DBRS Upgrades Rating on Notes Issued by Bankia PYME I FTA

DBRS Ratings Limited (DBRS) has today upgraded its rating to AA (low) (sf) from A (low) (sf) on the EUR 87,557,589.00 Series of Notes issued by Bankia PYME I FTA (the Issuer).

The transaction is a cash flow securitisation collateralised by a portfolio of bank loans originated by Bankia S.A. (Bankia) to self-employed individuals and small- and medium-sized enterprises based in Spain.

The rating on the Series of Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date in July 2053.

The rating actions reflect an annual review of the transaction. The Series of Notes are currently at 19.39% of their initial balance after almost two years since closing. Given this deleveraging, the current credit enhancement available has increased considerably, while the transaction performance is in line with DBRS’s expectations.

As of the 14 October 2015 payment date, 1-3 months delinquencies, 3-6 months delinquencies, 6-12 months delinquencies and over 12 months delinquencies were 1.596%, 0.149%, 0.509% and 0.910% of the original collateral balance, respectively, while the cumulative gross default ratio was 0.430% of the original collateral balance.

The Reserve Fund (RF) is available to cover missed senior fees and interest and principal payments on the Series of Notes and Loan B throughout the life of the deal. The current balance of the RF is at its required level of €22,575,000.00.

Bankia is the Originator and Servicer for this transaction. Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) is the account bank provider of the transaction since 23 July 2015, when the account bank was transferred from Bankia to BBVA. BBVA public rating by DBRS is currently at “A,” which complies with the Minimum Institution Rating given the rating assigned to the Series of Notes, as described in DBRS’s Legal Criteria for European Structured Finance Transactions methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs). DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

DBRS conducted a review of the amendment to the account bank agreement. The other transaction legal documents have remained unchanged since the most recent rating action, and were not reviewed.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include information provided by Europea de Titulizacion S.A., S.G.F.T., and loan level data from the European DataWarehouse GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 4 December 2014, when DBRS upgraded the rating on the Series of Notes to A (low) (sf) from BBB (high) (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- Probability of default (PD) rates used: base case PD of 4.73%, and a 10% and 20% increase in the base case PD.
-- Recovery rates used: base case recovery rates, corresponding to a recovery rate of 19.63% at the AA (low) (sf) stress level for the Series of Notes, a 10% and 20% decrease in the base case recovery rates.

DBRS concludes that either a hypothetical increase of the base PD by 20% or a hypothetical decrease of the Recovery Rate by 20%, ceteris paribus, would produce model results suggesting a confirmation of the Series of Notes at their current rating. A scenario combining both a hypothetical increase in the PD by 20% and a hypothetical decrease in the Recovery Rate by 20% would also lead to model results suggesting a confirmation of the current rating.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (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.

Initial Lead Analyst: Simon Ross
Initial Rating Date: 20 December 2013
Initial Rating Committee Chair: Jerry van Koolbergen

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Rating CLOs and CDOs of Large Corporate Credit.
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.