BBVA RMBS 2 FTA

This deal has come just one month behind the inaugural RMBS transaction from BBVA, Spain's
2nd largest bank with a residential mortgage book of Eur65bln (altho' BBVA Hipotecario 3 was
a hybrid deal that featured commercial and residential loans).

The collateral consists of 39,345 first-lien mortgages that have been granted to finance the
purchase residential homes located in Spain, and unlike some Spanish RMBS deals, all the
properties have already been constructed. The average loan size is Eur145,000, where the
top 20 debtors represent just 0.16% of the portfolio. All of the loans are paid via direct debit
on a monthly basis, and just 3.12% of the portfolio corresponds to second home properties.
The original WALTV is 80.88%, with average seasoning of 1.87yrs.

Due to the national franchise of BBVA, the geographical diversity is more pronounced than
on many Spanish RMBS transactions, with the top five regional concentrations being:
Catalonia 20.80%, Andalusia 15.91%, Madrid 14.76%, Valencia 13.0%, and the Canaries 7%.

This record Eur5lbn transaction entered the market with pricing set for the A1/A2 tranches at
+6/+14bps, which is 1bps wider than February's deal. The A2 tranche garnered a Eur3.3bln
book. Further down the structure the B tranche drew 2x cover, allowing it to price at the tighter
side of marketing talk at +30, while the C tranche priced inline with talk at +54bps.



Compare/contrast: BBVA RMBS 1, Bancaja 10, Bankinter 14