Siviglia SPV S.r.l. (2020): 28 June 2020

This will be the first public Italian RMBS transaction of 2020.

The principal source of payment of interest and principal on the notes will be the collections and recoveries made in respect of a portfolio of monetary claims and connected rights arising out of residential mortgage loan agreements entered into by Cassa di Risparmio di Cento S.p.A. (CR Cento) in the course of its business, and purchased by the Issuer from the Originator.

At the cut-off date the portfolio consists of 3,776 loans, where the largest loan is for Eur1.637mln and there are only 33 loans of Eur300,000 or greater in the pool. Interest rate type: fixed – 53.66%, variable – 46.34%. The WA seasoning is 5.37 years. Regional concentration: Emilia-Romagna – 97.74%.

EU Risk Retention: The Originator has undertaken that it will retain for the life of the transaction a material net economic interest of not less than 5% in the securitisation as required by Article 6(1) of the Regulation Regulation (EU) No. 2017/2402 of the European Parliament. As at the Issue Date, the Originator will meet this obligation by retaining an interest in the first-loss tranche, being the Junior Notes.

Compare/contrast: Siviglia SPV S.r.l (Redeemed), Brera SEC S.r.l (2019)