Santander opts for dual tranche structure on UK SME synthetic

By Tom Brown
01 Jul 2019

Santander has closed York 2019-1, a synthetic securitization of loans granted to SMEs and self-employed borrowers, selling not only the junior risk but a BB-rated mezz tranche — an increasingly common approach driven by regulatory changes which kicked in this year.

Different approaches to calculating capital requirements on securitizations mean that banks have to sell thicker tranches in their risk transfer trades to successfully cut the capital allocated to the portfolio.

Banks can opt to simply place a larger tranche, but most have opted to split junior risk ...

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