The EIB Group, comprising the European Investment Bank and the European Investment Fund, and the Instituto de Crédito Oficial (ICO) have invested in Prado XII, an Residential Mortgage-Backed Securities (RMBS) securitisation fund managed by Unión de Créditos Inmobiliarios (UCI), a joint venture between Banco Santander and BNP Paribas.
The transaction involves an investment of €325 million. The EIB Group is contributing €225 million, of which €150 million comes from the EIB and €75 million from the EIF in the most senior tranche, while the ICO is investing a further €100 million. This is the second joint transaction between the EIB Group, the ICO and UCI involving a securitisation of residential mortgages originated in Spain.
The funds raised will enable UCI to originate new sustainable loans for individuals and homeowners’ associations for energy-efficient refurbishment works on buildings. Although the main focus will be on the renovation of the existing housing stock, mortgage loans may also be financed for the purchase of homes with high energy efficiency standards and nearly zero energy consumption.
Prado XII is structured as a true sale securitisation of a portfolio of performing mortgage loans amounting to €650 million. The EIB Group and ICO are acquiring part of the senior tranche, while UCI retains the mezzanine and junior tranches.
The fund is an RMBS (Residential Mortgage-Backed Security) and meets the European STS criteria – which stand for simple, transparent and standardised securitisations – as set out in the European Union’s Securitisation Regulation 2017/2402. The transaction also complies with the regulatory requirements of the CRR (Capital Requirements Regulation) and the LCR (Short-Term Liquidity Coverage Ratio).
Among the features of the transaction is a pro-rata amortisation of all tranches, which will be accelerated five years after issuance, on the adjustment date. The structure also includes a cash reserve to cover potential interest shortfalls and mechanisms to defer interest payments on the mezzanine and junior tranches should there be a deterioration in performance.
