BBVA Consumo 10 Fondo de TITULIZACIÓN

Issuer Details

• Issuer Name: BBVA CONSUMO 10 FONDO DE TITULIZACIÓN
• Country: Spain

Entity Name	Role	Country
EUROPEA DE TITULIZACIÓN, S.A., SOCIEDAD GESTORA DE FONDOS DE TITULIZACIÓN	Fund Management Company	Spain
BANCO BILBAO VIZCAYA ARGENTARIA S.A. (BBVA)	Originator of the Receivables, Subscriber of the Class A, B, C, D, E, and Z Notes, Paying Agent, Loan Servicer, and Reporting Entity	Spain
GARRIGUES	Independent Legal Adviser	Spain
Deloitte	Preparer of the special securitisation report	Spain
DBRS, S&P, and Scope	Rating Agencies	Various (DBRS - Canada, S&P - USA, Scope - Germany)
PCS	Third Party Verification Agent	Not specified
EDW	Securitisation repository (intended)	Not specified
Moody's Analytics	Provider of the cash flow model	USA

Attribute	Class A	Class B	Class C	Class D	Class E	Class Z
Principal Amount	EUR 1,810,000,000	EUR 58,000,000	EUR 82,000,000	EUR 30,000,000	EUR 20,000,000	EUR 10,000,000
Notional Value	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note
Issue Price	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note	EUR 100,000 per Note
Interest Rates	Not specified	Not specified	Not specified	Not specified	Not specified	Not specified
Ratings or Expected Ratings	DBRS: AA (sf), S&P: AA (sf), SCOPE: AASF	DBRS: AA(low) (sf), S&P: A (sf), SCOPE: BBB+SF	DBRS: BBB(high) (sf), S&P: B (sf), SCOPE: BB+SF	NR (Not Rated)	NR (Not Rated)	NR (Not Rated)
First Notes Payment Date	Not specified	Not specified	Not specified	Not specified	Not specified	Not specified

Amortization Profile of the Class Notes

Class A Notes

• Amortization Schedule: Partial amortization on each Payment Date starting from 18 March 2021 or earlier if the Revolving Period ends early.
• Structure: Amortized by the Principal Available Funds applied on each Payment Date, prorated between the Notes in Class A by reducing the face amount of each Class A Note.
• Final Amortization: On the Final Maturity Date (18 September 2033) or earlier upon Early Liquidation and Early Amortization of the Note Issue.

Class B Notes

• Amortization Schedule: Partial amortization on each Payment Date, but only after Class A Notes have been fully amortized.
• Structure: Amortized by the Principal Available Funds applied on each Payment Date, prorated between the Notes in Class B by reducing the face amount of each Class B Note.
• Final Amortization: On the Final Maturity Date (18 September 2033) or earlier upon Early Liquidation and Early Amortization of the Note Issue.

Class C Notes

• Amortization Schedule: Partial amortization on each Payment Date, but only after Class B Notes have been fully amortized.
• Structure: Amortized by the Principal Available Funds applied on each Payment Date, prorated between the Notes in Class C by reducing the face amount of each Class C Note.
• Final Amortization: On the Final Maturity Date (18 September 2033) or earlier upon Early Liquidation and Early Amortization of the Note Issue.

Class D Notes

• Amortization Schedule: Partial amortization on each Payment Date, but only after Class C Notes have been fully amortized.
• Structure: Amortized by the Principal Available Funds applied on each Payment Date, prorated between the Notes in Class D by reducing the face amount of each Class D Note.
• Final Amortization: On the Final Maturity Date (18 September 2033) or earlier upon Early Liquidation and Early Amortization of the Note Issue.

Class E Notes

• Amortization Schedule: Partial amortization on each Payment Date, but only after Class D Notes have been fully amortized.
• Structure: Amortized by the Principal Available Funds applied on each Payment Date, prorated between the Notes in Class E by reducing the face amount of each Class E Note.
• Final Amortization: On the Final Maturity Date (18 September 2033) or earlier upon Early Liquidation and Early Amortization of the Note Issue.

