DBRS Assigns Ratings to BBVA Consumo 3 F.T.A.

DBRS Ratings Limited (DBRS) has today assigned final ratings of ‘A’ (sf) to the Series A floating rate notes and B (sf) to the Series B floating rate notes issued by BBVA Consumo 3 F.T.A. (“BBVA Consumo 3”). The Notes are backed by a pool of consumer loan receivables originated in Spain by Banco Bilbao Vizcaya Argentaria (“BBVA”) and BBVA Finanzia.

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 is in the form of subordination and an amortising cash reserve which provide credit support. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at an ‘A’ (sf) standard for the Series A Notes and B (sf) for the Series B 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 perform collection 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.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:

• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Swap Criteria for European Structured Finance Transactions
• 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 receivables provided by BBVA and EdT. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

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

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Lead Analyst: Bruno Franco
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: April 18th, 2013