BBVA Consumer Auto 2020-1: 18 June 2020
The Fund’s activity is (i) to acquire a number of receivables owned by the Originator (BBVA) under consumer loans granted to individuals resident in Spain for financing the purchase of new or used vehicles, assigned by the Originator to the Fund, comprising the Receivables acquired by the Fund upon being incorporated and the Receivables subsequently acquired during the Revolving Period, and (ii) to issue asset-backed notes the subscription for which is designed to finance the acquisition of the Initial Receivables.
Eligibility criteria (includes): that the Obligors are individuals resident in Spain other than an employee, officer or director of the Originator; the Loan is denominated in Euros; the Loan principal has already been fully drawn down; the Loan is established at a fixed interest rate; the Loan has no payments more than fifteen days overdue; Loan interest and repayment instalment frequency is monthly; at least six instalments have fallen due on the Loan.
The portfolio, at cut-off, comprised of 113,443 loans advanced to 112,710 obligors where the average loan balance is Eur11,646 and the largest is for Eur67,724. The portfolio is highly granular, with the top 10 obligors accounting for just 0.048% of outstanding balances. All loans were advanced via the EMI (Equate Monthly Instalment) basis. Vehicle type (number of loans / % of current balances): New 63,094 / 58.70%, Used 50,349 / 41.30%. Regional concentration: Catalonia – 20.32%, Andalusia – 19.64%, Valencian Community – 10.74% and Madrid – 9.97%.
Significant investor: BBVA undertakes to subscribe for and purchase from the Fund (before the end of the Subscription Period) all of the Class A Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, Class F Notes and Class Z Notes in respect of which the Placement Entities have not procured subscription by investors by the Cut-Off Time.
RU Risk Retention: BBVA will retain a material net economic interest in the securitisation and will be the Reporting Entity in accordance with Securitisation Regulation. The Originator will retain, on an ongoing basis, a material net economic interest of not less than 5% in the securitisation transaction. As at the Closing Date, such material net economic interest will be held in accordance with Article 6 of the Securitisation Regulation and will comprise of randomly selected exposures equivalent, at the Date of Incorporation, to not less than 5% of the nominal value of the securitised exposures.
US Risk Retention: The transaction will not involve the retention by the Originator of at least 5% of the credit risk of the Issuer for the purposes of the U.S. Risk Retention Rules, but rather will be made in reliance on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.
STS: The Originator will submit a STS notification to ESMA in accordance with Article 27 of the Securitisation Regulation, pursuant to which compliance with the requirements of Articles 19 to 22 of the Securitisation Regulation shall be notified with the intention that the securitisation transaction described in the Prospectus is to be included in the list administered by ESMA within the meaning of Article 27 of the Securitisation Regulation.
Compare/contrast: BBVA Consumer Auto 2018-1, Driver Espana Six