Banking and Credit Bulletin | 17 May 2023

ABS – Lloyds ups its bet on LendInvest’s homeowner mortgages to £300m (Altfi)

• LendInvest has secured a £300m warehouse funding line from Lloyds, as it prepares to launch more widely its homeowner mortgages
• The property finance lender offers its homeowner mortgages to borrowers with complex income streams (multiple sources of income or less regular pay cheques) who struggle to secure a mortgage
• Lloyds first offered capital to support LendInvest’s mortgage push in October of last year, with a £180m funding line

ABS – Coventry Building Society prices new UK prime RMBS deal (Debtwire)

• Economic Master Issuer Series 2023-1 – Coventry Building Society UK prime RMBS deal – was priced just over 19 months since its previous issuance
• The master trust backing the deal is composed of 15,292 owner-occupied mortgages, has a £2.1bn GBV with a 42.74% LTV and an average seasoning of 3.0 years
• The AAA-rated (Moody’s/Fitch) £350m senior notes are priced at 56bps over Sonia with a WAL of c.3.0 years and an advance rate of c.86.7%. The step-up on the coupon is in January 2027

ABS – Blue Motor Finance priced its STS auto loan ABS deal (Debtwire), (Debtwire)

• Pricing last week was Blue Motor Finance’s Azure Finance No. 3, a UK STS auto loan ABS deal backed by a £241.7m static pool of fully amortising hire purchase agreements for second-hand vehicles
• The Aaa/AAA-rated (Moody’s/DBRS) £181.4m Class A notes priced at par with a coupon of 80bps over Sonia, a WAL of 1.1 years and an advance rate of 73.8%
• Class B to X notes (rated Aa3/AA, A2/A, Baa3/BBB, Ba2/BB, B1/CCC, Caa1/B(low), respectively), priced at par with margins over Sonia of 165bps, 275bps, 380bps, 635bps, 950bps, 700bps
• The underlying pool comprises of 31,687 exposures – 55.7% to diesel and 41.4% to petrol vehicles – is subscribed by UK (92%), European (5%) and other international investors (3%) of which 50% are banks and 49% fund managers

ABS – UK Mortgage Lending prices UK RMBS deal (Debtwire)

• Castell 2023-1 – UK Mortgage Lending £399.8m RMBS deal – priced last Friday, 10 months since its previous issuance
• The £288.5m, triple-A rated (S&P/DBRS) senior class A notes priced at par with a coupon 135bps over Sonia, an advance rate of 73.8% and a WAL of c.2.0 years
• Compared to Castell 2022-1, the issuer’s latest transaction, the coupon over Sonia of Castell 2023-1 was 5bps lower than the registered 140bps
• Class B, C, D, E, F, G and X notes (rated AA/AA(high), A/AA(low), BBB-/BBB(high), BB/BB(high), B-/BB(low), B-/B(low), respectively) priced at par with margins of 210bps, 310bps, 410bps, 600bps,800bps and 705bps SONIA
• Class G (unrated) was offered at par with a coupon of 1050bps over Sonia while Class H (also unrated) was retained at an undisclosed price
• The underlying pool comprises of 9,075 second lien owner occupied mortgages with an average LTV of 59.2%, an average seasoning of 15.5 months and an average interest rate of 7.1%

RMBS – Non-bank lender Dilosk markets its sixth RMBS, its first STS securitization (Debtwire)

• The deal is backed by a €540.7m pool comprising 2,427 loans with an average coupon of 2.5%
• The average seasoning is 26.8 months, with 89% of the pool paying fixed rate interest
• Six tranches are on offer, with the E and X notes offered on a “call desk” basis

RMBS – Fingal Securities RMBS to be Called (Debtwire)

• Irish RMBS backed by a pool acquired from Lloyds was called on the 28^th of April 2023
• The outstanding collateral balance was €618.3m, with total delinquencies of 6.7%

Loan sale – BPER Banca securitised a €470m UTP portfolio (Debtwire)

• The transactions followed the joint venture established between Gardant and BPER which was designed to manage the bank’s NPE
• BPER fully underwrote senior notes, whereas Elliott-related funds underwrote mezzanine and junior notes

• The transaction enabled BPER to reduce its gross NPE ratio to 2.9%

Loan Sale – Goldman Sachs completes the sale of its Spanish real estate loans with BofA (ElEconomista)

• The bank originally acquired the c.€400m portfolio from Sareb, Bankia or CaixaBank
• The transaction was advised by Alantra

Real Estate – Catella buys residential rental property in Madrid for c.€22m (EjePrime)

