(Repeat for additional subscribers)
May 3 (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 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.