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Spanish RPL RMBS marketing
Blackstone affiliate Spain Residential Finance is in the market with its second Spanish re-performing RMBS. Dubbed SRF 2017-1, the €403.1m transaction is backed by 3,307 seasoned residential mortgage loans extended to borrowers in Spain.
Consisting of first lien mortgages on residential properties, the portfolio has a weighted average current loan to value ratio of 60.88%, which is lower than the average for Spanish transactions. The majority (79.16%) of the loans have previously been restructured and are now re-performing under modified terms, while the remainder have not been restructured. Over half (51.93%) are flexible mortgage products, meaning they are more likely to default, and payment holidays are also permitted on 31.56% of the loans on which principal and interest are not paid.
The loans being securitised form part of the €6bn portfolio transferred by Catalunya Bank to a Spanish securitisation fund (FTA 2015) set up for the benefit of an entity controlled by Spain Residential Finance (SCI 4 October 2016). The banking business of Caixa Catalunya, Tarragona i Manresa was spun off to Catalunya Banc on 27 September 2011. On 24 April 2015, BBVA acquired 98.4% of the share capital of Catalunya Banc and, as of 9 September 2016, Catalunya Banc was absorbed by and merged with BBVA.
Compared to other similar, recent Spanish RMBS, this transaction is unusual in being rated by three rating agencies, with Fitch, DBRS and Moody's assigning provisional ratings of AA+/AAA/Aa2 to the deal's €248m class A notes. DBRS and Moody's have assigned provisional ratings of A/A2 to the €40m class Bs, BBB/Baa3 to the €16m class Cs and BB/Ba2 to the €12m class Ds. There are also €84m unrated class Es, with all notes due in April 2063.
Spain Residential Finance is expected to subscribe to the class E note and the subordinated loans. The purchase price of the mortgage loans payable by the fund to the seller is expected to be below par value.
According to Moody's, credit strengths of the deal include availability of payment histories on the mortgage loans in the collateral pool, as well as average seasoning of 9.25 years. However, the agency notes that the transaction has several credit challenges, such as a lack of hedging arrangements to cover interest rate risk and the weaker historical performance of previous Catalunya Banc deals. A further credit challenge is the geographic concentration, with 75.59% of the loans concentrated in Catalonia.
The master servicer on the transaction is BBVA and the servicer is Anticipa Real Estate. The arranger is Credit Suisse, which is also lead manager with Deutsche Bank and Bank of America Merrill Lynch.
20/03/2017 15:23:17
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