Lugo Funding DAC: 23 November 2024
The Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising mortgage participations (participaciones hipotecarias) and mortgage transfer certificates (certificados de transmisión de hipoteca) issued by Banco Bilbao Vizcaya Argentaria SA, representing the economic rights in respect of certain loan and facility agreements secured by a mortgage and granted to corporates or individuals domiciled in Spain (i) for the purposes of financing the acquisition, construction or renovation of a residence located in Spain, (ii) for the financing of the acquisition, construction or renovation of real estate assets other than a residence including, without limitation, commercial premises, hotels, warehouses and land plots or (iii) as a subrogation of the contractual position by corporates or individuals in respect of loans originally granted to developers for the construction of residences.
The Mortgage Loans were originated by Catalunya Banc SA (CX) and Caixa d'Estalvis de Catalunya, Caixa d'Estalvis de Tarragona and Caixa d'Estalvis de Manresa. The Integrated Entities were merged into Caixa d'Estalvis de Catalunya, Tarragona i Manresa, whose banking business was transferred (as a whole) to CX by virtue of a demerger on 27 September 2011. CX, with effect from 9 September 2016, was absorbed by and merged with BBVA. BBVA as successor of CX and the Integrated Entities shall be referred to as the Originator.
At the cut-off date the Provisional Portfolio comprised 11,420 Mortgage Certificates in respect of 11,420 Mortgage Loans, with an aggregate Current Balance of €664,621,455.66.
The number of loans is 15,429, where the Average Outstanding Principal Balance is €43,076 and the maximum is €686,110. Loan Purpose: purchase – 68.97%, re-mortgage – 11.45%, renovation – 6.47%, other – 13.11%. Amortisation Type: French – 89.51%, geometric – 10.49%. Lien Ranking: first lien – 94.57%, other – 5.43%. The WA seasoning is 16.26 years. Additional information: Arrears 6.00 to 11.99mnths – 2.10%, >= 12.00 – 9.52%. Restructured Loan: Yes – 79.23%. Regional concentration: Barcelona – 57.15%, Tarragona – 8.97% and Madrid – 7.18%.
EU & UK Risk Retention: On the Closing Date, Continental Structured Ventures Ltd (the Retention Holder) will, as an "originator", undertake to retain on an ongoing basis a material net economic interest in the securitisation of not less than 5% as required by (i) Article 6 of the EU Securitisation Regulation and (ii) SECN 5 (FCA Retention Rules) and Article 6 of Chapter 2 together with Chapter 4 of the PRA Securitisation Rules (PRA Retention Rules). As at the Closing Date, the Retention Undertaking will be satisfied by the Retention Holder holding an interest no less than 5% of an interest in the first loss tranche and other tranches having the same or a more severe risk profile than those transferred or sold to investors, represented in this case by the retention by the Retention Holder on the Closing Date of the Class Z Notes.
US Risk Retention: Continental Structured Ventures Ltd (the US Risk Retention Holder) has agreed that it is the "sponsor" under the US Credit Risk Retention Requirements and, as US Risk Retention Holder, will comply with Section 15G of the US Securities Exchange Act of 1934 by retaining an economic interest in the credit risk of the securitised assets, directly or through one of its majority owned affiliates, through to the Sunset Date, as an eligible horizontal retention interest (EHRI) in the form of 100% of the Class Z Notes.
STS: The Notes are not intended to be designated as a EU STS securitisation or a UK STS securitisation for the purpose of the EU Securitisation Regulation or the UK Securitisation Framework, as applicable.