Lugo Funding 2026-1 DAC: 11 August 2026

Lugo Funding 2026-1

A stand-alone transaction where the Issuer will make payments on the Notes from, among other things, payments of principal and revenue received from the Portfolio which will be purchased by the Issuer on the Closing Date from Porta Falsa DAC (the Seller). 93.4% of the Provisional Portfolio comprises Mortgage Certificates and Mortgage Participations governed by Spanish law, issued by Banco Bilbao Vizcaya Argentaria SA (the Asset Title Holder), granted to individuals and corporates, and secured over predominantly residential properties located in Spain.

The remainder of the Portfolio comprises Non-Mortgage Loan Sub-participations granted by the Asset Title Holder in relation to certain unsecured loan agreements governed by Spanish law.

All loans (5,424 mortgage loans, 7,458 loan parts, 5,425 mortgage properties) were originated between January 1992 and February 2026, with the latest scheduled maturity being not later than 31 August 2065.

EU & UK Risk Retention: The Risk Retention Holder will undertake that it will retain on an ongoing basis from the Closing Date a material net economic interest of not less than 5% in respect of the transaction, such interest being in the first loss tranche and other tranches having the same or a more severe risk profile than those transferred or sold to investors.

US Risk Retention: The Risk Retention Holder, as a 'sponsor' for the purposes of the US Retention Rules, intends to satisfy the requirements of the US Retention Rules by acquiring on the Closing Date and retaining the US Retained Interest, either directly and/or through one of its majority owned affiliates, which comprises not less than 5% of the credit risk of the 'securitized assets' of the Issuer in the form of an eligible horizontal residual interest in an amount equal to at least 5% of the fair value of the Notes as determined under US generally-accepted accounting principles.

Compare/contrast: Lura Funding DAC, Ronda RMBS 2025, Torres Residential DAC