BBVA launches its 22nd RMBS asset fund

On 28 November 2022 BBVA incorporated BBVA RMBS 22 FT. The fund issued two Series of Bonds for a total of EUR 1,400 million for the acquisition of credit rights arising from mortgage loans and has a Reserve Fund of EUR 70 million. The main purpose of the operation is to use the senior tranche as collateral in transactions with the Eurosystem.

The capital structure has a credit enhancement of 8%, the same as BBVA RMBS 21 FT, a fund set up in March this year, which was the bank’s largest RMBS asset securitisation fund, with €12.4 billion in bonds issued.

BBVA thus optimises the residential mortgage portfolio by securitising loans not included in its Special Accounting Register and complements its programme of issuance of mortgage covered bonds, proof of which is that on this occasion all the loans have been assigned in the form of Mortgage Transfer Certificates (MTCs).

The ratings assigned by the rating agencies, which are the same as BBVA RMBS 21 FT, are similar or even higher in some cases than those of the former, even with a notably shorter seasoning (2.48 years versus 10.9 years), which gives us an idea of the quality of the portfolio. Series A is rated “AA (high) (sf)”, “AA (sf)” and “AAA sf” by DBRS, S&P and Scope; and Series B is rated “A (high) (sf)”, “AA- (sf)” and “A sf” by DBRS, S&P and Scope, respectively.

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

November 2022


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