DBRS Assigns Ratings to the Notes of BBVA EMPRESAS 4 FONDO DE TITULIZACION DE ACTIVOS

DBRS Ratings Limited (“DBRS”) has today assigned the final rating of A (sf) to the EUR 731,041,310 Notes issued by BBVA EMPRESAS 4 F.T.A. (the “Issuer”). The transaction is a cash flow securitisation collateralised by a portfolio of bank loans originated by Banco Bilbao Vizcaya Argentaria S.A. (“BBVA”) to corporates and small- and medium-sized enterprises (“SMEs”) based in Spain.

The rating on the Series of Notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Final Maturity Date in February 2045.

The transaction is an existing transaction that had its Constitution Date on 19 July 2010. As of 31 August 2012, the transaction portfolio consisted of 2,479 loans. The current aggregate balance of the loan portfolio including the loans in arrears up to 90 days is EUR 646.24 million.

BBVA acts as the Originator, Servicer, Account Bank, Paying Agent and Sub Loans Provider.

The rating of the Notes is based upon DBRS’s review of the following items:

• The transaction structure, the form and sufficiency of available credit enhancement, the portfolio characteristics and the Reserve Fund.
• The transaction has a swap agreement mitigating the interest rate risk.
• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting and servicing practices.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the documentation. Interest and principal payments of the Notes will be made quarterly on every 23 of February, May, August and November.
• The soundness of the legal structure and the presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The transaction has a Reserve Fund that will be available to pay senior fees and interest on the Notes. The initial balance of the Reserve Fund was EUR 612,000,000, 36% of the initial balance of the Notes. Since the Constitution date of the Notes, the Reserve Fund has been reduced in accordance with the terms of the documentation to EUR 603,760,757.77, which represents 82.59% of outstanding notional of the Notes. The Reserve Fund can start to amortise after the first three years (23rd December 2013) if certain conditions relating to the performance of the portfolio and deleveraging of the transaction are met but cannot amortise below EUR 306 million.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originator, the Issuer and its agents.

DBRS considers the information available to it for the purposes of providing this rating was, overall, of average quality. DBRS adjusted its analysis to account for the type of information provided. The source of concern revolves around the historical information provided for DBRS to determine the average annual default rate of corporate borrowers. The average annual default rate for corporate borrowers is a key input parameter in DBRS analysis and is derived by DBRS from information provided to it by the Originator. The Originator provided historical default and delinquency information based on both the notional balance and number of loans it had originated since 2004.

Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

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

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Lead Analyst: María López
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 5 November 2012

Note:
All figures are in Euros unless otherwise noted.