BBVA executes two synthetic securitisations by residential mortgages totaling €3 billion backed
BBVA has executed two synthetic securitisation transactions, referenced to a residential mortgage portfolio with a combined value of around €3 billion. The transactions allows the bank to release close to 60% of the initial regulatory capital associated with the portfolio, increasing its capacity to continue financing its clients.
The transactions have been structured as an on-balance sheet synthetic securitisation, through which the bank transfers a portion of the credit risk of the portfolio to institutional investors while the loans remain on BBVA’s balance sheet. These structures allow the bank to optimise the use of regulatory capital and increase its lending capacity to continue supporting the real economy.
The first transaction was executed in a funded financial guarantee format through a securitization fund, optimizing capital relief and meeting the Simple, Transparent and Standardised (STS) criteria established by the European Union, which recognize securitizations that comply with the highest standards in terms of structure, transparency, and risk management.
The second transaction was carried out in an unfunded insurance policy format, optimizing the cost of capital relief and following the fast-track Significant Risk Transfer (SRT) notification process recently introduced by the ECB for synthetic securitizations.
The transaction attracted strong interest from the market, with broad participation from institutional investors specialised in Significant Risk Transfer (SRT) transactions. Despite recent market volatility linked to the current geopolitical environment, the transaction was executed at pricing levels comparable to similar transactions completed in 2025, highlighting the strength and resilience of this market segment.
These transactions have met investor demand from both institutional investors specialized in SRT transactions and insurance companies, which are increasingly active in this type of product. This has enabled a well-balanced investor base, despite the recent market volatility linked to the current geopolitical environment, with the transactions closing at pricing levels competitive with previous deals—further highlighting the strength and resilience of this market segment.
These are BBVA’s third and fourth synthetic securitisation transactions referenced to its residential mortgage portfolio, forming part of the bank’s active balance sheet management strategy, one of the tools used by the bank to promote a value and capital creation mindset, one of the priorities of the 2025–2029 strategic plan.