(Repeat for additional subscribers)
June 18 (The following statement was released by the rating agency)
Fitch Ratings has affirmed BBVA-5 FTPYME, FTA's notes,
EUR0.44m class A1 notes affirmed at 'Asf', Outlook Stable
EUR0.12m class A2 notes affirmed at 'Asf', Outlook Stable
EUR39.9m class B notes affirmed at 'Asf', Outlook Stable
EUR57m class C notes affirmed at 'AAAsf', Outlook Stable
BBVA 5 FTPYME, F.T.A. is a static securitisation of a EUR1.9bn initial portfolio
of Spanish SME loans originated and serviced by Banco Bilbao Vizcaya Argentaria
KEY RATING DRIVERS
The affirmation reflects the stable performance of the transactions over the
past 12 months. Credit enhancement has increased throughout the structure to
99.3% for class A and 52.7% class B, compared with 66.9% and 35.8% respectively
a year ago. Class A and B ratings are capped at 'Asf' due to transaction's
exposure to payment interruption risk through Banco Bilbao Vizcaya Argentaria
(BBVA; A-/Stable/F2). The rating of the class C notes is linked to their
guarantor, EIF (AAA/Stable/F2).
The portfolio has amortised to 6.54% of the initial outstanding balance. The 90+
day delinquencies decreased to 1.09% in May 2014 from 2.17% in June 2013.
Similarly over the same period, current defaults also decreased to EUR38.28m
from EUR41.89m. The reserve fund has been depleted since 2010 and a Principal
Deficiency Ledger (PDL) has built up. Over the past year, the PDL has increased
by EUR390,000 and currently stands at EUR11.63m.
Applying a 1.25x default rate multiplier or a 0.75x recovery rate multiplier to
all assets in the portfolio would not result in a downgrade of the notes.
However, if EIF is downgraded, it would trigger a rating action on the class C