DBRS Morningstar Discontinues Ratings on Five BBVA RMBS Transactions

DBRS Ratings GmbH (DBRS Morningstar) discontinued the ratings on the notes issued by five BBVA RMBS transactions.

The discontinuations reflect the full redemption of the rated notes on the 18 March 2022 payment date for BBVA RMBS 18 FT, and on the 30 March 2022 extraordinary payment date for BBVA RMBS 10, 11, 12, and 13 FTA.

Prior to their repayments, the ratings and the outstanding principal balance of the notes were as follows:

BBVA RMBS 10 FTA
-- AA (sf) rating on the Series A notes; EUR 684,534,819.20
-- A (sf) rating on the Series B notes; EUR 224,000,000.00

BBVA RMBS 11 FTA
-- AA (sf) rating on the Series A notes; EUR 606,287,323.60
-- A (high) (sf) rating on the Series B notes; EUR 119,000,000.00
-- BB (high) (sf) rating on the Series C notes; EUR 77,000,000.00

BBVA RMBS 12 FTA
-- AA (sf) rating on the Series A notes; EUR 1,742,603,853.45
-- BBB (high) (sf) rating on the Series B notes; EUR 739,500,000.00

BBVA RMBS 13 FTA
-- AA (sf) rating on the Series A Notes; EUR 1,851,174,846.00
-- A (sf) rating on the Series B Notes; EUR 615,000,000.00

BBVA RMBS 18 FT
-- AA (high) (sf) rating on the Series A Notes; EUR 1,023,756,570.00

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (8 February 2022).

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include the final payment reports provided by Europea de Titulización, S.A., S.G.F.T.

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

At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments, with the exception of BBVA RMBS 13 FT and BBVA RMBS 18 FT. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on BBVA RMBS 10,11,12 and 13 FTA transactions took place on 24 May 2021, when DBRS Morningstar took the following rating actions:

BBVA RMBS 10 FTA
-- Series A confirmed at AA (sf)
-- Series B upgraded to A (sf) from BBB (high) (sf)

BBVA RMBS 11 FTA
-- Series A confirmed at AA (sf)
-- Series B upgraded to A (high) (sf) from BBB (high) (sf)
-- Series C upgraded to BB (high) (sf) from BB (sf)

BBVA RMBS 12 FTA
-- Series A confirmed at AA (sf)
-- Series B confirmed at BBB (high) (sf)

BBVA RMBS 13 FTA
-- Series A Notes confirmed at AA (sf)
-- Series B Notes upgraded to A (sf) from BBB (high) (sf)

The last rating action on BBVA RMBS 18 FT took place on 19 November 2021, when DBRS Morningstar confirmed its AA (high) (sf) rating on the Series A Notes.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As this is a discontinued-repaid rating action, a sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Helvia Meana, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates:
BBVA RMBS 10 FTA: 29 June 2011
BBVA RMBS 11 FTA: 12 June 2012
BBVA RMBS 12 FTA: 5 December 2013
BBVA RMBS 13 FTA: 11 July 2014
BBVA RMBS 18 FT: 14 November 2017

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main – Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- European RMBS Insight Methodology (28 March 2022) and European RMBS Insight Model v 5.4.3.2, https://www.dbrsmorningstar.com/research/394309/european-rmbs-insight-methodology.
-- European RMBS Insight: Spanish Addendum (6 July 2021), https://www.dbrsmorningstar.com/research/381224/european-rmbs-insight-spanish-addendum.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021), https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions.
-- Legal Criteria for European Structured Finance Transactions (29 July 2021), https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (8 February 2022), https://www.dbrsmorningstar.com/research/392000/master-european-structured-finance-surveillance-methodology.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].