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Rocky 2021-1 SPV S.r.l.: 01 May 2021

The principal source of payments of interest and repayment of principal on the Notes, as well as payment of Class B Variable Return (if any) on the Class B Notes, will be the proceeds of the Aggregate Portfolio and the other Securitisation Assets. The Receivables comprised in the Initial Portfolio have arisen, and the Receivables comprised in each Subsequent Portfolio will arise, from consumer loan agreements and personal credit facility agreements granted by the Originator to the relevant Borrowers without a specific purpose (finanziamenti senza vincolo di destinazione) or for the purpose of purchasing New Vehicles or Used Vehicles or an asset other than a New Vehicle or a Used Vehicle.

Eligibility criteria (includes): receivables arising from Loans granted by DB S.p.A. as lender; the Borrowers are individuals resident in the Republic of Italy; Loans which are Personal Loans, New Vehicles Loans, Used Vehicles Loans or Special Purpose Loans; are denominated in Euro and do not contain provisions which allow the conversion into another currency; governed by Italian law; having no Instalments overdue for more than 30 days; Loans which are not subject to any payment holiday.

At the cut-off date, the portfolio consisted of 713,520 fixed-rate loans where the Average Outstanding Principal Balance is Eur7,784. All loans were advanced via the French Amortization method. The WA seasoning is 21.2 months. Regional concentration (by current balances): North – 48.7%, South & Islands – 29.3%, Centre – 22.0%.

EU Risk Retention: The Originator (Deutsche Bank S.p.A) has undertaken that, from the Issue Date, it will retain, on an on-going basis, a material net economic interest of not less than 5% in the Securitisation, in accordance with option (a) of Article 6(3) of the EU Securitisation Regulation, which consists of a retention of at least 5% of the principal amount of each Class of Notes upon issue.

US Risk Retention: DB S.p.A. does not intend to retain at least 5% of the credit risk of the Issuer for the purposes of the U.S. Risk Retention Rules, but rather intends to rely on an exemption provided for in Section __.20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

STS: The Securitisation is intended to qualify as a simple, transparent and standardised (STS) securitisation within the meaning of Article 18 of Regulation (EU) no. 2402.

Compare/contrast: ProFamily Securitisation S.r.l. (2021), Sunrise SPV 92 (2021-1)