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Credit events synchronised

Category: Capital Relief Trades ABS


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BBVA completes innovative IFRS 9 hedge

BBVA has completed an innovative transaction that synchronises credit events with IFRS 9 lifetime expected loss provisions, while also being the first synthetic securitisation to incorporate blockchain technology (SCI 21 December 2018). Dubbed Vela Corporate 2018-1, the €60m financial guarantee references a €1bn Spanish corporate portfolio.

The EIF acted as counterparty to BBVA by providing a guarantee on the tranche, which will be used to provide €360m of Spanish SME financing.

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