New Issue: BBVA Consumer Auto 2020-1 Fondo de Titulizacion

As of the cut-off date, the collateral pool backing the notes comprised 113,443 auto loans totaling €1.321 billion. All loans in the pool are French amortizing receivables, which pay both interest and principal. Instalments are monthly and by direct debit. The final pool has been independently reviewed by Deloitte. We consider the data provided to be in line with our quality, timeliness, and reliability standards. Chart 1 The transaction documents set out certain eligibility criteria for the receivables and client accounts, some of which are highlighted below: The borrower must be an individual and a Spanish resident and must not be an employee, officer, or director of BBVA. The loan must be euro-denominated, and the whole principal must have been

...Strengths Concerns and mitigating factors BBVA is one of the leading lenders in the Spanish loan market and is an experienced servicer of several RMBS and ABS. BBVA services the securitized assets, and the transaction does not have a back-up servicer at closing. We rely on the general availability of servicing in the Spanish market to mitigate the risk of servicing disruption and on Europa de Titulizacion as the back-up servicer facilitator. Furthermore, the cash reserve provides additional liquidity for the class A, B-Dfrd, and C-Dfrd notes, which mitigates servicer disruption risk. The class D-Dfrd and E-Dfrd notes do not benefit from the cash reserve, we have taken this into account in our cashflow runs as although the notes are deferrable they become timely once they are the most senior. The pool is well-diversified and granular with 113,443 loans as of the pool cut-off date. Concentration of the top one borrower and top 10 borrowers are 0.005% and 0.050%, respectively. Additionally,...

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