Scope has completed a monitoring review of BBVA RMBS 22 FT- Spanish RMBS ABS
Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.
Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.
Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.
Scope completed the monitoring review of BBVA RMBS 22, FT on 22 November 2023. The credit rating remains as follows:
Class A (ISIN ES0305689004): EUR 1,262.0m outstanding amount: AAASF
Class B (ISIN ES0305689012): EUR 42.0m outstanding amount: ASF
BBVA RMBS 22 FT is a EUR 1358.0m static cash securitisation consisting of prime residential mortgage loans originated and serviced by Banco Bilbao Vizcaya Argentaria SA (BBVA) and extended to individual borrowers to finance properties in Spain. The securitised portfolio consists of first-lien mortgages extended to borrowers’ resident in Spain.
The review was conducted based on available quarterly investor reports reflecting performance up to October 2023 payment date.
This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.
Key rating factors
The ‘no action’ reflects the short time elapsed since the closing analysis, in the context resilient economic and borrower performance so far. In addition, the assets are predominantly fixed, which mitigates borrower credit risk in the context of rising interest rates. We have maintained our asset performance assumptions unchanged, in particular the portfolio’s mean lifetime default rate of 3%, with a 90% coefficient of variation. There have also been no material changes to the liability structure since closing. Credit enhancement of the rated notes stand at 8.6% and 5.4% for class A and B, respectively. The pool factor as of the review date stands at 93.1%.
The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 23 January 2023; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Sukanya Bhattacharyya, Associate Analyst
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