Nightingale Securities 2017-1 Ltd : 17 December 2017
This transaction securitises a portfolio of unexecuted unfunded financial guarantees consisting of loans to UK-based small and medium-sized enterprises and income-producing real estate, which have been originated by National Westminster Bank plc and its affiliates. Essentially, the transaction is a synthetic balance-sheet securitisation structured in the form of a financial guarantee.
The transaction has a two-year replenishment period during which National Westminster Bank can add new reference obligations or increase the notional amount of existing reference obligations. Any new addition or increase of the notional amount of an existing reference obligation needs to comply with the eligibility criteria and replenishment criteria however, if the replenishment criteria is in breach prior to a replenishment, such replenishment can be allowed if the covenants in breach are maintained or improved.