RPT-Fitch Upgrades BBVA Leasing 1
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May 3 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has upgraded BBVA Leasing 1, FTA's class A1 and A2 notes and affirmed the class B and C notes as follows: EUR78.7m Class A1 notes upgraded to 'BB+sf' from 'BBsf'; Outlook Stable EUR 168.6m Class A2 notes upgraded to 'BB+sf' from 'BBsf'; Outlook Stable EUR82.5m Class B notes affirmed at 'CCCsf'; Recovery Estimate 80% EUR61.3m Class C notes affirmed at 'Csf'; Recovery Estimate 0%
KEY RATING DRIVERS
The rating actions reflect the signs of stabilisation and improvement in the transaction's performance over the past year, following historically poor performance. The outstanding principal deficiency ledger (PDL), which is significant at EUR56m, has stabilised over the past three quarters, even dropping slightly at the last interest payment date. This was the first time since May 2009 that excess spread was sufficient to fully cover the losses in the period.
The delinquency rate remains high and as per the latest reporting date (March 2013) equalled 8.5% of the outstanding portfolio. Cumulative defaults amount to 4.2%. The cumulative recovery rate on defaulted loans currently stands at 20%. The transaction reserve fund was fully drawn in 2010 and with a large PDL, this is unlikely to be cleared. In the last period, net excess spread of EUR450,000 was available after clearing losses for the period. A slight increase in early period recovery is the likely reason for this improvement, and with few loans due to mature in 2013 this may also prove positive.
In Fitch's rating sensitivity analysis, the expected remaining defaults were increased in line with Fitch's negative view on the Spanish sector to 7% per annum with a weighted average life of three years. Based on the original principal balance plus new purchases, this would result in an updated lifetime expectation of 6.2%.
BBVA Leasing 1 FTA is a securitisation of a pool of leasing contracts (real estate leases and chattel finance leases) originated by Banco Bilbao Vizcaya Argentaria S.A. (seller, servicer, account bank, paying agent and swap provider; 'BBB+'/Negative/'F2') and extended to non-financial small and medium enterprises domiciled in Spain.
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