DBRS Rates Secur BBVA

DBRS Ratings Limited (DBRS) has assigned the following provisional ratings to the Class A and Class B Notes issued by Secur BBVA:

• Class A rated ‘A’ (sf)
• Class B rated B (sf)

The Class C notes are not rated by DBRS.

The receivables securitised in the transaction consist of obligations arising under mortgage loans to individuals secured by residential properties in Portugal. The mortgages were originated and are serviced by BBVA Portugal S.A.

The ratings are based upon review by DRBS of the following analytical considerations:
• The transaction’s capital structure and the form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of subordination, a reserve fund and the possibility of excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumptions under various stress scenarios for the Class A and Class B notes issued by Secur BBVA.
• BBVA Portugal S.A. capabilities with respect to originations, underwriting, servicing and financial strength.
• BBVA Spain S.A. capabilities and private rating with regards to the Account Bank and Back-up Servicing.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the receivables provided by BBVA Portugal S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is a newly created financial instrument.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Konstantine Pastras
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 8 April 2013