Credito valtellinese of Italy is expected to reoffer a tranche of its previously retained RMBS this week. Quadrivio RMBS 2011 was structured and retained in November 2011 through Banco. IMI and JP Morgan. The two banks were also retained to market the senior tranche. The Class A1 Tranche was originally €550m in size but has paid down to €347.2m. This has boosted credit enhancement to a current level of 24.88% from 17.1% at closing, which comes from a combination of the cash reserve and subordination from the junior notes. The tranche was structured with a three-month Euribor plus 50bp coupon but it will price at a discount to produce a higher spread.
展开▼
