Barclays creates €7bn collateral from Italian mortgage book
Barclays has structured a €7bn securitisation of Italian mortgages, using the Mercurio Mortgage Finance programme. The deal will be retained, giving Barclays an extra slug of eligible collateral for the ECB’s LTRO facility, ahead of the second tender at the end of February 28.
The deal is rated Aaa/AAA by Moodys and Fitch higher than the ECBs updated minimum rating of A1/A.
Mercurio 2012-7 is backed by 7.85bn of Italian mortgages, and has been structured with a 845m class J subordinate class, a 471m non-amortising reserve fund, and a 180m liquidity line,
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