Raiffeisen Bank Polska and Raiffeisenbank, the Polish and Czech affiliates of Raiffeisen International Bank-Holding, and KfW have concluded the first Eastern European synthetic securitisation transaction. The transaction was arranged by Dresdner Kleinwort Wasserstein (DrKW) and RZB.
For the first time loans granted to Polish and Czech small and medium-sized enterprises have been securitised and placed in the market in a multi-seller transaction. The transaction is launched under the securitisation platform of KfW.
In the context of the transaction the two subsidiaries of Raiffeisen International transfer the default risks from their respective sub-portfolio to KfW through two individual credit default swaps (CDS).
In deviation from the standardised ‘Promise’ structure KfW pools the sub-portfolios of Polish and Czech SME risks and hedges them under the synthetic transaction.
The European Investment Fund (EIF) acts as investor in the senior and mezzanine tranches while RZB invests in the junior tranche.
Moreover, a revolving transfer of credit risks is planned on a five-year basis, which enables the securitisation of new lending to small and medium-sized enterprises in these countries, too.
The estimated average maturity of the transactions is around seven years.
The combined portfolio has a volume of €
450mn. The share of Polish SME loans is limited to 60% of the total volume. The combined portfolio is initially composed of 1,256 loans extended to altogether 943 Polish and Czech borrowers.
The longest maturity of the individual loans is five years. The average loan size is around €