DBRS Ratings GmbH (DBRS) assigned the following provisional ratings to the EUR 1,810.0 million Series A Notes (Series A Notes), the EUR 58.0 million Series B Notes (the Series B Notes) and the EUR 82.0 million Series C Notes (the Series C Notes; together with the Series A Notes and the Series B Notes, the Rated Notes) to be issued by BBVA Consumo 10, FT (the Issuer):
-- Series A Notes rated AA (sf)
-- Series B Notes rated AA (low) (sf)
-- Series C Notes rated BBB (high) (sf)
The transaction is a cash flow securitisation collateralised by a portfolio of consumer loans originated by Banco Bilbao Vizcaya Argentaria, S.A. (BBVA or the Originator) to Spanish individual residents in Spain financing consumer activities. As at 8 June 2019, the transaction’s provisional portfolio included 226,990 loans of credit to 201,803 obligors, totalling EUR 2,237.6 million.
The rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal maturity date in September 2033. The ratings on the Series B Notes and Series C Notes address the ultimate payment of interest and principal on or before the legal maturity date in September 2033.
Interest and principal (once the revolving period has finished in December 2020) payments on the Notes will be made quarterly on the 18th of March, June, September and December with the first payment interest date on 18 September 2019. The Series A Notes will pay a fixed interest rate of 0.27% the Series B Notes will pay a fixed interest rate of 1.10% and the Series C Notes will pay a fixed interest rate of 2.30%.
The ratings will be finalised upon receipt of an executed version of the governing transaction documents. To the extent that the documents and information provided to DBRS to date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Rated Notes.
The ratings are based on DBRS’s review of the following analytical considerations:
-- The transaction capital structure, including the form and sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The Originator/Servicer’s capabilities with respect to originations, underwriting and servicing.
-- DBRS conducted an operation risk review on the Banco Bilbao Vizcaya Argentaria SA (BBVA) premises and deems it to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The sovereign rating of the Kingdom of Spain, currently rated “A” with a Stable trend by DBRS.
-- The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, the presence of legal opinions that address the true sale of the assets to the Issuer and non-consolidation of the Issuer with the seller.
The transaction structure was analysed in Intex DealMaker considering the default rates at which the Rated Notes did not return all specified cash flows.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset-Backed Securitisations.”
DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release.
These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
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 Credit Ratings” of the “Rating Sovereign Governments” methodology at: https://www.dbrs.com/research/333487/rating-sovereign-governments.
The sources of data and information used for these ratings include but are not limited to the Originator, BBVA, the Issuer and Europea de Titulización S.A., S.G.F.T.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
These ratings concern a newly issued financial instrument.
Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):
-- Expected default of 4.65%: a 25% and 50% increase.
-- Expected loss given default (LGD) of 63.80%: a 25% and 50% increase.
Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.
DBRS concludes that the expected ratings under the eight stress scenarios are:
--Series A Notes: A (high) (sf), A (sf), AA (low) (sf), A (sf), BBB (high) (sf), A (high) (sf), A (low) (sf), and BBB (high) (sf)
--Series B Notes: A (sf), BBB (high) (sf), A (sf), BBB (high) (sf), BBB (sf), A (low) (sf), BBB (sf), BBB (low) (sf).
-- Series C Notes; BBB (sf), BBB (low) (sf), BBB (sf), BB (high) (sf), BB (low) (sf), BB (high) (sf), BB (low) (sf), B (sf).
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 GmbH, Sucursal en España are subject to EU and US regulations only.
Lead Analyst: Maria Lopez, Vice President, European Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: 4 July 2019
DBRS Ratings GmbH, Sucursal en España
Calle del Pinar, 5
DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
--Rating European Consumer and Commercial Asset-Backed Securitisations
--Legal Criteria for European Structured Finance Transactions
--Operational Risk Assessment for European Structured Finance Servicers
--Operational Risk Assessment for European Structured Finance Originators
--Interest Rate Stresses for European Structured Finance Transactions
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.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.