Excess Spread is our weekly newsletter, covering trends, deals and more in structured credit and ABF. This will soon become part of our new subscription package, focusing exclusively on news and analysis within asset-based finance.

Want to be an early adopter of 9fin ABF? Email marketing@9fin.com for a free trial.

Back after a long summer and it seems you’ve all been busy, with the September rush starting early and well underway — primary on screen this week includes German, Dutch and Italian consumer ABS, Spanish and German autos, French mortgage, and UK mortgages in both prime builder and innovative HELOC/2nd charge speciality lender form. Pricing is tight, and books are showing no signs that the heavy supply is causing indigestion (though it’s only week two of the autumn session).

Honourable mention to Auxmoney, which announced a Dutch deal less than a day after pricing a successful German transaction; a hard slog for the funding team perhaps but worth it for a good window.

The variety is impressive, but so is the size. BBVA is taking a billion for BBVA Consumer Auto 2025-1, only a few months after the monster BBVA Consumer 2025-1. Both deals were de-risked at the senior level, but it certainly seems like €500m is the new €300m, and €1bn is the new €500m. Breadth of investor base in European structured finance is developing slowly, but the depth is demonstrably there.

Investors might grumble that everything is priced a bit too near perfection and all of these deals will look expensive if [pick geopolitical bogeyman of choice] comes to pass. It’s hard to look at US politics, French politics or UK macro and think all is right with the world, but what can you do? The music is playing, deals are being done, there’s no point sitting on the sidelines until the next dislocation.

We dropped in on S&P’s European Structured Finance Conference on Wednesday for a market temperature check, and indeed the water seemed fine. But big picture, the potential for headline disruption is still affecting how issuers and arrangers manage their processes. Issuers might have their preferred execution windows, but need to accept these could close in short order.

That means getting deals prepared early, but not too early — deal features or capital structures able to fly in today’s market might need to be rowed back to more defensive structures to get through in adverse conditions. So be nimble, fleet of foot, and don’t bet the farm on clearing the most issuer-friendly structure possible.

Speaking of which….

Holiday season

The hot and sunny summer of 2025 was kind to any real estate bankers doing their DD by booking a couple of weeks in a UK caravan park. Markets proved kind as well, supporting Caister Finance, the CMBS refinancing Blackstone’s holiday park business Haven, across the line.

We’re putting together a deep dive into the deal, but it’s a fascinating trade.

Size is one reason. It’s the largest CMBS in Europe since the refinancing of GRAND in 2012, and the £1.54bn CMBS is only a part of an overall £2.86bn senior loan, which has to be high up the table for largest real estate loans in Europe (other plausible candidates include the loan backing Blackstone’s acquisition of iQ student accommodation in 2021, and the financing package for Blackstone’s last mile logistics platform Mileway; there’s something of a pattern here).

Size is also interesting relative to Blackstone’s investment. Morningstar DBRS says in its rating that it “understands from the Arranger that the purchase consideration for the original acquisition in 2021 was in excess of £3bn and that Blackstone will continue to have a material equity stake in the underlying portfolio after completing the refinancing contemplated by this transaction”.

2021 accounts for Bard Bidco, the acquisition vehicle, disclose a total purchase consideration of £2.35bn for all of Bourne Leisure Holdings. This includes not just the Haven holiday parks, which are the security for the new refinancing, but also Butlins (sold back to the founders of Bourne Leisure in 2022) and Warner Hotels, an adult-only hotel leisure chain.

Morningstar DBRS said Blackstone had spent £466m on capex between 2022 and 2024 — but this outlay, funded through a substantial capex line, is more than covered by the £287m sale of Butlins in October 2022 and a £300m ground rent financing against the Butlins properties, concluded in July 2022.

Even if we accept the £3bn number, rather than £2.35bn, it looks like Blackstone has pretty much cashed out its initial investment with this refi.

(£3bn purchase + £466m capex) - (£287m Butlins + £300m ground rents) = £2.88bn. Senior loan on Haven only is £2.86bn, and Warner is free, clear, and unlevered, and could potentially be sold

There’s definitely equity in the portfolio if one accepts that the Haven parks are now valued at £3.87bn, as per CBRE’s valuation, but your mileage may vary. What’s the cap rate for holiday parks? Who’s a better bid for holiday parks than the UK’s biggest holiday park operator?

The whole point of private equity is to buy businesses cheap (April 2021, when it first invested, was not a great backdrop for the holiday industry) and make money out of doing so, using a combination of operational expertise and financial engineering — this has the makings of a great trade, and we don’t want to be puritans about it.

Apart from the size (which required a delicate, private execution balancing bank debt and marketing to funds), there’s a ton of flexibility baked into the documents. There are four extension options on the loan, and the ability to smoothly refinance out bank debt with further bond issues, or even add up to £500m to the debt stack subject to rating agency confirmation.

