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May 22 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed BBVA Hipotecario 3, F.T.A’s notes, as follows:
EUR99.3m Class A2 (ISIN ES0314227010)at ‘AA-sf’; Outlook Negative;
EUR46.5m Class B (ISIN ES0314227028) at ‘Asf’; Outlook Stable;
EUR15.7m Class C (ISIN ES0314227036) at ‘BBsf’; Outlook Stable.
The affirmation of the notes reflects the stable portfolio performance. Loans in arrears of more than 90 days account for 2.0% of non-defaulted assets, down from 4.0% in May 2012. The balance of defaulted assets in the portfolio has increased to EUR11.5m from EUR11.1m one year ago. The transaction benefits from high realized recoveries. The achieved weighted average recovery rate currently stands at 61.5%.
The portfolio is significantly exposed to the Spanish real estate sector (55% of the portfolio notional). Fitch believes that this exposure can be a source of increased performance volatility given the challenging macroeconomic environment in Spain.
The class A2 notes’ rating and Outlook are limited by the rating of the Kingdom of Spain (‘BBB’/Negative/‘F2’). The highest achievable rating for Spanish structured finance transactions is ‘AA-sf’, five notches above the sovereign’s rating. See ‘Fitch: SF Impact of Spanish, Italian & Irish Sovereign Rating Actions’, dated 1 Feb 2012 at www.fitchratings.com, for details of Fitch’s view on the link between sovereign Issuer Default Ratings and structured finance ratings for eurozone countries.
Applying a 1.25x default rate multiplier or a 0.75x recovery rate multiplier to all assets in the portfolio would result in a downgrade of the notes by at most one notch.
BBVA Hipotecario 3, F.T.A. is a static securitisation of a EUR1.45bn initial portfolio of Spanish SME loans originated and serviced by Banco Bilbao Vizcaya Argentaria (BBVA; ‘BBB+'/Negative/‘F2’).