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Caixabank RMBS 3, FTdA: 17 December 2017

This is a static cash securitisation, where the underlying assets are first-line (54.35%) and second lien (45.65%) prime Spanish residential mortgage loans which have been extended to obligors located in Spain.

At the cut-off date (20 November 2017) the portfolio consists of 88,895 loans, advanced to 62,451 borrowers, where the average balance per borrower is Eur46,782 and the largest current balance is Eur2.634mln.

The pool is highly granular, and the top 20 borrowers account for only 0.92% of the pool. Loan profile: primary residence 94.1%, second home 5.9%. Interest rate type: floating 81.83%, fixed 18.17%. The current indexed LTV is 93.2% and the WA seasoning is 7.2 years. Regional concentration: Catalonia 37.0%, Andalucia 13.7% and Madrid 13.5%.

CRR 405: In compliance with Article 405, the Originator (CaixaBank) will retain, on an ongoing basis, a material net economic interest in the terms required by the Regulation in the securitisation transaction.

Compare/contrast: Caixabank RMBS 1, TDA Sabadell RMBS 4