Italian Finance Firm Markets €1.2B Consumer Loan ABS

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Bond rating agency DBRS has assigned ratings to a €1.34 billion Italian consumer loan securitization.

Sunrise S.r.l. Series 2016-2 is a transaction structured with three note classes, including a €770 million par amount of notes carrying an ‘AAA’ structured finance rating. The class will be split between floating-rate and fixed-rate bonds. (Both coupon rates are to be determined).

There is also a fixed-rate €220 million Class M series rated ‘A’ by DBRS, and a subordinate Class J series sized at €345.7 million with a variable rate.

The notes are secured by receivables totaling €1.29 billion from 139,116 personal loans issued by Agos Ducato S.p.A., an Italian consumer finance company. The loans are generally personal loans, new- and used-vehicle loans, furniture loans and other-purpose borrowings. The loans are unsecured, including the vehicle and furniture loans, pertaining to Italian law where lenders receive no security title to an asset or service financed by the loan.

(The receivables, though, may benefit from “minor” anciallary rights such as indemnities or warranties provided by dealers or insurance policies, or individual personal guarantees.)

The loans have an average outstanding principal of €9,344, a weighted-average interest rate of 7.57% and a weighted-average seasoning of 6 months.

Credit enhancement for the Class A notes includes 42.4% subordination of the junior notes as well as excess spread of and various reserves including a floor cash reserve amount of €6.47 million at closing with a target amount of €38.8 million, or 3% of the outstanding collateral. The excess spread is from a minimum portfolio yield of 6.9% during the revolving period that should well exceed the expected coupon rates of the notes.  

The pool also contains a €22.65 million targeted commingling account (or 1.75% of the outstanding collateral) that is available in case of a servicer insolvency.

CA-CIB, Banca IMI and Mediobanca S.p.A were joint lead managers on the transaction. Joint arrangers were Banca Aletti & C. S/p.A. and CA-CIB.

The pool contains a revolving period open through May 2018 in which additional receivables can be assigned, and carries a final maturity date of 2041.

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