Lloyds preps second Syon risk transfer securitization

Lloyds 230
By Owen Sanderson
04 Feb 2020

Lloyds is working on another risk transfer deal referencing its high loan-to-value mortgage portfolio, following last year’s debut Syon Securities 2019 issue. Mortgage risk transfer deals are almost unheard of outside the US, thanks to the low risk weights usually applied to performing mortgages, making last year’s Lloyds debut a landmark in synthetic securitization.

Other than Lloyds, the only mortgage risk transfer deal was Co-Op Bank’s Calico Finance deal from 2013, which was called in 2017 after the UK regulator decided that the structure of the deal was insufficient to achieve “significant risk transfer” and could not therefore deliver any regulatory capital ...

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