Euro denominated securitization backed by Swedish and Dutch mortgages as well as a German auto leasing deal are marketing in Europe. 

On the RMBS front, Achmea Bank is marketing Dutch Residential Mortgage Portfolio (DRMP) I, which is backed by a €991 million ($1.1 billion) portfolio of Dutch residential mortgage loans.

Moody’s Investors Service has assigned ‘Aaa’ ratings to the floating rate class A1 and A2 notes notes offered under the capital structure. ABN AMRO, HSBC ad RBS are lead managers.

The deal is structured with an interest rate cap instead of the typical Dutch interest rate swap. The cap, first structured in Delta Llyod’s Dutch RMBS, Arena NHG 2014-I, protects the notes from interest rate mismatch without incurring regulatory penalities under Basel III and Solvency regulations.  

With the cap, payments on notes are unlikely to rise above payments on the underlying loans; its also possible that the deal will generate excess spread if interest on the notes reached this cap and the interest on the underlying portfolio of loans continues to rise.

Barclays Bank and BNP Paribas are marketing a securitization of Swedish mortgages for Bluestep Bostadslan AB (BBAB) and Bluestep Finans AB, both Stockholm-based mortgage lending companies.

Standard & Poor’s assigned preliminary ‘AAA’ ratings to the class Aa, euro denominated notes and ‘AAA’ ratings to the Swedish krona denominated notes. The initial price talk on the 3.2-year, Euro senior tranche is 80 basis points and the Swedish krona denominated tranche is 110 basis point are over three month Stibor.

Bluestep Finans started operations in January 2005 and originates loans to borrowers who do not comply with the criteria of traditional Swedish high-street lenders, primarily self-certified borrowers and borrowers with payment remarks (borrowers with missed payments on certain obligations). Of the provisional pool, 38.5% of borrowers have self-certified their incomes and 57.0% have payment remarks.

The majority of the portfolio (75.8%) will comprise fixed-rate loans. The portfolio has a weighted-average loan-to-value (LTV) ratio of 73.9%, according to S&P.

On the consumer asset side Volkswagen Financial Services priced €1.03 billion of German auto lease receivables via VCL 21.

The 1.2-year, €1 billion senior tranche, priced at 20 basis points over one month Euribor and the class B Notes were priced at plus 60 basis points. The issuer stated in a press release VCL 21 achieved “a new post-crisis tight print in EMEA auto ABS”.

DBRS, Fitch Ratings and S&P rated the class A notes triple-A and the class B notes single-A.

 

 

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