DBRS Assigns Ratings to BBVA EMPRESAS 5 FONDO DE TITULIZACION DE ACTIVOS

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the Notes issued by BBVA EMPRESAS 5 FTA (the “Issuer”), as follows:

• EUR 416,536,478 Series A Notes: A (sf)
• EUR 275,000,000 Series B Notes: BB (high)(sf)

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 of the Series A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date in September 2052. The rating of the Series B Notes addresses the ultimate payment of interest, as defined in the transaction documents, and the ultimate payment of principal payable on or before the Final Maturity Date in September 2052

The transaction is an existing transaction that had its Constitution Date on 14 March 2011, inititally having issued two Series of Notes, the Series A and the Series B Notes (collectively, the “Notes”) . As of 30 September 2012, the transaction portfolio consisted of 3,361 loans. The current aggregate balance of the loan portfolio including the loans in arrears up to 90 days is 687,594,104 million

BBVA acts as the Originator, Servicer, Account Bank, Paying Agent, Swap Counterparty and the Sub Loan Provider.

The ratings of the Notes are 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 14 of March, June, September and December.
• 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 250,000,000, or 20% 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 248,135,463; currently, this amount represents 35.88% of the outstanding notional of the Notes. The Reserve Fund can start to amortise after the first three years (14th March 2014) if certain conditions relating to the performance of the portfolio and deleveraging of the transaction are met but cannot amortise below EUR 125,000,000.

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: 20 December 2012

Note:
All figures are in Euros unless otherwise noted.