First Spanish securitization fund issued before the enforcement of R(EU) 2017/2402 that receives the STS classification

The BBVA Consumer Auto 2018-1 FT fund, registered with the CNMV on June 14, 2018 and partially placed among investors, marked an important path in the recovery of the Spanish securitisation market, evidencing that investor appetite was again turning to securitisation notes of our country. The Originator additionally managed to improve its regulatory capital ratio as a consequence of the risk transfer obtained by placing part of the notes.

In February 2020, BBVA considers that it can further optimize the capital consumption of the withheld notes from this fund and proposes to EdT to take advantage of the specific regime of the new Securitisation Regulation to convert the Fund into a Simple Transparent and Standardized Securitisation (STS ). With a very tight schedule, a work strategy is developed that includes, among others, mandating STS Verification International GMBH (SVI) as the third party verifier.

Given that BBVA Consumer Auto 2018-1 FT was not originally designed to be compliant with the requirements of an STS securitisation, since it was issued prior to enforcement of R (EU) 2017/2402, a first analysis was necessary to verify that there was no insurmountable obstacle to obtaining the seal, once this point had been cleared and with the help of SVI (the first time that they have collaborated with a Spanish financial institution) the necessary steps were taken to obtain it.

On March 30, the Originator sent the Notification to ESMA and the following day the Fund was included in the list that distinguishes securitisations that have obtain this status; making BBVA Consumer Auto 2018-1 FT the first Spanish “legacy” securitisation that achieves the STS seal benefiting from the transitional regime set forth in art. 43 of the Regulation for those securitisations prior to January 1, 2019.

Europea de Titulización

April 2020