Morningstar DBRS Discontinues Credit Ratings on BBVA RMBS 5 FTA and BBVA RMBS 9 FTA

DBRS Ratings GmbH (Morningstar DBRS) discontinued its credit ratings on the Series A, Series B, Series C and Bonds (collectively, the Rated Notes) issued by two BBVA RMBS transactions.

The discontinuations reflect the full repayment of the Rated Notes in both transactions on the 20 June 2024 payment date. Prior to their repayment in full, the credit ratings and the outstanding principal balances of the Rated Notes were as follows:

BBVA RMBS 5 FTA:
-- Series A rated AA (sf); EUR 1,284,705,895.00
-- Series B rated A (high) (sf); EUR 147,667,350.00
-- Series C rated BBB (high) (sf); EUR 44,300,205.00

BBVA RMBS 9 FTA:
-- Bonds rated AA (sf); EUR 383,385,915.50

Please refer to https://dbrs.morningstar.com/issuers/18765 and https://dbrs.morningstar.com/issuers/18743 for more information.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings" at https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the "Master European Structured Finance Surveillance Methodology" (7 March 2024), https://dbrs.morningstar.com/research/429051.

Other methodologies referenced in these transactions are listed at the end of this press release.

In Morningstar DBRS' opinion, a discontinued-repaid credit rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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://dbrs.morningstar.com/research/421590.

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

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

At the time of the initial credit ratings, Morningstar DBRS was not supplied with third-party assessments. However, this did not affect the credit rating analysis.

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

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

The last credit rating action on these transactions took place on 24 May 2024, when Morningstar DBRS confirmed its credit ratings on the Series A, Series B, and Series C at AA (sf), A (high) (sf), and BBB (high) (sf), respectively, issued by BBVA RMBS 5 FTA and Bonds at AA (sf) issued by BBVA RMBS 9 FTA.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

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

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: Baran Cetin, Senior Analyst
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Credit Rating Dates:
BBVA RMBS 5 FTA: 25 October 2012
BBVA RMBS 9 FTA: 16 October 2012

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 credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (7 March 2024),
https://dbrs.morningstar.com/research/429051.
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model version 8.0.0.1,
https://dbrs.morningstar.com/research/430103.
-- European RMBS Insight: Spanish Addendum (8 March 2024),
https://dbrs.morningstar.com/research/429109.
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278.
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165.
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
https://dbrs.morningstar.com/research/420572.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030.
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024),
https://www.dbrsmorningstar.com/research/435260.

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

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.