Covenants don’t really bite before a change of control or event of default — there are cash trap mechanics, which Morningstar DBRS note are “significantly weaker than in standard CRE loans”, but as the agency continues “the senior loans, including the senior securitised loan, do not have any financial covenants that could put the loans into default”.

Again, no judgment here — any PE firm wants finance documents to maximise its flexibility and preserve its investment if things go south.

Comparing the financing to other holiday park businesses underlines what has been achieved here.

KKR’s Roompot, which is based in the Netherlands, has a TLB paying 400bps over Euribor, with €1.125bn outstanding. S&P gives it adjusted EBITDA leverage of 7.3x-7.8x, and it’s teetering close to a triple C downgrade, a path already taken by the UK’s Parkdean, which turned to an Ares private credit facility for its much-needed 2023 refinancing.

Morningstar DBRS’s Caister rating gives portfolio EBITDA of £232.7m for FY2024 — so that’s EBITDA leverage of more than 12x right out of the gate, at a spread of just 350bps. Giving property security should allow tighter pricing and more leverage; the real art is maintaining as much flexibility as in a cov-lite TLB, but packaged inside a property-backed structure.

One cockroach?

We assumed, following the collapse of UK energy group Prax, that the receivables securitisation facility, though large, would be the least problematic part of the capital structure.

It’s a routine debt instrument for energy groups, and the wholesale buyers of oil-related products tend towards supermarkets, airlines, shipping companies, industrial customers and so on, rather than small-time and sometimes fictional import-export businesses, as in the case of Stenn.

But the administrators’ report, published in mid-August, puts securitisation right back in the frame — although there’s a tantalising lack of detail.

According to the report: “Material irregularities were reported to the Board of [State Oil Limited] on 24 June 2025) in respect of the Securitisation Facility. Upon the discovery of these material irregularities, the Board of [State Oil Limited] concluded that operation of the Securitisation Facility should cease with immediate effect. The ability to give undertakings with regard to a number of other debt facilities across the Group, was also brought into question.”

With this facility grinding to a halt, exclusive supplier Glencore enforced its security over refinery feedstock and refined oil products, and that was it — the company was done. The companies are pursuing a “breach of fiduciary duty” claim against former owner Winston Soosaipillai.

The Times was granted a disclosure order to examine the winding up petitions for the Prax entities, but the resulting story doesn’t add much to the picture. The irregularities were evidently sufficiently serious to immediately pull the plug; clearly it isn’t something that can be made good by a few amendments or waivers.

HSBC arranged the Prax securitisation, which the administrators say was about £783m, but other Prax disclosures show lenders also included Citi, JP Morgan, Royal Bank of Canada and NordLB.

There’s also a mezz layer of roughly £40m, from an undisclosed lender, while the sub note (from Prax topco State Oil) was £110.8m. So the advance rate wasn’t particularly aggressive, but if the material irregularities were the sort where collateral turns out to be valueless, cautious LTVs provide limited protection.

We can’t say much more about the irregularities yet (the administrators, Teneo, say they are doing a forensic pick-over of the receivables and the nature of the transactions, with Demica engaged to advise) but the Prax backdrop is still instructive.

The firm had grown very fast and was very leveraged, with payment terms doing the heavy lifting. At its last published accounts, it had not only $518m-equivalent of drawn securitisation debt but $947m of trade payables, both of these far outstripping the loans from credit funds.

As the administrators note: “The Securitisation Facility was the main source of finance and working capital for the Companies and the liquidation entities and supported cash pooling arrangements in the wider Group. Without continued access to these funds it was not possible for the Companies and the liquidation entities to meet critical payments as they fell due. Given the use of the Securitisation Facility had ceased, there was insufficient time to test any option to refinance the Companies, and therefore it was not possible for the Companies to raise additional finance and/or consider a debt restructuring”.

This is not really how an ordinary corporate receivables securitisation is supposed to function. It’s supposed to make a capital structure incrementally more efficient, not to be the sole source of working capital such that the company instantly collapses if it’s withdrawn.

The dog that didn’t bark

The Supreme Court’s Hopcraft decision, released the day after I pressed publish on the last Excess Spread, seems to have been about as good as anyone could have hoped for, overturning the most concerning parts of the UK Court of Appeal’s judgment.

But it’s not off to the races yet. Any potential UK auto ABS issuers will be waiting to see at least the outline of the FCA’s thinking on a compensation scheme, which should come in October. The regulator doesn’t make it clear how it got to these figures, but the bid-offer is £9bn-£18bn, which is an enormous sum.

Even assuming the clearers take the bulk of it, divvying up say, £1bn between the smaller players and non-bank lenders could be a big problem. Lenders running capital-lite models, who have maximised their access to securitisations and forward flows, have very little ability to absorb costs on this scale, and there will surely be consolidation coming in the sector.

Management teams which were weighing up whether to stay in the auto lending game could well be given a push by the redress scheme, though any actual M&A or portfolio sale action needs to wait for the scheme itself to come out.