BBVA RMBS 3 FTA

Not only the third single-seller RMBS transaction from originator BBVA, but the third to be issued
during 2007. In the previous year BBVA brought two consumer loan and one CLO/SME deals to
the Euro-markets.

Like the two previous transactions, the collateral will consist of a static pool of first-ranking resi-
dential mortgage loans granted by Banco Bilbao Vizcaya to individuals in Spain. The average loan
size is Eur178,524 and 98.1% of the loans are linked to a first residential home. All loans have
been granted at floating rates of interest, and geographically the main regionl concentrations are
Catalonia (24.0%), Andalucía (15.6%) and Madrid (14.6%).

In the borrower pool, some 10% of the loans have been granted to self-employed borrowers, and
19.7% of the pool is to temporarily employed borrowers. Also 3.30% of the pool has arrears of
over 30days outstanding. Weighted average seasoning is a healthy 12 1/2mnths, with a current
WA LTV of 87.7%.

Whereas the earlier BBVA RMBS 2 4.8yrs AAA notes priced at 14bps, that was before the woes
of the Spanish property market had really kicked in, and also before the sub-prime US concerns. In
the circumstances, and considering the third issuance from BBVA in almost as many monrgs, the
+16 print looked reasonable.


Compare/contrast: BBVA RMBS 2, AyT Genova Hipotecaria X, Bancaja 11.





BBVA RMBS 2 FTAAyT Genova Hipotecaria XBancaja 11