Class Z Notes

• Amortization Schedule: Partial or total amortization on each Payment Date starting from 18 March 2021 or earlier if the Revolving Period ends early, until the Outstanding Balance of the Receivables is less than 10% of the Initial Receivables.
• Structure: Amortized by the positive difference between the Outstanding Principal Balance of Class Z Notes and the Required Cash Reserve amount, prorated between the Notes in Class Z by reducing the face amount of each Class Z Note.
• Final Amortization: On the Final Maturity Date (18 September 2033) or earlier upon Early Liquidation and Early Amortization of the Note Issue.

Payment Cadence for Interest and Principal

Interest Payments

Interest on the Notes in each Class will be paid in arrears during Interest Accrual Periods on the following dates each year: - 18 March - 18 June - 18 September - 18 December

If any of these dates is not a Business Day, the payment will be made on the following Business Day. Interest for the current Interest Accrual Period will accrue until the first Business Day, not inclusive.

Principal Payments

Principal repayments for the Notes will follow the same Payment Dates as interest payments: - 18 March - 18 June - 18 September - 18 December

The first partial amortization of Class A Notes is scheduled for 18 March 2021, or on a previous Payment Date in the event of early termination of the Revolving Period. The final amortization for all classes of Notes is set for the Final Maturity Date, 18 September 2033, or the following Business Day if that is not a Business Day. Early amortization may occur in accordance with the provisions of the Securities Note upon Early Liquidation and Early Amortization of the Note Issue.

Securitization	Date
Valencia Hipotecario 3 FTA	15/11/2006
5 FTPYME FTA	23/10/2006
HIPOCAT 10 FTA	05/07/2006
Bankinter 2 PYME FTA	26/06/2006
Rural Hipotecario VIII FTA	26/05/2006
MBS Bancaja 3 FTA	03/04/2006
Bancaja 9 FTA	02/02/2006
Valencia Hipotecario 2 FTH	07/12/2005
EdT FTPYME Pastor 3 FTA	05/12/2005
Bankinter 11 FTH	28/11/2005
HIPOCAT 9 FTA	25/11/2005
Rural Hipotecario Global I FTA	18/11/2005
Bankinter 10 FTA	27/06/2005
MBS Bancaja 2 FTA	27/06/2005
HIPOCAT 8 FTA	06/05/2005
Rural Hipotecario VII FTA	29/04/2005

Payment Dates

• 11/07/2019
• 18/09/2019
• 18/12/2019
• 18/03/2020
• 18/06/2020
• 18/09/2020
• 18/12/2020
• 18/03/2021
• 18/06/2021
• 20/09/2021
• 20/12/2021
• 18/03/2022
• 20/06/2022
• 19/09/2022
• 19/12/2022
• 20/03/2023
• 19/06/2023
• 18/09/2023
• 18/12/2023
• 18/03/2024
• 18/06/2024
• 18/09/2024
• 18/12/2024
• 18/03/2025

Determination Dates

• 28 (or 29 if leap year) February
• 31 May
• 31 August
• 30 November

Specific Events

• First Determination Date: 31 August 2019
• First Partial Amortisation of Class A Notes: 18 March 2021 or earlier in case of early termination of the Revolving Period
• Final Maturity Date for Class A and Class B Notes: 18 September 2033 or the following Business Day if that is not a Business Day

Principal Priority of Payments Model

The principal priority of payments model, also known as the principal payment waterfall model, outlines the order in which principal repayments are made to different classes of notes during liquidation.

1. Reserve for final tax, administrative, or advertising termination and liquidation expenses.
2. Payment of the Fund's properly supported taxes and ordinary and extraordinary expenses.
3. Payment of interest due on Class A Notes.
4. Repayment of Class A Note principal.
5. Payment of interest due on Class B Notes.
6. Repayment of Class B Note principal.
7. Payment of interest due on Class C Notes.
8. Repayment of Class C Note principal.
9. Payment of interest due on Class D Notes.
10. Repayment of Class D Note principal.
11. Payment of interest due on Class E Notes.
12. Repayment of Class E Note principal.
13. Payment of financial expenses accrued and repayment of principal on the loan arranged for early amortisation of the Class A, B, C, D, and E Notes.
14. Payment of interest due on Class Z Notes.
15. Repayment of Class Z Note principal.
16. Payment of Start Up Loan interest due.
17. Repayment of Start Up Loan principal.
18. Payment to the Loan Servicer of the fee established under the Servicing Agreement.

