DBRS upgraded the cédulas hipotecarias of BBVA from AA to AAA yesterday (Monday) after receiving performance data from the Spanish bank, enabling the removal of a limit on the bonds’ LSF-Implied Likelihood (LSF-L).

Previously, the AA cédulas rating had been the highest achievable for BBVA because the bonds’ LSF-L was limited to the Covered Bonds Attachment Point (CBAP) due to a lack of portfolio performance data. The CBAP is A (high) – BBVA’s Critical Obligation Rating (COR).

Now that BBVA has provided the rating agency with performance data and will continue to do so, the previous limit does not apply, DBRS said, and the cédulas rating now takes into account a LSF-L of AA.

DBRS said that besides the CBAP and the LSF-L, the rating is based on: a Legal and Structuring Framework (LSF) assessment of Average; a Cover Pool Credit Assessment (CPCA) of AA (low), which is the lowest CPCA in line with the LSF-L; a two-notch uplift for high recovery prospects; and overcollateralisation (OC) of 145.6% to which DBRS gives credit.