Mixed portfolio SRT printed

Pic© Joe DeShon

Category: Capital Relief Trades ABS


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NatWest has originated a capital relief trade dubbed Nightingale Securities 2017-1. Unusually, the £390.2m CLN references a mixed portfolio of asset classes. It is also the first DBRS-rated synthetic securitisation for the RBS Group.

The synthetic securitisation, structured in the form of a financial guarantee (SCI 18 April), was priced in the typical 9%-12% range for these trades.

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