In the event that BBVA is replaced as Loan Servicer by a third party, the payment of the management fee payable to the new servicer shall be moved up to the 1st place in the priority order.

Interest Priority of Payments Model

The interest priority of payments model, also known as the interest payment waterfall model, outlines the order in which interest payments are made to different classes of notes.

Rank	Payment Description
2nd	Payment of interest accrued by Class A Notes
3rd	Payment of interest accrued by Class B Notes, unless deferred, in which case it ranks 8th
4th	Payment of interest accrued by Class C Notes, unless deferred, in which case it ranks 9th
6th	Payment of interest accrued by Class D Notes, unless deferred, in which case it ranks 10th
11th	Payment of interest accrued by Class E Notes
12th	Payment of interest accrued by Class Z Notes

Rank	Payment Description
3rd	Payment of interest accrued by Class A Notes
5th	Payment of interest accrued by Class B Notes
7th	Payment of interest accrued by Class C Notes
9th	Payment of interest accrued by Class D Notes
11th	Payment of interest accrued by Class E Notes
14th	Payment of interest accrued by Class Z Notes

Pre-Enforcement Priority of Payments Model

The pre-enforcement priority of payments model, also known as the pre-enforcement waterfall model, outlines the order in which payments are made to different classes of notes before any enforcement action is taken.

1. Payment of the Fund's properly supported taxes and ordinary and extraordinary expenses.
2. Payment of interest due on Class A Notes.
3. Payment of interest due on Class B Notes, unless deferred, in which case it ranks 8th.
4. Payment of interest due on Class C Notes, unless deferred, in which case it ranks 9th.
5. Payment of interest due on Class D Notes, unless deferred, in which case it ranks 10th.
6. Payment of interest due on Class E Notes.
7. Principal Withholding amount for acquiring Additional Receivables and, after the Revolving Period ends, for amortising the Notes of Classes A, B, C, D, and E as a whole.
8. Payment of deferred interest due on Class B Notes.
9. Payment of deferred interest due on Class C Notes.
10. Payment of deferred interest due on Class D Notes.
11. Payment of interest due on Class Z Notes.
12. Repayment of Class A Note principal.
13. Repayment of Class B Note principal.
14. Repayment of Class C Note principal.
15. Repayment of Class D Note principal.
16. Repayment of Class E Note principal.
17. Payment of financial expenses accrued and repayment of principal on the loan arranged for early amortisation of the Class A, B, C, D, and E Notes.
18. Repayment of Class Z Note principal.
19. Payment of Start Up Loan interest due.
20. Repayment of Start Up Loan principal.
21. Payment to the Loan Servicer of the fee established under the Servicing Agreement.

Post-Enforcement Payment Model

The post-enforcement payment model, also known as the acceleration payment model, outlines the order in which payments are made to different classes of notes after an enforcement action has been taken.

1. Reserve for final tax, administrative, or advertising termination and liquidation expenses.
2. Payment of the Fund's properly supported taxes and ordinary and extraordinary expenses.
3. Payment of interest due on Class A Notes.
4. Repayment of Class A Note principal.
5. Payment of interest due on Class B Notes.
6. Repayment of Class B Note principal.
7. Payment of interest due on Class C Notes.
8. Repayment of Class C Note principal.
9. Payment of interest due on Class D Notes.
10. Repayment of Class D Note principal.
11. Payment of interest due on Class E Notes.
12. Repayment of Class E Note principal.
13. Payment of financial expenses accrued and repayment of principal on the loan arranged for early amortisation of the Class A, B, C, D, and E Notes.
14. Payment of interest due on Class Z Notes.
15. Repayment of Class Z Note principal.
16. Payment of Start Up Loan interest due.
17. Repayment of Start Up Loan principal.
18. Payment to the Loan Servicer of the fee established under the Servicing Agreement.

In the event that BBVA is replaced as Loan Servicer by a third party, the payment of the management fee payable to the new servicer shall be moved up to the 1st place in the priority order.

