First securitisation fund SRT (Significant Risk Transfer) distinguished as STS in Spain
EMEA Structured Finance Issue award 2019
On 20 September, Europea de Titulización did incorporate the fund SABADELL Consumo 1 FT composed by consumer loans granted to natural persons with residence in Spain and originated by Banco Sabadell S.A.. SABADELL Consumo 1 FT converts in the second STS fund in Spain, being EdT the only Spanish management company that has issued deals under this new framework.
Banco Sabadell does, with undoubted success, its first issuance with EdT, issuing a consumer credit pool of EUR 1,000 million, first time that they securitized this type of asset. This deal allows, according to the words of the entity “close the year with a CET 1 fully loaded capital ratio next to 12%” in order to “the sale of all the loans and in consequence the transfer of the risk to investors”, furthermore, the bank increase its liquidity.
It is an innovative issuance, structured in 7 tranches, where the value of the class Z, the most Junior tranche, has been fixed accordingly to the future “Excess spread” generated during the life of the deal, because it is going to be part of the investor´s yield on each payment date. Moreover, the investors of this class are going to receive a fix interest rate plus the Euribor 3 months, like in the other tranches of the fund.
The sale of this excess spread has originated an issuance over the face value of the securitized assets, being hence a very novel structure and interesting for investors.