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BBVA RMBS 18 FTA: 21 November 2017

The portfolio will consist of 13,093 mortgage loans owned by BBVA and granted to individuals residing in Spain with senior ranked real estate mortgage security on finished homes (and their annexes - parking spaces and/or lumber rooms - if any) located in Spain.

Out of the selected mortgage loans, 95.62% in terms of outstanding principal are mortgage loans granted by BBVA to Spanish individual obligors, whereas the remaining 4.38% are foreign individual obligors resident in Spain. The portfolio is highly granular, with the top 10 obligors accounting for just 0.35% of current outstandings. The average principal is Eur143,254 and the largest loan is for Eur843,778. Repayment method (by current balances): EMI 88.14%, Geometric progression graduated payment 7.25% and EMI with final payment 4.60%. The WA LTV is 70.52% and the WA seasoning is 6.97 years. Regional concentration (by current balances): Catalonia 49.62%, Madrid 13.29% and Andalucia 10.10%.

CRR/405: In compliance with the provisions of Article 405 of Regulation (EU) No. 575/2013 of the European Parliament the originator shall, on an ongoing basis, retain a material net economic interest in the Fund on the terms required by Regulation 575/2013. In this regard, the originator has notified the Management Company that “on an ongoing basis” shall be construed in the sense that the net economic interest retained shall not be subject to any credit risk mitigation or any short positions or any other hedge and shall not be sold.

Compare/contrast: BBVA RMBS 17, FdTA RMBS Prado 5