Third securitisation fund originated by BBVA so far this year

BBVA RMBS 23 FT reaffirms BBVA’s commitment to securitization as a mechanism for raising liquidity and regulatory capital relief. Both, placed deals targeting SRT and also retained deals for liquidity purposes, BBVA has been the most active issuer in the Spanish securitization market in the first half of 2024.

The capital stack consists of two Series of Notes amounting 5.45 billion euros to finance the acquisition of credit rights derived from mortgage loans and a Reserve Fund amounting to 272.5 million euros. The main objective of the securitisation is to use the senior tranche as collateral in operations with the Eurosystem. To attain this, the volume of this tranche has been optimized beyond previous operations, achieving a credit enhancement of 7.00%.

The ratings assigned by the rating agencies benefit from the high seasoning of the portfolio (7.58 years), a figure well above the average for this assets type, giving an indication of the quality of the portfolio. Thus, Series A receives ratings of “AA (high) (sf)” and “AA (sf)” from DBRS and S&P and Series B receives ratings of “A (high) (sf)” and “AA (sf)”, respectively.

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

June 2024


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