Claris RMBS 2016 S.r.l: 02 February 2017

A securitisation of receivables arising out of mortgage loan agreements entered into by bancApulia SpA (BAP) and Veneto Banca ScpA.

Eligibility for selection in the portfolio (include): in respect of the VB Portfolio only, Mortgage Loans granted by branches which, at the time of the drawdown of the relevant Mortgage Loan, did not belong to the banking group of Intesa Sanpaolo SpA; loans which on the Valuation Date had no more than two Instalments due but not paid; loans which, as at 00.01 of 21 January 2014, had no Instalment due but not paid and had at least one Instalment paid; loans which are fully drawn or in respect of which there was no obligation to make further drawings nor was it possible to make further drawings; loans (a) denominated in Euro (and which at the date of signing were denominated in Italian Lire or Euro), and (b) which did not contain provisions that allowed conversion into any other currency; loans governed by Italian law.

The portfolio consists of 11,293 loans advanced to 11,073 borrowers, where the average current balance is Eur102,851 and the largest current balance is Eur1.495mln. Borrower concentration: top 1- 0.14%, top 10 – 1.17%, top 50 – 3.71%. Interest Rate Type (by current balances): floating 64.82%, fixed 30.17%, other 5.01%. Repayment method: French Amortisation Method 99.19%. The WA current LTV is 54.54% (original LTV 59.54%) and the WA seasoning is 2.18yrs. Regional Concentration (by current balances): Veneto 37.88%, Lombardia 15.99%, Puglia 14.73% and Piemonte 10.36%.

CRR/405: Each of VB and BAP, in their capacity as originators, will retain a material net economic interest of not less than 5.0% in the securitisation. As at the issue date, this will be comprised of an interest in the first loss tranche (being the Junior Notes) as required by Article 405 of the Capital Requirements Regulation and Article 51 of the AIFM Regulation.

Compare/contrast: Claris RMBS 2014, Credico Finance 16 Srl, MCC RMBS Srl