BBVA Securitizes 8th Auto Loan Euro ABS
Fitch Ratings and Moody’s Investors Service have assigned preliminary ratings to a €700 million, 18-month revolving securitization of unsecured consumer auto loans issued and serviced by Banco Bilbao Vizcaya Argentaria, S.A.
BBVA Consumo 8 FT’s asset-backed fixed rate notes consist of a €612.5 million Class A stack with a provisional ‘A+’ structured finance rating from Fitch and an ‘Aa2’ from Moody’s; as well as an €87.5 million Class B tranche that is rated ‘CCC’ by Fitch and ‘B1’ by Moody’s.
The provisional portfolio of fixed-rate auto loans has an outstanding balance of €897.7 million, from which the final portfolio mix will be randomly selected to match the notes issuance, according to Moody’s.
As of June, the pool had 100,571 loans with a weighted average seasoning of 22.3 months. The loans carry an average interest rate of 8.1%.
The Class A notes are supported by 17% credit enhancement and the Class B notes with 4.5% C.E., according to Fitch. The transaction is also benefits from excess spread from the 7.5% minimum fixed rate on the loans compared to the 1% fixed-rate on the liabilities.
Fitch has assumed a 5.75% base-case lifetime default rate on the auto loans collateral, consisting of 64% new-car loans and 36% used-car loans. Moody’s assumed mean default rate is slightly higher at 6.25%.
The Consumo 8 portfolio is nearly half the size of last year’s €1.44 billion Consumo 7 asset-backed notes for BBVA’s consumer auto loans in Spain.