Alantra advises Portuguese Banco Montepio on its second residential mortgages synthetic securitization

Jun 2023

Securitization

Lisbon – Alantra has advised Banco Montepio (“the Bank”), a Portuguese landmark bank, on its second residential synthetic securitization on a long weighted-average life mortgage portfolio.

Founded in 1844, Banco Montepio is the oldest financial institution in Portugal. The Bank is an established originator and issuer, and Project Towers II is its second unfunded synthetic securitization.

The Bank has purchased credit protection through an Insurance Agreement for the Mezzanine tranche of a portfolio of c.€890m and retained 100% of the Senior & Junior Tranches. The transaction structure also includes an annual amount of Synthetic Excess Spread in use-it-or-lose-it format.

The economic rationale for the deal from the client’s perspective was to release CET1 capital, which was achieved by the Bank.

The counterparty was joint partnership, 50% each, from two rated insurers with a corresponding rating of CQS1 and CQS2.

Francesco Dissera, Managing Director at Alantra, said: “We are delighted to have assisted Banco Montepio in this strategic transaction. This marks the third securitization transaction that Alantra has advised in the past 6 months in Portugal.”

Daniel Grencho, Head of Capital Markets of Banco Montepio, said: “This transaction, along with Towers I, has enabled Banco Montepio to further strength its capital base. We are extremely pleased with the trust placed by the new investors involved.”

Alantra assisted the client during the entire duration of the deal: from data remediation, portfolio selection and optimisation, market sounding, deal structuring, modelling of CET1 release, due diligence, negotiations with investors, third-parties management, to closing.