Triggers for Events of Default or Enforcement and Their Impact on the Waterfall Cashflow Model

Triggers for Events of Default or Enforcement

1. Default by the Obligor: If an Obligor defaults on their payment obligations, the Loan Servicer is required to take measures as described in the Servicing Agreement. This includes both court and out-of-court actions to claim and collect the amounts owed by the Obligors.
2. Failure to Resume Payments: If a Loan Obligor in default fails to resume payments for a period of seven (7) months, or if the Loan Servicer, with the Management Company's consent, fails to obtain a satisfactory payment undertaking, the Loan Servicer shall commence the relevant legal proceedings.
3. Early Liquidation: The Fund may be liquidated early under certain conditions, as specified in sections 4.4.3 and 4.4.4 of the Registration Document.
4. Final Maturity Date: The Fund is liquidated on the Final Maturity Date.
5. Replacement of Loan Servicer: If BBVA is replaced as Loan Servicer by a third party, this triggers a change in the priority of payments.

Impact on the Waterfall Cashflow Model

• Change in Priority of Payments: Upon the occurrence of an event of default or enforcement, the priority of payments may change. For example, if BBVA is replaced as Loan Servicer, the payment of the management fee to the new servicer is moved up to the 1st place in the priority order.
• Acceleration of Payments: In the event of enforcement, the post-enforcement payment model (acceleration payment model) is applied. This model prioritizes the repayment of principal and interest on the Notes in a specific order, which may differ from the pre-enforcement priority of payments.
• Legal and Administrative Expenses: The Fund may incur additional legal and administrative expenses due to enforcement actions, which are prioritized in the payment waterfall. This can reduce the amounts available for distribution to Noteholders.
• Liquidation of Assets: The Fund may hold other amounts, real estate, assets, securities, or rights received to pay for Receivable principal, interest, or expenses under a decision in any court or out-of-court proceedings instituted for collecting the Receivables. These assets may be liquidated to meet payment obligations.
• Deferred Interest Payments: If the Fund is unable to make full or partial payment of interest accrued on the Notes, unpaid interest amounts are aggregated on the following Payment Date and paid in the Priority of Payments. This can affect the cash flow and timing of payments to Noteholders.

Breakdown of All Fees and Expenses in the Prospectus

Ordinary Expenses

1. Administrative Verifications, Registrations, and Authorisations: Expenses deriving from mandatory administrative verifications, registrations, and authorisations, excluding the payment of the Fund set up and Note issue and admission expenses and the ongoing fee payable to EDW or the SR Repository.
2. Fund Management Fee: Payable to the Management Company.
3. Rating Agency Fees: For monitoring and maintaining the rating of the Notes.
4. Note Accounting Record Expenses: Relating to keeping the Note accounting record representing the Notes by means of book entries, admission to trading in organised secondary markets, and maintaining all of the foregoing.
5. Auditing Expenses: Expenses of auditing the annual accounts and reviewing the Additional Receivables.
6. Note Amortisation Expenses: Costs associated with the amortisation of the Notes.
7. Announcement and Notice Expenses: Expenses deriving from announcements and notices relating to the Fund and/or the Notes.
8. Third Party Verification Agents Fee: Part of the fee not paid initially.
9. Moody's Analytics Fee: Fee payable to Moody's Analytics.
10. Note Issue Paying Agent Agreement and Loan Servicer Fee: Estimated at EUR 527,000.00 for the first year.

Extraordinary Expenses

1. Amendment Costs: Costs incurred in preparing and executing an amendment to the Deed of Incorporation and the agreements, and from entering into additional agreements.
2. Enforcement Expenses: Expenses required to enforce the Receivables and deriving from any recovery actions required.
3. Management and Disposal Expenses: Expenses required to manage, administer, maintain, value, market, and dispose of or operate real properties, assets, securities, or rights awarded to or given to the Fund in a deed in lieu of foreclosure transaction on the Loans.
4. Extraordinary Audits and Legal Advice: Costs associated with extraordinary audits and legal advice.
5. Remaining Initial Fund Set Up and Note Issue Expenses: Any remaining amount of the initial Fund set up and Note issue and admission expenses in excess of the Start-Up Loan principal.
6. Meeting of Creditors Costs: Costs incurred for each Meeting of Creditors.
7. Other Extraordinary Expenses: Any other extraordinary required expenses or costs not classed under ordinary expenses that were borne by the Fund or incurred by the Management Company for and on behalf of the Fund.

