Banca Popolare di Vicenza plans to issue 929 million ($1.25 billion) of securities backed by prime Italian residential mortgages.
The deal marks a return for the Italian bank, which was last in the market with Berica Residential MBS SrL Series 9 in April 2011. The latest securitization, dubbed Berica ABS 3 S.r.l., has been assigned preliminary ratings by DBRS. It will offer 835 million of AAA’ rated, class A notes with credit enhancement at 20% and 93.9 million of class B notes, rated A’ with credit enhancement at 11%. The notes are due June 2061.
Barclays, J.P. Morgan, Deutsche Bank, Banco Santander and Banca Popolare di Vicenza are the joint lead mangers on the deal.
DBRS noted in the presale report that the pool of loans have an average loan to value ratio (LTV) of 59.21%, which is low by wider European standards. “Low LTV levels are the norm in the Italian market,” explained analysts in the presale report.
Borrowers with lower LTVs usually are less likely to default than those who finance a larger portion of the purchase price of their home. When they do default, recoveries on loans with low LTVs tend to be higher.
The mortgage portfolio is 2.64 years seasoned, which indicates that loans were originated in the period following the global financial crisis. “Loan originations, typically, were originated to stricter underwriting standards than in the vintages of the pre-2008 era,” said DBRS.
There are few recent comparable deals; howeve in April, Veneto Banca priced the 3.7-year 550 million senior tranche of Claris RMBS 2014 at 115 basis points over the three month Euribor, according to Standard & Poor's. The deal was the first investor-placed Italian RMBS since Banca Popolare di Vicenza's Berica Residential MBS SrL Series 9 in April 2011.