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of a cash reserve account and subordination. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at a AA (sf) standard for the Class A Notes, BBB (sf) standard for the Class B Notes and BH (sf) standard for the Class C Notes.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to manage collections activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
• Incorporation of a sovereign related stress component in our stress scenario due to the rating of the Kingdom of Spain at ‘A’ (high), which was placed Under Review with Negative Implications on May 22, 2012 (see press release “DBRS Places Spain’s Ratings Under Review with Negative Implications”).
• As of the date of issuing the rating, the Spanish sovereign rating is rated ‘A’ (high), Under Review with Negative Implications. Consequently, this is reflected in the rating of AA (sf) - Under Review with Negative Implications for the Class A Notes, BBB (sf) - Under Review with Negative Implications for the Class B Notes, B (high) (sf) - Under Review with Negative Implications for the Class C Notes.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the mortgage loans provided by BBVA. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These ratings concern newly issued financial instruments.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please see the linking document.

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

Lead Analyst: David Sánchez Rodríguez
Rating Committee Chair: Erin Stafford
Initial Rating Date: 11 June 2012