Valsabbina SPV 1 S.r.l (2016): 02 December 2016

This will be the second public ABS issue from originator Banca Valsabbina, but whereas in the original transaction the assets were receivables arising out of residential mortgage loan agreements, on this occasion the principal source of payment of interest and of repayment of principal on the notes will be receivables arising out of commercial mortgage or non-mortgage loan agreements entered into between Banca Valsabbina S.C.p.A. and certain obligors which are Small and Medium Enterprise debtors.

Banca Valsabbina is the parent company of the Banca Valsabbina Banking Group and, for years, the Bank has accompanied the growth of the economy of Valle Sabbia. In the last fifty years, the network of branches has gradually extended towards Lake Garda, the city of Brescia and throughout the province. In April 2011 the bank acquired control of Credito Veronese and now has 63 branches, mainly located in the province of Brescia.

Eligibility criteria for the portfolio (includes): the loan agreements are governed by Italian law and there are no obligations of further disbursement; are entities with a registered office in the Republic of Italy, or are natural persons resident in the Republic of Italy who entered the relevant loan within the context of their business and/or professional activity; are denominated in Euro; at least one instalment is past due and has been paid by the relevant debtor.

The portfolio consists of 4,870 loans. Overall, there are 10 loans in the pool of greater than Eur3mln which represents 6.52% of current balances. Type of Loan: Non Mortgage 54.29%, Mortgage 45.71%. Interest rate type (by current balances): floating 99.03%, fixed 0.97%. Industry concentration: Manufacturing 36.28%, Wholesale & Retail trade 18.65%, Real Estate 14.81% and Construction 7.48%. The WA seasoning is 3.51yrs. Regional concentration (by current balances): Lombardia 82.24% and Veneto 14.46%.


CRR 405: The Originator will retain on the Issue Date and maintain on an ongoing basis a material net economic interest of at least 5% in the securitisation in accordance with Article 405 of the CRR, Article 51 of the AIFM Regulation, Article 254 of the Solvency II Regulation and the relevant Bank of Italy Supervisory Regulations so long as the notes are outstanding. As of the Issue Date such net economic interest will be comprised of the retention by the Originator of the junior notes, which constitutes an interest in the first loss tranche as required by the above provisions.

Compare/contrast: Valsabbina SPV 1 S.r.l., BPM Securitisation 3 (Series 2014 - Tap1), Siena PMI 2016 S.r.l.