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Diaz Securitisation S.r.l: 03 October 2017

The transaction is a twelve months revolving cash securitisation of consumer loan receivables to obligors who are located in Italy, and the initial pool comprises mostly assets purchased from the Arianna SPV S.r.l. securitisation. As time goes on, additional receivables will be purchased during the revolving period and these will be originated by Pitagora S.p.A. and Sigla Srl.

The actual consumer loans which are being securitised in the transaction will be Cessione del Quinto and Delegazione di Pagamento loans which can be collateralised by up to 20% (or more) of the net monthly salary of the employee. The borrowers are able to use the loans as they see fit.

As at the cut-off date, the portfolio comprised 13,022 loans which have been advanced to 12,691 borrowers, and the average current loan size is Eur8,554.

CRR 405: Banca Progetto, as "sponsor" …. has undertaken …. that it will retain on the Issue Date and maintain on an on-going basis at least 5% of net economic interest in accordance with (a) Article 405 of the CRR, (b) Article 51 of the AIFM Regulation and (c) Article 254 of the Solvency II Regulation. As of the Issue Date such net economic interest will be comprised of the retention by Banca Progetto, as sponsor, of the Class B Notes.

Compare/contrast: Arianna SPV, Azzurro SPV S.R.L