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Quarzo CQS S.r.l. (2018): 30 March 2018

A very similar transaction to the earlier Quarzo CQS 2015 deal, where the proceeds of the issue will be applied to fund the payment of the purchase price of the portfolio of monetary receivables and other connected rights arising out of personal loan agreements originated by Futuro SpA (the originator).

As at the Valuation Date: (i) no Loan has an outstanding principal balance greater than Euro 100,000 and (ii) the aggregate outstanding principal balance of the Loans greater than Euro 60,000 shall not exceed 5% of the aggregate outstanding principal balance of all the Loans.

At the cut-off date the portfolio consisted of 36,592 personal loans advanced to 35,053 debtors, where the average outstanding principal is Eur17,763. Borrower concentration: top 1 – 0.012%, top 10 – 0.104%, top 20 – 0.193%. Employer type: Retirees 40.0%, CQS to public employers 37.0%, CQS to private employers 23.0%. The WA seasoning is 17.6 months.

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. The manner in which the net economic interest is retained by the Originator may be changed (but without obligation to do so) in connection with any amendment to or change in the interpretation of the CRR and/or the AIFM Regulation.

Compare/contrast: Quarzo CQS 2015, Marzio Finance Srl 2-2018 (0.25% Oct 2039), Vela Consumer 2 Srl (2017)