BBVA RMBS 17 FTA: 26 November 2016

The portfolio will consist (at cut-off 25 October 2016) of 16,145 mortgage loans owned by BBVA and granted to individuals residing in Spain with senior ranked real estate mortgage security on finished homes (and their annexes - parking spaces and/or lumber rooms- if any) located in Spain.

Out of the selected mortgage loans, 94.23% in terms of outstanding principal are mortgage loans granted by BBVA to Spanish individual obligors, whereas the remaining 5.77% are foreign individual obligors resident in Spain. The portfolio is highly granular, with the top 10 obligors accounting for just 0.44% of current outstandings. The average principal is Eur114,874 and the largest loan is for Eur1.007mln. Repayment method (by current balances): EMI 99.35%, EMI with final payment 0.65%. The WA LTV is 74.22% and the WA seasoning is 19.19mnths. Regional concentration (by current balances): Madrid 20.77%, Catalonia 17.04% Andalucia 14.18% and Valencian Community 10.46%.

CRR/405: In compliance with the provisions of Article 405 of Regulation (EU) No. 575/2013 of the European Parliament the originator shall, on an ongoing basis, retain a material net economic interest in the Fund on the terms required by Regulation 575/2013. In this regard, the originator has notified the Management Company that “on an ongoing basis” shall be construed in the sense that the net economic interest retained shall not be subject to any credit risk mitigation or any short positions or any other hedge and shall not be sold.

Compare/contrast: BBVA RMBS 16