The notes
A note is a debt security. It has a face value, it pays a coupon on what is still outstanding, and it amortizes to zero. It is not a share, and it does not have a price computed by the contract.
Three classes
| Class | Rank | Coupon | Series 1 | Series 2 |
|---|---|---|---|---|
| A | Senior | EURIBOR 1M + 0.60%, floor 0% | 100,000 EURC, 1,000 notes | 10,000 EURC, 100 notes |
| B | Mezzanine | 1.00% fixed | 70,000 EURC, 700 notes | 7,000 EURC, 70 notes |
| C | Junior | 1.50% fixed | 45,000 EURC, 450 notes | 4,500 EURC, 45 notes |
Sizes shown for Series 1 and Series 2 of the current programme.
Every note costs 100 EURC at par, in every class. The price does not change with the class. What changes is when you get paid and who takes the loss first. Class C absorbs defaults before Class B, which absorbs them before Class A. Class A is repaid in full before Class B receives any principal.
Coupons on this programme are set from the sponsor's refinancing economics rather than from a market credit curve, which is why Class B prices inside Class A despite ranking below it. Coupons are set per series.
Notes cannot be split
The note token has zero decimals. One token is one note. A fraction of a note cannot be represented, so it cannot be transferred, subscribed, or paid. The smallest quantity that exists is 1.
This follows market practice. A benchmark European auto ABS issues notes of 100,000 euros each. The denomination is set per series; the mechanism is the same at any size.
Indivisibility is what makes the arithmetic work. Interest is computed per note, rounded down, and multiplied by the note count. The remainder is not lost and not rounded away: it carries into the next period's available amount. The published example from a real deal is 190.99 per note, times 5,000 notes, equals 954,950.00, with 49.39 carried forward. Our contract reproduces that vector in its tests.
Amortization reduces face value, it does not burn notes
When principal is repaid, the number of notes you hold does not change. Their face value goes down.
The BBVA prospectus words it directly: amortization reduces the nominal value of each note. The note factor is the ratio of what is outstanding to what was issued, and it is the number investors quote. Class A of Series 1 has moved from 100% to 90.18486% to 80.36743% to 70.54770% over three payment dates.
This matters more than it sounds. Burning units as principal is repaid would destroy the position record, and letting a unit accrue value makes return of capital indistinguishable from return on capital. Fixed count, declining face, published factor: the convention the market already reads.
Transfers and the coupon split
Notes are transferable. Transfer a note in the middle of a period and the coupon for that period is split between the seller and the buyer by the number of days each held it. The next payment date settles both sides.
Principal is different. It goes to whoever holds the note at the end of the period, with no split. That is the holder of record rule, and it is simpler to reason about than a pro rata principal split, which real deals also avoid.
The apportionment is computed by the platform at transfer, so it holds for any number of holders and requires no reconciliation between the parties.
The three ways out
There are exactly three, and none of them is a withdrawal.
- Amortization. The waterfall repays principal on payment dates, in order of seniority. This is the normal path.
- Optional redemption. The issuer or the seller can call the notes early under conditions written in the documents, typically once the pool has run down below a threshold. The holder does not decide.
- Transfer. Sell the note to somebody else, at whatever price you agree. Nobody guarantees there is a buyer.
Before closing, and only before closing, a subscriber can cancel and be refunded in full. After closing, the notion of withdrawal does not exist in the contract.