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Latest Magdalena finalised
Santander prices first post-Covid SME SRT
Santander, the EIF and the EIB have completed a €55m and €143m CLN that references a €2.2bn Spanish SME portfolio. Dubbed Magdalena Four, the transaction is Santander’s first post-Covid SME significant risk transfer trade.
The transaction consists of a €1.969bn retained senior tranche, a €55m senior mezzanine tranche (priced at three-month Euribor plus 1.6%), a €143m junior mezzanine tranche (plus 6%) and a €33m retained first loss tranche. Each of the placed tranches amortise pro-rata with triggers over a 2.61-year weighted average life. Further features include a six-month revolving period.
Magdalena Four features a retrocession agreement as is typical of EIB/EIF transactions. In particular, Santander recoups a portion of the coupons if the bank meets certain contractual origination targets pertaining to SME lending with ESG characteristics.
The deal complies with Article 270 of the Securitisation Regulation. Hence, the risk weighting on the senior retained tranche is reduced from 15% to 10%.
The final price of the junior mezzanine CLN is 440bp lower than for Magdalena One, 285bp lower than for Magdalena Two and 200bp lower than Magdalena Three. Santander initiated the programme in 2017 (see SCI’s capital relief trades database).
29/09/2020 16:38:14
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