Auto ABS Italian Balloon 2019-1: 20 July 2019

The principal source of payment of interest and repayment of principal on the Notes will be from collections made in respect of receivables and connected rights arising from Auto Loans Contracts originated and classified as performing by Banca PSA Italia S.p.A. (BPSA) and purchased (and to be purchased) by the Issuer in accordance to the terms of a master receivables transfer agreement entered into on 12 July 2019 between, inter alios, BPSA and the Issuer. The Seller may transfer without recourse to the Issuer additional Receivables during the Revolving Period, provided that the Contracts Eligibility Criteria, the Receivables Eligibility Criteria and the Global Portfolio Limits are met.

Eligibility Criteria (includes): each Debtor was resident, or, in case of a Commercial Debtor, had its registered office, in the Republic of Italy as of the signature date of the Auto Loan Contract; to the best of the knowledge of the Seller, the Auto Loan Contract is not subject to a termination or rescission procedure started by the Debtor; no authorisation of deferred payment of principal and interest is provided in the Auto Loan Contract after the first Instalment has been paid; the Auto Loan Contract has been executed for the financing of only one Car (so as to ensure an identical number of Auto Loan Contracts, Receivables and financed Cars); the Debtor under the Auto Loan Contract from which the Receivable arises is a Retail Customer; each Auto Loan Contract is a Balloon Auto Loan Contract; each Auto Loan has been entirely drawn and paid in accordance with the relevant Auto Loan Contract.

At the cut-off date (8 July 2019) the portfolio consists of 53,096 loans, advanced to 52,433 obligors where the average outstanding loan principal amount is Eur12,430. Car status: New – 99.31%, used – 0.69%. Obligor status: private – 93.42%, commercial – 6.58%. Borrower concentration: top 1 – 0.01%, top 10 – 0.10%. Contract type (by outstanding principal): loyalty offer – 86.50%, standard offer – 13.50%. The WA seasoning is 11.3 months. Regional concentration: Lombardia – 19.74%, Lazio – 11.65%, Emilia-Romagna – 11.24% and Sicilia – 8.95%.

EU Risk Retention: the Seller has undertaken that it will retain at the origination and maintain (on an ongoing basis) a material net economic interest of at least 5% in the Securitisation by holding all the Principal Amount Outstanding of the Class B Notes, in accordance with option (d) of Article 6 paragraph 3 of the Securitisation Regulation and the applicable Regulatory Technical Standards.

STS: The Securitisation is intended to qualify as a STS-securitisation within the meaning of Article 18 of Regulation (EU) no. 2017/2402 of the Securitisation Regulation.

Compare/contrast: Auto ABS Italian Loans 2018-1, Silver Arrow Merfina 2019-1 Srl, Sunrise SPV Z70 2019-1