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Fucino RMBS Srl: 16 April 2019


The net proceeds of the offering of the notes will be applied by the issuer to fund the purchase of a portfolio of monetary claims arising under residential mortgage loans originated by Banca del Fucino S.p.A. The bank is the oldest private and independent Roman bank. Founded in 1923 the Bank currently has 32 branches, 20 of which are distributed in the Metropolitan City of Roma Capitale.

At the cut-off date the portfolio consisted of 1,599 loans advanced to 1,515 borrowers, where the average current balance is Eur93,563 and the largest is Eur1.075mln. Amortisation type (by current balances): French – 94.67%, Fixed instalment and variable maturity – 5.33%. Interest rate type: floating – 80.14%, fixed – 15.74%, floating with cap – 4.12%. Obligor concentration: top 1 – 0.80%, top 10 – 5.64%, top 20 – 9.22%. The WA CLTV is 41.0% (original LTV was 55.0%) and the WA seasoning is 6.44 years. Regional breakdown: Lazio – 73.80%, Abruzzo – 15.80%, others – 3.32%.

EU Risk Retention: The Originator has undertaken that it will retain at the origination and maintain on an ongoing basis a material net economic interest of not less than 5% in the securitisation. As at the Issue Date, such interest comprises a retention of the first loss tranche (being the Junior Notes), which in total is not less than 5% of the nominal value of the securitised exposures.

U.S. Risk Retention: The transaction is not intended to involve the retention by a sponsor for purposes of compliance with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, but will rather rely upon an exemption provided for in Rule 20 of the U.S. Risk Retention Rules regarding non U.S. transactions.

Compare/contrast: Kobe RMBS SPV, Leone Arancio RMBS S.R.L.