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SME Grecale 2017 Srl: 10 November 2017

This is the second in the series of SME-based transactions for Grecale, although there has been a gap of five years between the two. The original five Grecale transactions preceding these two were all based around residential mortgages.

Once again, the principal source of payment of interest and repayment of principal on the Notes is from collections made in respect of a portfolio of monetary claims and connected rights, identified as a pool on the basis of objective and homogenous criteria, arising from performing unsecured SME loans and SME loans secured over real estate assets located in Italy, originated by, or otherwise owed to, Unipol Banca S.p.A.

Highlighted features of the pool (include): are denominated in Euro and there are no provisions allowing the conversion into different currencies; granted to borrowers resident or having their registered office in Italy; granted to borrowers other than private individuals or companies of the Unipol Banking Group; advanced in full; advanced for an amount not exceeding Eur12.0mln; to be repaid by means of monthly, quarterly, semi-annual or yearly instalments; not granted to public organisations, public consortiums or religious organisations; at least one instalment has been paid.

At cut-off (18 September 17) the pool consists of 6,729 loans advanced to 5,862 borrowers. The average current balance is Eur114,085 and the maximum current balance is Eur8.544mln. Borrower concentration (by current balances): top 1 – 1.27%; top 10 – 9.56%; top 20 – 15.04%. Amortisation method: French Amortisation - 95.57%. Interest rate type: Variable – 85.95%, Fixed – 14.05%. The WA CLTV (only secured first lien) is 47.28% and WA seasoning is 3.97yrs. Regional concentration (by current balances): Emilia Romagna – 26.25%, Lombardia – 14.69%, Lazio – 14.34% and Toscana – 8.08%.

CRR 405: The Originator undertakes that it will retain at the origination and maintain on an ongoing basis a material net economic interest of at least 5% in the transaction in accordance with option (1)(d) of Article 405 of Regulation (EU) No. 575/2013, option (1)(d) of Article 51 of the Commission Delegated Regulation (EU) No. 231/2013 of 19 December 2012 and option 2(d) of Article 254 of Regulation (EU) No. 35/2015. As at the Issue Date, such interest will be comprised of an interest in the first loss tranche (being the Junior Notes).

US Risk Retention: Neither the Originator nor any other person intends to retain a risk retention interest contemplated by the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, as amended, but rather the Originator intended to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

PROHIBITION OF SALES TO EEA RETAIL INVESTORS – The Notes are not intended, from 1 January 2018, to be offered, sold or otherwise made available to and, with effect from such date, should not be offered, sold or otherwise made available to any retail investor in the European Economic Area.

Compare/contrast: SME Grecale Srl, Asti Group PMI S.r.l. (2017), Siena PMI 2016 Srl