Valsabbina RMBS SPV 1 S.r.l.: 11 December 2022

The principal source of payment of interest and of repayment of principal on the Notes will be the Collections made in respect of the Receivables arising out of Residential Mortgage Loan Agreements, purchased by the Issuer from the Originator (Banca Valsabbina). The Issuer purchased the First Portfolio from the Originator pursuant to the Transfer Agreement executed on 11 November 2022 and has undertaken to purchase the Second Portfolio on or before the Incremental Instalment Date.

The first portfolio consists of 3,994 First Economic Lien repayment loans, where there are 32 loans of Eur500,000 or greater, which account for 6.01% of total outstanding balances. Interest rate type: fixed rate – 57.60%, floating – 42.40%. The WA CLTV is 62.08%, (original LTV was 66.90%) and the WA seasoning is 1.84 years. Regional concentration: Lombardia – 76.40% and Veneto- 15.14%.

EU Risk Retention: Banca Valsabbina, in its capacity as Originator, will retain on an on-going basis a material net economic interest in the Securitisation of not less than 5% in accordance with option (a) of Article 6(3) 29 of the EU Securitisation Regulation and the applicable Regulatory Technical Standards.

STS: The securitisation is intended to qualify as a simple, transparent and standardised securitisation within the meaning of Article 18 of the EU Securitisation Regulation.

Compare/contrast: Valsabbina SPV 1 Srl, Asti Group RMBS III Srl