Scope Ratings has reviewed the performance of BBVA-10 PYME FT and no rating action is granted. (Current ratings on the transaction are available on the following links: Class A and Class B.) Credit enhancement has increased to 96.3% and 16.9% for the Class A and B notes, respectively, up from 28.5% and 5.0% at closing. Asset performance is stable. Cumulative observed losses stand at 0.72% of the asset balance. Non-defaulted assets more than 90 days past due (dpd) represent 0.95% of total non-defaulted assets, just below the 1.0% trigger level that would permit amortization of the reserve fund. The reserve is currently funded at EUR 39m and would amortise to 10.0% of the outstanding rated notes after the three-year lockup period ends on 14 December 2018 if the trigger ratio remains below 1.0%. There is a reserve fund floor of EUR 19.5m. Scope’s analysis is based on monthly reporting provided by Europea de Titulización S.G.F.T, up to the 30 September 2018 cut-off date.

The transaction is a true-sale securitisation of mortgages and unsecured loans originated by BBVA and granted to Spanish SMEs and self-employed individuals. The transaction closed on 16 December 2015 and has since amortised from EUR 780.0m to an outstanding notional of EUR 230.9m as of 30 September 2018.

Scope continuously monitors BBVA-10 PYME FT.

Ratings and research are freely available at www.scoperatings.com.