Italy's Banca Selle plans to issue €432 million ($587 million) of residential mortgage-backed securities from its Mars 2600 trust, according to DBRS.

The agency rated the deal 'AA.' 

BNP Paribas and Natixis are the lead managers on the deal.

Approximately 34.68% of the mortgage portfolio is backed by loans previously securitized in Mars 2600, Series 2 and Series 3.

The notes in the current series will be offered over two tranches of class A notes: the class A1 notes will pay interest based on three-month Euribor and Class A2 notes will pay a fixed rate. The notes are due in 2050. The trust will also offer €66.8 million in unrated class D notes and a €8 million cash reserve.

This is the fifth series of notes issued by Banca Sella. According to DBRS the previously securitized loans in the series 2 and 3 deals that are included in the current pool have a weighted average seasoning of 7.63 years. The weighted average seasoning for the entire portfolio is 4.75 years.

The mortgage portfolio has a low weighted average CLTV of approximately 45.75%. “Borrowers with lower LTVs tend to exhibit lower default rates than more leveraged borrowers,” explained DRS analysts in the presale report. “In addition, recoveries on loans with low LTVs tend to be higher.”

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