DBRS Assigns Final Ratings to BBVA-9 PYME FTA

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the Notes issued by BBVA-9 PYME FTA (“the Issuer”), as follows:

• EUR 400 million Series A Notes: A (sf)
• EUR 70 million Series B Notes: BB (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco Bilbao Vizcaya Argentaria, S.A (“BBVA”) to self-employed individuals and small-and medium-sized enterprises (“SMEs”) based in Spain. As of 21 November 2012, the transaction’s provisional pool included 3,562 loans totaling EUR 543.13 million. At closing, the Originator will select the final portfolio of EUR 470 million from the above mentioned provisional pool.

The provisional pool exhibits low obligor concentration with the top obligor and the largest 10 obligor groups representing 0.88% and 6.56% of the outstanding balance, respectively. The provisional pool is well diversified across regions. The top three regions are Catalonia, Madrid and Basque Country, representing about 19.3%, 12.4%, and 12.0% of the provisional pool balance, respectively. The portfolio is well diversified across industries. The top three industries by NACE group are “Manufacturing” (22.8%), “Wholesale and Retail Trade (19.0%),” and “Construction and Real Estate” (17.5%). The combined exposure to the “Construction” and “Real Estate” sectors remains a source of concern considering the challenging situation in Spain. However, the exposure is lower than seen in seasoned transactions and is in line with other recent transactions we’ve seen.

These ratings are based upon DBRS’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- At closing, the Series A Notes will benefit from a total credit enhancement of 32.9% which DBRS considers to be sufficient to support the A (sf) rating. The Series B Notes will benefit from a credit enhancement of 18% which DBRS considers to be sufficient to support the BB (sf) rating. Credit enhancement is provided by subordination and the Reserve Fund. In addition, the Notes also benefit from available excess spread.
-- The Reserve Fund can start to amortise after the first three years if certain conditions – relating to the performance of the portfolio and deleveraging of the transaction – are met. The Reserve Fund cannot amortise below EUR 42.3 million.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the rating of the Series A Notes addresses the timely payments of interest, as defined in the transaction documents, and the ultimate payments of principal on each Payment Date during the transaction, and, in any case, at their Legal Final Maturities on 18 December 2044. 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 on each Payment Date during the transaction, and, in any case, at their Legal Final Maturities on 18 December 2044. Interest and principal payments on the Notes will be made quarterly, generally on the 18th day of March, June, September and December with the First Payment Date on 18 March 2013.

• The transaction parties’ financial strength and capabilities to perform their respective duties, and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and 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 the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. 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.
The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.dbrs.com.

The sources of information used for this rating include BBVA-9 PYME FTA, Europea de Titulización S.G.F.T., S.A. and Banco Bilbao Vizcaya Argentaria, S.A DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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

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

Lead Analyst: María López
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 26 December 2012

Notes:
All figures are in Euro unless otherwise noted.