Impact of Fees and Expenses on Cash Flow

• Reduction in Available Funds: Both ordinary and extraordinary expenses reduce the Available Funds of the Fund, impacting the amount available for distribution to Noteholders.
• Priority of Payments: These expenses are prioritized in the payment waterfall, meaning they are paid before interest and principal payments to Noteholders. This can delay or reduce the payments to Noteholders if the Fund's liquidity is insufficient.
• Variable Expenses: Some expenses, such as those related to the Outstanding Principal Balance of the Collateralised Notes, will decrease over time as the balance falls, potentially reducing the impact on cash flow in later periods.
• Extraordinary Expenses: Unexpected extraordinary expenses can significantly impact cash flow, especially if they are large or occur frequently, as they are prioritized in the payment waterfall.

Overall, the fees and expenses outlined in the prospectus play a crucial role in determining the cash flow available for distribution to Noteholders, affecting both the timing and amount of payments.

Underlying Assets

• Confirmation of Capacity: The securitised assets have the capacity to produce funds to service any payments due and payable on the securities.

Item	Details
Legal Jurisdiction	The pool of assets is governed by a specific legal jurisdiction.
General Characteristics of the Obligors	- Initial Receivables: Details about the initial receivables. - Additional Receivables: Information on any additional receivables.
Legal Nature	The legal nature of the pool of assets.
Expiry or Maturity Dates	The expiry or maturity dates of the assets.
Amount	The total amount of the assets.
Loan to Value Ratio/Collateralisation	The loan to value ratio or level of collateralisation.
Method of Creation	The method of creation of the assets.
Representations and Warranties	Indications of representations and warranties given to the Issuer relating to the assets.
Substitution	Information on the substitution of the securitised assets.
Relevant Insurance Policies	Details of relevant insurance policies relating to the assets.
Obligor Information	Information relating to the obligors where the securitised assets comprise obligations of 5 or fewer obligors which are legal persons or where an obligor accounts for 20% or more of the assets, or where an obligor accounts for a material portion of the assets.
Material Relationships	Details of the relationship, if it is material to the issue, between the Issuer, guarantor, and obligor.
Fixed Income Securities	Where the assets comprise fixed income securities, a description of the principal terms.
Equity Securities	Where the assets comprise equity securities, a description of the principal terms.
Non-Traded Equity Securities	If the assets comprise equity securities that are not traded on a regulated or equivalent market, where they represent more than ten (10) per cent of the securitised assets, a description of the principal terms.

Security for the Notes

• Valuation Reports: Valuation reports relating to the property and cash flow/income streams where a material portion of the assets are secured on real property.

Item	Details
Total Amount of Securities	The total amount of the securities.
Note Issue Price	The issue price of the notes.
Subscription of the Notes	Details on the subscription of the notes.
Form of Securities	Indication as to whether the securities are in registered or bearer form and whether the securities are in certificated or book entry form.

Item	Details
Nominal Interest Rate	The nominal interest rate of the notes.
Interest Payment Provisions	Provisions relating to interest payable, including dates, place, institutions, and procedure for paying interest.

Benchmark Used

• 1 Year Euribor
• 6 Month Euribor

Redemption Provisions

General Redemption Provisions

• Redemption at Maturity: The notes will be redeemed at their principal amount on the maturity date.
• Early Redemption: Provisions for early redemption may include optional redemption by the issuer, mandatory redemption, or redemption for tax reasons.

Benchmark	Details
1 Year Euribor	For notes linked to the 1 Year Euribor benchmark.
6 Month Euribor	For notes linked to the 6 Month Euribor benchmark.

Additional Provisions

• Notice of Redemption: The issuer will provide notice of redemption to noteholders in accordance with the terms specified in the prospectus.
• Redemption Price: The redemption price will typically include the principal amount plus any accrued and unpaid interest up to the redemption date.

Fund Reserve Details

• Initial Cash Reserve: The Cash Reserve is established on the Closing Date with an amount of EUR 10,000,000.00.
• Subsequent Provisioning: On each Payment Date, the Cash Reserve is provisioned until it reaches the Required Cash Reserve amount from the Available Funds in the Fund Priority of Payments.

Period	Amount
During the Revolving Period	EUR 10,000,000.00
After the Revolving Period	The higher of: 0.50% of the Outstanding Principal Balance of the Class A, B, and C Notes or EUR 2,500,000.00

Reduction to Zero

• The Required Cash Reserve amount will be reduced to zero once the Class A, B, and C Notes are fully repaid.

