BBVA issues record volume in a securitization fund.

On March 21, 2022, BBVA registered its twenty-first residential mortgage loan securitization fund granted to resident individuals; the Fund is the largest ever issued by BBVA, regardless of the type of asset.

The fund issues two Series of Bonds, for a total of 12,400 million euros, for the acquisition of credit rights derived from mortgage loans and has a Reserve Fund amounting to 620 million euros. The main objective of the transaction is the use of the senior tranche asset as collateral in transactions with the Eurosystem.

The capital structure has a credit enhancement of 8%, which is materially lower than the last RMBS transactions issued by BBVA and in the market in general. This significant reduction in credit enhancement allows the seller to maximize the amount of the Senior Series, thus constituting a notable success for its collateral policy objective in the Eurosystem. Likewise, the ratings assigned by the Rating Agencies to the Senior Series have been the expected, these being: “AA (sf)”, “AA(sf)” and “AAAsf” by DBRS, S&P and Scope, respectively. Similarly, the ratings assigned by the Rating Agencies for the subordinated tranche are investment grade: A (high) (sf), AA (sf) and BBB-sf by DBRS, S&P and Scope, respectively.

Europea de Titulización, S.A., S.G.F.T.

March 2022


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