BANCO BBVA PERÚ, S.A.
Fitch Ratings has affirmed the ratings of all outstanding series issued by
RATING ACTIONS
Entity / Debt
Rating
Prior
2012-C 079954756
LT
A
Affirmed
A
2012-D USG23848AB31
LT
A
Affirmed
A
CCR Inc.
2012-C 12502YAP8
LT
A
Affirmed
A
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
Each transaction is backed by collections generated from diversified payment rights (DPRs) originated by the sponsor bank. DPRs refer to electronic payment orders intended for payment to third-party beneficiaries and mostly relate to export payments, capital flows and remittances.
KEY RATING DRIVERS
Originator's Credit Quality: The ratings of the future flow transactions are tied to the credit quality of the originating banks, BCP and BBVA Peru. On
Notching Uplift from IDR: The 'GC1' score allows for a maximum rating uplift of six notches from the bank IDR, pursuant to Fitch's future flow methodology. However, Fitch tempers the notching uplift to two to three notches for investment grade-rated originators. The strength of the programs and relatively small program sizes allow the future flow ratings to achieve the maximum allowable uplift of three notches from BCP and BBVA Peru's Long-Term Local-Currency IDRs.
Sovereign Ratings: On
Sovereign/Diversion Risks Reduced: The structures mitigate certain sovereign risks by keeping cash flows offshore until scheduled debt service is paid to investors, allowing the transactions to be rated above Peru's 'CC'. Incentives for interference are reduced considering the low debt service amount relative to total flows. Fitch believes payment diversion risk is also partially mitigated by the NC&As signed by specific correspondent banks.
Relatively Small Program Size & Strong Program Performance:
Future Flow Debt Size Not a Constraint: Future flow debt represents approximately 0.04% of BCP's total funding and 0.17% of non-deposit funding when considering the current outstanding balance on the program (
Strong Program Performance: DDB flows have supported an average maximum monthly DSCR of nearly 550x since
Future Flow Debt Size Not a Constraint: Future flow debt represents approximately 0.04% of BBVA Peru's total funding and 0.12% of non-deposit funding when considering the current outstanding balance on the program (
Strong Program Performance: DDB flows have supported an average maximum quarterly DSCR of nearly 900x since
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
The transaction ratings are sensitive to changes in the credit quality of the originating banks. A deterioration of the credit quality of the sovereign and/or respective bank by one notch is likely to pose a constraint to the rating of the transaction from its current level.
The transaction ratings are sensitive to the ability of the DPR business line to continue operating, as reflected by the GCA score. Additionally, the transaction rating is sensitive to the performance of the securitized business line. DPR flows through Peru's two largest banks are highly linked to Peru's economic activity, which depends greatly on commodity exports, namely those related to mining.
The monthly (BCP program) and quarterly (BBVA Peru program) DSCRs are expected to be greater than 525x and should therefore be able to withstand a significant decline in cash flows in the absence of other issues. However, significant further declines in flows could lead to a negative rating action. Any changes in these variables will be analyzed in a rating committee to assess the possible impact on the transaction ratings.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
The main constraint to the program rating is the originator's rating and bank's operating environment. If upgraded, Fitch will consider whether the same uplift could be maintained or if it should be further tempered in accordance with criteria.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The future flow ratings are driven by the credit risk of the originating banks, BCP and BBVA Peru, as measured by their LT LC IDRs.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
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