Risk Retention in the EU: Legal Requirements and Contractual Undertakings

Legal Requirements

• Securitisation Regulation (Article 6): The Originator is required to retain a material net economic interest of not less than 5% in the securitisation transaction. This is in accordance with Article 6 of the Securitisation Regulation.
• Delegated Regulation (EU) 625/2014: This regulation supplements the Capital Requirements Regulation (CRR) by specifying the requirements for investor, sponsor, original lenders, and originator institutions relating to exposures to transferred credit risk. The Originator must comply with Article 22 of this regulation until new regulatory technical standards are adopted by the Commission.
• Article 7 of the Securitisation Regulation: The quarterly investor reports must include information about the risk retention, including which modality of retention has been applied, as per Article 7(1), subparagraph (e)(iii).

Contractual Undertakings

• Deed of Incorporation: The Originator undertakes to retain the required material net economic interest on an ongoing basis. This is formalized in the Deed of Incorporation and the Management and Subscription Agreement.
• Representation and Warranty: The Deed of Incorporation includes a representation and warranty from the Originator regarding its compliance with the requirements set forth in Article 6(1) up to and including (3) of the Securitisation Regulation.
• Disclosure to Noteholders: Any change in the retention option or the methodology used to calculate the net economic interest due to exceptional circumstances will be appropriately disclosed to Noteholders.

Type of Risk Retention Modality

• Randomly Selected Exposures: The material net economic interest will comprise randomly selected exposures equivalent to not less than 5% of the nominal value of the securitised exposures. This is provided that the number of potentially securitised exposures is not less than 100 at origination, pursuant to paragraph 3(c) of Article 6 of the Securitisation Regulation and Article 7 of Delegated Regulation 625/2014.

Type	Description
Cash Reserve	A Cash Reserve is set up with the payment of the Class Z Notes. This reserve mitigates the credit risk derived from Receivables delinquency and default for Classes A, B, and C. It also addresses the risk arising from the timing difference in settling Receivables (monthly) and Notes (quarterly).
Treasury Account	This account is credited with the income received on the Receivables until the payment of Note interest and the acquisition of Additional Receivables on the next Payment Date during the Revolving Period. After the Revolving Period, it is used for Note principal repayment.
Principal Account	This account is credited with the amounts of the Principal Available Funds that are not applied to acquiring Additional Receivables during the Revolving Period.
Subordination and Deferment	There is subordination and deferment in interest payment and principal repayment between the Notes in each Class. This is derived from their place in the application of the Available Funds as well as the rules for Distribution of Principal Available Funds in the Priority of Payments, or in the application of the Liquidation Available Funds in the Liquidation Priority of Payments. This mechanism distinctly hedges the different Classes.
Subordinated Debt Finance	Details not specified in the provided content.

Enhancement	Impact
Cash Reserve	The Cash Reserve is used to mitigate credit risk from Receivables delinquency and default, as well as timing differences in settling Receivables (monthly) and Notes (quarterly). On each Payment Date, the Cash Reserve is applied to satisfy Fund payment obligations in the Priority of Payments. Upon liquidation of the Fund, it is used in the Liquidation Priority of Payments.
Treasury Account	The Treasury Account holds the income received on the Receivables until the next Payment Date. During the Revolving Period, it is used for the acquisition of Additional Receivables. After the Revolving Period, it is used for Note principal repayment. This ensures that there is a steady flow of funds available for interest payments and principal repayments.
Principal Account	During the Revolving Period, the Principal Account holds amounts of the Principal Available Funds that are not applied to acquiring Additional Receivables. This helps manage the cash flow by ensuring that funds are available for future acquisitions or repayments.
Subordination and Deferment	The subordination and deferment in interest payment and principal repayment between the Notes in each Class create a hierarchy in the application of Available Funds. This structure ensures that senior Classes (e.g., Class A) are paid first, providing a cushion for more junior Classes (e.g., Class B, C). This mechanism helps in managing the cash flow by prioritizing payments and reducing the risk of default for senior Classes.

Summary

The credit enhancements, including the Cash Reserve, Treasury Account, Principal Account, and subordination mechanisms, collectively ensure that there is a structured and prioritized flow of funds. This helps in mitigating risks and ensuring timely payments, thereby stabilizing the cash flow for the Fund.

