July 25, 2012 / 3:30 PM / 5 years ago

TEXT-Fitch may still cut BBVA-4 ratings

 (The following statement was released by the rating agency)
 July 25 - Fitch Ratings has maintained BBVA-4's Series A2 and B notes on RWN
and affirmed Series C as follows:

EUR27m Class A2 (ISIN ES0370458012) 'AA-sf'; maintained on RWN

EUR18m Class B (ISIN ES0370458020) 'AA-sf', maintained on RWN

EUR27m Class C (ISIN ES0370458038) affirmed at 'CCC', assigned Recovery Estimate
(RE) of 50%

The RWN on the class A2 and B notes reflects their material exposure to Banco 
Bilbao Vizcaya Argentaria (BBVA; 'BBB+'/Negative/'F2'), as remedial actions have
not been implemented following its downgrade. BBVA is the swap counterparty as 
well as an account bank. Fitch expects remedial actions to take place in the 
near term.

The affirmation of the class C notes reflects their failure to withstand Fitch's
stresses, declining credit enhancement (CE) and their subordinated position in 
the capital structure.

The transaction has amortised down to 6% of its original balance with the top 
one and top ten obligors representing 3.2% and 23.2%, respectively. The 
concentration by industry is also considerable with exposure to real estate and 
construction sectors standing at 27%. The pool has a high collateral coverage 
with 85% of the portfolio backed by mortgages. However, the observed weighted 
average recovery rate is low at 18%.

There has been some deterioration in the transaction performance during the past
year. The reserve fund has further declined and is now underfunded at 13% of its
required level. The long-terms arrears are currently at low levels but are 
likely to go up due to increasing 31 days + and 61 days + arrears. In Fitch's 
view, the notes' current levels of CE are sufficient to mitigate the pool 
concentration and deteriorating performance.

The transaction is a cash flow securitisation of a static pool of secured and 
unsecured loans granted by Banco Bilbao Vizcaya Argentaria to small and medium 
sized Spanish enterprises.

 (Caryn Trokie, New York Ratings Unit)

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