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Quarzo S.r.l. (2017): 17 February 2017

Another in the series of Quarzo securitisations and, as per earlier consumer transactions, the net proceeds of the issue of the notes will be applied by the issuer to fund the purchase of a pool of monetary claims and other connected rights arising under consumer loan agreements governed by Italian law and granted by Compass SpA.

Eligibility criteria for the initial portfolio include: all are classified as performing receivables; are consumer loan agreements whose financing has been originally lent by Compass; the consumer loan agreements have been entered into with individuals resident and domiciled in the Republic of Italy; all loan agreements are denominated in euro; all shall be paid on a monthly basis, through the direct debit procedure or through postal payment; are consumer loan agreements whose due payments have been fully and punctually paid; consumer loan agreements with at least one due instalment; consumer loan agreements whose amortisation plan has not more than 120 instalments.

At the initial cut-off date of 7 February 2017, the portfolio comprised 151,018 receivables in four distinct categories: personal loans (68,878 loans – 60.00% of current outstandings); new vehicle purchases (17,427 loans – 17.00%); purpose loans (44,194 loans – 12.00%); and used vehicle loans (20,519 loans – 11.00%). The pool is highly granular, with the largest obligor accounting for just 0.0059% of outstanding balances and the top 10 obligors for just 0.04513%. The WA seasoning is 6.22mnths. Geographic concentration (by current outstanding principal): South 42.99%, North 30.94% and Centre 26.07%.

CRR 405: The originator will retain, on an ongoing basis, a material net economic interest of not less than 5.0% in the securitisation in accordance with each of article 405 of Regulation (EU) No. 575/2013 and article 51 of Commission Delegated Regulation (EU) No. 231/2013 of 19 December 2012. As at the issue date, such interest will be comprised of an interest in the Junior Notes which is not less than 5% of the nominal value of the securitised exposures.

Compare/contrast: Quarzo Srl (2016), Quarzo CQS Srl (2015), Sunrise Srl 2016-2