Key Legal and Regulatory Factors Affecting Cash Flows in the Prospectus

• Management Company's Duties and Liabilities:
• According to Article 26.1 of Law 5/2015, the Management Company must act with best endeavors and transparency in defending the interests of Noteholders and creditors.
• Per Article 26.2 of Law 5/2015, the Management Company is liable to Noteholders and other creditors for any losses caused by a breach of its duties.
• Meeting of Creditors:
• The Meeting of Creditors is established by the Deed of Incorporation and remains in effect until the Notes are fully repaid or the Fund is canceled.
• The rules for the Meeting of Creditors are governed by Article 37 of Law 5/2015 and the Capital Companies Act (Royal Decree Law 1/2010).
• Only Noteholders and the Start-up Loan provider (Other Creditor) have voting rights at the Meeting of Creditors.
• Reporting Requirements:
• The Management Company must report various financial metrics, including the Outstanding Balance, acquisition amount of Additional Receivables, interest and principal amounts in arrears, interest rate, and maturity years of Receivables.
• The economic and financial position of the Fund must be reported, including the source and application of Available Funds and Principal Available Funds.
• Annual reports, including balance sheet, profit & loss account, cash flow, and audit report, must be submitted to the CNMV within four months of the financial year-end.
• Quarterly reports must be submitted to the CNMV within two months of the end of each calendar quarter.
• Securitisation Regulation Compliance:
• The originator, sponsor, and securitisation special purpose entity (SSPE) must designate one entity to submit required information to a registered securitization repository.
• Disclosures must be made in accordance with Annexes I to VIII of Delegated Regulation (EU) 2015/3 until ESMA's reporting templates are adopted.
• The European Supervisory Authorities will assess compliance with disclosure requirements on a case-by-case basis until the new templates are available.

Compliance Requirements and Their Impact on the Cash Flow Model

• Risk Retention Information:
• Requirement: Quarterly investor reports must include information about risk retention, specifying which modality from Article 6(3) of the Securitisation Regulation has been applied.
• Impact: Ensures that investors are aware of the risk retention strategy, which affects the perceived risk and stability of cash flows.
• Pre-Pricing Information Disclosure:
• Requirement: Before pricing, the Reporting Entity or Management Company must provide potential investors with delinquency and default data for similar exposures, a liability cash flow model, loan-by-loan information upon request, draft versions of Transaction Documents, and a special securitisation report by Deloitte.
• Impact: These disclosures provide transparency and allow investors to assess the quality and performance of the underlying assets, directly influencing their expectations and confidence in the cash flow model.
• Ongoing Information Availability:
• Requirement: After pricing, the liability cash flow model must be made available to Noteholders on an ongoing basis and to potential investors upon request.
• Impact: Continuous access to the cash flow model helps investors monitor the performance of their investments and the accuracy of cash flow projections, ensuring ongoing trust and informed decision-making.
• Independent Assessment by Investors:
• Requirement: Each prospective investor must independently assess the sufficiency of the provided information for compliance with Article 5 of the Securitisation Regulation.
• Impact: Encourages due diligence by investors, which can lead to more accurate pricing and risk assessment, ultimately affecting the cash flow model's reliability and the securitisation's marketability.

