Lanterna Mortgage: 02 August 2020

This is a securitisation of receivables arising out of mortgage loan agreements entered into or acquired by Banca Carige S.p.A. and Banca del Monte di Lucca S.p.A. On 16 July 2020 the Issuer purchased (i) from Banca Carige, the Banca Carige Portfolio and (ii) from BML, the BML Portfolio. The Purchase Price of the Portfolio will be financed by the Issuer through the issuance of the Notes.

At the cut-off date the portfolio consisted of 2,322 repayment residential mortgage loans. Interest rate type: Fixed rate loan (for life) – 76.32%, Floating rate loan (for life) – 22.82% and Capped – 0.86%. Number of Days in Arrears: 60 days – 4.16%. The WA CLTOMV is 86.77%, the WA indexed CLTV 90.92% and the WA OLTV was 95.54%. The WA seasoning is 4.05 years. Regional distribution: Lombardia – 32.69%, Liguria – 22.23%, Veneto – 12.84% and Piemonte – 12.11%.

EU Risk Retention: Each of Banca Carige and BML, in their capacity as Originators, will retain on an on-going basis for the entire life of the transaction a material net economic interest of not less than 5% in the transaction pursuant to Article 3(2) of the Regulatory Technical Standards on risk retention requirements, as required by Article 6(1) of the Regulation (EU) No. 2017/2402 of the European Parliament. As at the Issue Date, the Originators will meet this obligation by retaining an interest that constitutes an interest in the first-loss tranche, being the Junior Notes, as required by Article 6(3)(d) of the EU Securitisation Regulation.

STS: The transaction is intended to qualify as an STS-securitisation within the meaning of Article 18 of the EU Securitisation Regulation. Consequently the transaction is intended to meet, on the date of the prospectus, the requirements of Articles 19 to 22 of the EU Securitisation Regulation, and the Originators intend to submit on or about the Closing Date a notification to the ESMA for the transaction to be included in the list published by ESMA as referred to in Article 27(5) of the EU Securitisation Regulation.

Compare/contrast: Argo Mortgage (3) 2008(Redeemed), Siviglia SPV S.r.l. (2020)