SECURITISATION NEWS

KENSINGTON MORTGAGES ISSUED A NEW PUBLIC STS SECURITISATION AFTER BEING ABSENT FROM THE MARKETS FOR 2 YEARS

• This is the first public deal issued by Kensington Mortgages under Barclays’ ownership
• The securitisation was designed to manage high LTV concentration risk with only mezzanine notes and residual consideration on offer to third party investors
• The deal is likely to be the last UK RMBS deal marketed on primary markets this year and achieved the tightest mezzanine spreads seen since April 2022

01 December 2023: Kensington Mortgages successfully priced a new securitisation, Gemgarto 2023-1, a £548m residential mortgage-backed securities transaction. The securitised loans were positively selected to include only owner-occupied, high LTV loans recently originated by Kensington.

After years of being an active RMBS issuer in the UK market, Kensington has been absent from the public securitisation markets for two years, given its recent acquisition by Barclays Bank UK now providing funding for the business. This trade has been designed by Kensington to de-risk a portfolio of mortgages from Barclays’ balance sheet rather than to raise funding for the business.

Kensington started the marketing of this bond in early November, privately placing the residual consideration and the unrated bonds to third party investors, before publicly announcing the deal on Friday 24th November to the markets; in order to achieve a more broadly syndicated process for the remaining mezzanine notes. Barclays is retaining the senior notes of this securitisation.

The reception from the markets was strong from the beginning of the process, across all offered tranches, resulting in high coverage levels for the Class B to E notes, being respectively 5.1x, 6.8x, 5.0x and 2.9x oversubscribed at IPTs.   

Coverage reached on average 4.3x at final terms, and pricing tightened on average by 40bps from IPTs to land at DMs of +160bps, +245bps, +350bps and +535bps respectively for class B, C, D and E notes. The final levels across mezzanine notes ended up inside all recent UK RMBS mezzanine notes placed by UK issuers this year. Kensington also enjoyed a very diverse orderbook with 10 unique investors allocated for a total of ~£70 million notes offered.