Tax Type	Provision	Impact
Corporate Income Tax	Securitisation funds are subject to a corporate income tax rate of 25% as per Article 7.1.h) of Law 27/2014.	This tax rate directly affects the net income of the securitisation fund, thereby impacting the cash flows available for distribution to investors.
Impairment Provisions	Securitisation funds must endow provisions for the impairment of financial assets as stipulated by Rule 13 of Circular 2/2016.	The deductibility of impairments on debt instruments measured at amortised cost can affect the taxable income, thus influencing the cash flows.
Exemption from Financial Expense Deductibility Limitation	Securitisation funds are not subject to the limitation of the tax deductibility of financial expenses according to Article 16.6.a of Law 27/2014.	This exemption allows for greater deductibility of financial expenses, potentially increasing the net cash flows.
Withholding Tax on Investment Income	Investment income from securitisation funds is generally subject to withholding tax, but income from mortgage participating units, mortgage loans, and other credit rights is exempt as per Article 61 k) of the Corporate Income Tax Regulation.	The exemption from withholding tax on certain income types can enhance the cash flows available to investors.
Transfer Tax and Stamp Duty	The incorporation of the Fund and its transactions are exempt from Transfer Tax and Stamp Duty according to Article 45.I.B) number 20.4 of the Transfer Tax and Stamp Duty Act.	This exemption reduces the transactional costs, thereby preserving more cash flows within the fund.
Value Added Tax (VAT)	The assignment of receivables to the Fund is exempt from VAT as per Article 20.One.18 e) of the VAT Act. Management services provided to the Fund by the Management Company are also exempt from VAT according to Article 20.One.18 n) of the VAT Act.	These VAT exemptions reduce the tax burden on the fund, thereby positively impacting the cash flows.
Issue, Subscription, Transfer, Reimbursement, and Redemption of Notes	These activities are not subject to or are exempt from VAT and Transfer Tax and Stamp Duty as per Article 45.I.B, number 15 of the Transfer Tax and Stamp Duty Act.	The exemption from these taxes lowers the costs associated with these activities, thus preserving more cash flows for the fund.

Tax Type	Spain	Implications
Corporate Income Tax	Securitisation funds are subject to a corporate income tax rate of 25% as per Article 7.1.h) of Law 27/2014.	This tax rate directly affects the net income of the securitisation fund, thereby impacting the cash flows available for distribution to investors. Jurisdictions with lower corporate tax rates could potentially offer higher net cash flows.
Impairment Provisions	Securitisation funds must endow provisions for the impairment of financial assets as stipulated by Rule 13 of Circular 2/2016.	The deductibility of impairments on debt instruments measured at amortised cost can affect the taxable income, thus influencing the cash flows. Jurisdictions with different impairment rules may have varying impacts on taxable income.
Exemption from Financial Expense Deductibility Limitation	Securitisation funds are not subject to the limitation of the tax deductibility of financial expenses according to Article 16.6.a of Law 27/2014.	This exemption allows for greater deductibility of financial expenses, potentially increasing the net cash flows. Other jurisdictions may have stricter limitations, affecting net cash flows differently.
Withholding Tax on Investment Income	Investment income from securitisation funds is generally subject to withholding tax, but income from mortgage participating units, mortgage loans, and other credit rights is exempt as per Article 61 k) of the Corporate Income Tax Regulation.	The exemption from withholding tax on certain income types can enhance the cash flows available to investors. Jurisdictions with higher withholding tax rates could reduce the net cash flows.
Transfer Tax and Stamp Duty	The incorporation of the Fund and its transactions are exempt from Transfer Tax and Stamp Duty according to Article 45.I.B) number 20.4 of the Transfer Tax and Stamp Duty Act.	This exemption reduces the transactional costs, thereby preserving more cash flows within the fund. Jurisdictions with higher transfer taxes and stamp duties could increase transactional costs, reducing net cash flows.
Value Added Tax (VAT)	The assignment of receivables to the Fund is exempt from VAT as per Article 20.One.18 e) of the VAT Act. Management services provided to the Fund by the Management Company are also exempt from VAT according to Article 20.One.18 n) of the VAT Act.	These VAT exemptions reduce the tax burden on the fund, thereby positively impacting the cash flows. Jurisdictions with higher VAT rates on similar transactions could increase the tax burden, reducing net cash flows.
Issue, Subscription, Transfer, Reimbursement, and Redemption of Notes	These activities are not subject to or are exempt from VAT and Transfer Tax and Stamp Duty as per Article 45.I.B, number 15 of the Transfer Tax and Stamp Duty Act.	The exemption from these taxes lowers the costs associated with these activities, thus preserving more cash flows for the fund. Jurisdictions with higher taxes on these activities could reduce the net cash flows.

Liquidity and Trading in the Secondary Market

• Market Admission: Application will be made for the Notes to be admitted to the AIAF Fixed Income Market and trading on its regulated market.
• Trading Assurance: There is no assurance that the Notes will be traded on the market with a minimum frequency or volume.
• Secondary Trading: There is no undertaking that any institution will be involved in secondary trading to provide liquidity by offering any consideration.

Expected Trading Volumes and Bid-Ask Spreads

No content