• The Swedish asset manager acquires 148 homes from the developer Actívitas
• Catella is looking for Spanish market residential opportunities to invest c.€100m

FIG M&A  – Mutua Madrileña buys through Alantra WM an asset management company in Switzerland (Expansión)

• Mutua Madrileña acquires Global Keys, based in Ginebra and with c.€550m AUM
• It is the first time Mutua Madrileña has bought an asset management company in Spain

Servicing – Santander renews its “brick” alliance with Intrum (ElEconomista)

• The contract expired in 2022 and the bank achieved a discount of 25% to 30% from the servicer
• Santander is also under negotiations with doValue to renew their contract, expiring in 2025, managing NPLs & REOs

FIG M&A – Santander gains control of 99.8% of its Mexican subsidiary (CincoDías)

• The bank has finalised their tender offer for the 3.76% it did not own, of which 3.6% was accepted
• The bank’s intention is to delist Santander Mexico

Servicing – Sareb hires Serveo to maintain its c.90k assets (ElEconomista)

• Serveo will receive c.€54.5m for the portfolios managed before by Elecnor and Eiffage
• In case of extension, the contract will amount c.€142m

Banking – novobanco’s profits reaches €148.4m in 1Q2023 (+4.0% y-o-y) (novobanco)

• Net interest income rose 84.5% to €246.3m in 1Q2023, with NIM increasing from 1.31% in 1Q2023 to 2.34% in 2022, reflecting the improvement of average assets yield, while cost of risk stood at 41bps, above the 34bps recorded in 1Q2023
• The loans to customers portfolio stood at €25.7bn at the end of 1Q2023, 0.2% above the €25.6bn in 4Q2022. Customer deposits declined 3.1% to €27.5bn
• The NPL ratio slightly increased from 4.3% in 4Q2022 to 4.4% in 1Q2023
• CET1 and Total Capital fully loaded ratios increased by 100bps in 4Q2022, reaching 14.1% and 16.5% respectively

Banking – Banco Montepio’s net income increased more than 100% Y-o-Y (Banco Montepio)

• Net interest income rose 70.4% Y-o-Y, to €90.2m in 1Q2023
• Cost of risk was -50bps, comparing favourably with the 10bps recorded in 2022, and is explained by a large reversal of impairments and provisions
• The loans to customers portfolio stood at €12.0bn in 1Q2023, 2.3% below the €12.1bn in 4Q2022 and customer deposits declined 0.6% to €12.7bn
• The NPE ratio decreased from 5.3% in 4Q2022 to 4.8% in 1Q2023
• CET ratio stood at 13.5%, a positive change of 0.9 p.p. compared to the same period of 2022
• The Bank achieved one of the goals outlined in the strategic plan to strongly reduce its exposure to real estate to €363m (-8.8% Y-o-Y)

Banking – Banco CTT’s net interest income reached €22.0m in 1Q23 (+34.2% Y-o-Y) (CTT)

• Net interest income rose 34.2% Y-o-Y to €22.0m in 1Q2023

• The loans to customers portfolio stood at €1.8bn at the end of 1Q2023, 0.6% above 4Q2022. Customer deposits declined 1.7% mainly driven by the reduction in current account deposits compared to December 2022
• The cost of risk stood at 140bps, down by 0.1 p.p. compared to 4Q2022, due to the decrease in the customer loans portfolio, especially the consumer credit (Universo credit card)

Funding – Crowdfunding in the Netherlands raised €1bn in 2022 for the first time (fd.)

• Companies, individuals, and social institutions raised a record amount of €1,081m through crowdfunding. This represents a Y-o-Y increase of 48%
• The funding was raised predominantly via companies (90%). This often concerns real estate loans

ABS – Mercedes-Benz prices latest Auto Loan ABS (Debtwire)

• From its Silver Arrow programme, Mercedes-Benz priced its latest issuance Compartment 15
• The AAA/Aaa-rated (Fitch/Moody’s) €700m Class A notes priced at par at a margin of 44bps over 1ME with a WAL of c.1.58 years and an advance rate of 92.6%. The senior tranche is further supported by a 1% reserve
• The €56m Class B (unrated) was retained
• The transaction is backed by a granular pool of 33k auto loans with an interest of 3.22% and 16 months of seasoning. Used vehicles comprise c. 64% of the portfolio, whilst private and commercial clients split the portfolio at around 55% and 45%, respectively
• The previous issuance from March ‘22 Silver Arrow Compartment 14 priced with a margin of 20bps
• LeasePlan placed an STS Auto ABS, Bumper DE 2023. The only offered tranche, the Senior (AAA), priced at par with a 58bps coupon over 1ME and a WAL of 2.1 years and 26% CE