Last Updated January 11, 2008
Banco Esprito Santo and ABN Amro have jointly arranged a 1.1bn mixed-asset project finance cash collateralised loan obligation (CLO), known as Lusitano Project Finance 1. The deal is the first of its type for the European market. The CLO involved converting 20 infrastructure asset exposures in a number of European jurisdictions into listed securities.
The transaction's structure has allowed for the most senior AAA-rated notes, representing 82.5% of the transaction, to qualify for the European Central Bank's list of marketable assets. This means they can be used as collateral against repo funding agreements. This structure allows for both funding and risk transfer, a first for this type of asset class.
Standard & Poor's assigned ratings to the transaction following a due diligence process than included the analysis of each individual project finance loan, as well as the legal and operational structure of the CLO.
"The innovative structure of this inaugural true-sale deal paves the way for originators of this type of portfolio to achieve liquidity, in a manner previously unseen in this asset class, compared with previously available synthetic structures,” comments both Steve Curry, managing director and European Head of FIG Capital Markets at ABN Amro and Nuno Cardoso, executive director at Espirito Santo in a joint statement.
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