Securitisation

Securitisation activity consists in the sale of receivables capable of generating multi-year cash flows to a company specifically created pursuant to Law 130 of 30 April 1999 (‘special purpose vehicle’ or ‘SPV’), which issues and sells bond-type financial instruments (called ‘asset-backed securities’ or ‘RMBS’) to institutional investors. With the proceeds of the issue, the SPV pays the purchase price of the receivables to the seller company.

The transfer of mortgages does not actually entail any changes for customers, as the management of banking relations remains at the branch of reference, leaving the conditions, characteristics and sending of the mortgage notices completely unchanged.

Since 2009, Cassa di Risparmio di Bolzano has periodically carried out securitisation transactions, the securities of which bear the name ‘Fanes’.

It currently has three securitisation transactions in place, two of which have a portfolio of residential mortgages as underlying assets and one a portfolio of mortgages granted to small and medium-sized enterprises.

Securitisation Fanes S.r.l. – Series 2020

Fanes Srl securitised a portfolio of mortgage and/or unsecured loans granted to small and medium-sized enterprises that were sold by Cassa di Risparmio di Bolzano S.p.A. in May 2020 for a total amount of EUR 748.883 million. The transaction comprises two tranches, one senior and one junior.

The characteristics of securities at the time of issue:

Class Description Amount
(mln)
WAL
(years)
Coupon
A Senior 479,30 2,69 (CPR 0%) Euribor 3M + 0,8%
B Junior 269,60

 

Securitisation Fanes S.r.l. – Series 2018

Fanes Srl securitised a portfolio of residential mortgages that were sold by Cassa di Risparmio di Bolzano S.p.A. in April 2018 for a total amount of EUR 507.215 million. The transaction comprises three tranches, two senior tranches as well as one junior tranche.

The bonds were issued on 18th June 2018.

Class Description Amount
(mln)
WAL
(anni)
Coupon
A1 Senior a variable 355,90 3,98 Euribor 3M + 0,80%
A2 Senior fixed-rate 90,00 10,03 0,90%
J Junior 61,315

 

Securitisation Fanes S.r.l. – Series 2014

Fanes S.r.l. securitised a portfolio of residential mortgages that were sold by Cassa di Risparmio di Bolzano S.p.A. in July 2014 for a total amount of EUR 525.10 million. This securitisation was increased by a further EUR 891.70 million in November 2016. The transaction comprises two tranches, one senior and one junior.

The bonds were issued on 31st July 2014, the increase took place on 29th November 2016.

The characteristics of the securities immediately after the issue increase:

Class Description Amount
(mln)
WAL
(anni)
Coupon
A Senior variable rate 1.237,60 4,60 Euribor 3M + 1,00%
B Junior 179,20

 

Quarterly Servicer's Report

Securitisation Fanes S.r.l. – Series 2011

Fanes S.r.l. securitised a portfolio of residential mortgages and corporate loans that were sold by Cassa di Risparmio di Bolzano S.p.A. for a total amount of €580.30 million.

The bonds were issued on 31st July 2014, and redemption took place on 30th April 2018.

The characteristics of securities at the time of issue:

Class Description Amount
(mln)
WAL
(anni)
Coupon
A Senior variable rate 446,40 4,90 Euribor 3M + 0,40%
B Junior 133,90

 

Quarterly Servicer's Report

Securitisation Fanes S.r.l. – Series 2009

Fanes S.r.l. securitised a portfolio of residential mortgages and corporate loans that were sold by Cassa di Risparmio di Bolzano S.p.A. for a total amount of EUR 489.95 million.

The bonds were issued on 28th July 2009, and redemption took place on 31st October 2016.

The characteristics of securities at the time of issue:

Class Description Amount
(mln)
WAL
(anni)
Coupon
A Senior variable rate 400,95 4,1 Euribor 3M + 0,40%
B Junior 89,95

 

Quarterly Servicer's Report