Luzzatti, a consortium that groups 19 Italian territorial popular banks, mostly locally significant, considering the securitisation of non-performing loans and the new true sale of single name secured loans concluded in December 2023, has managed over the years the disposal of more than €5bn of Npe in total. In decemeber 2023 it finalised , with the support of Intesa Sanpaolo – IMI Corporate & Investment Banking Division as arranger and placement agent of the securities issued, the new multi-originator securitisation transaction of non-performing loans for a total Gross Book Value of over € 3oo million.
The transaction, in which 11 banks (of which 7 syndicate banks) and one financial intermediary took part, was structured as a multioriginator securitisation. financial intermediary, was structured by assigning a BBB+ rating to the senior securities by DBRS Morningstar and ARC Ratings.
The portfolio of non-performing loans sold by the banks participating in the securitisation vehicle set up ad hoc pursuant to Law 130/99 (‘Luzzatti POP NPLS 2023 S.r.l.’) refers to about 4. 300 debtors for a total gross collectible value of € 313 million and is made up, in terms of number, of 13% of debtors secured by at least a first mortgage (corresponding to 51% of Gross Book Value and 76% of Gross Cash Flow) and the remainder by debtors secured by mortgages of a higher degree than the first or unsecured.
The role of master servicer and special servicer of the new securitisation was entrusted to doValue, which assisted Luzzatti and the Banks in the analysis of the portfolios and in the complex due diligence phase; for the management of the legal aspects of the transaction, the Banks used the law firm Orrick Herrington & Sutcliffe, while the law firm Chiomenti assisted the arranger.
In relation to the other roles in the transaction, RSM Società di Revisione e Organizzazione Contabile took care of the Agreed Upon Procedure activities and Ernest & Young supported Luzzatti and the less significant participating banks in the fulfilments related to the derecognition of their portfolios. The activities of custodian bank and paying agent were entrusted to BNP Paribas Securities Services, while the role of noteholders’ representative and back-up master servicer was entrusted to Blue Factor S.p.A.
The SPV issued three tranches of ABS notes:
- a senior tranche of €78 million, corresponding to approximately 25% of the GBV, which was assigned a a BBB+ rating by the rating agencies ARC and DBRS;
- a mezzanine tranche of € 11 million, corresponding to around 4% of GBV;
- an unrated junior tranche of € 3 million, corresponding to approximately 1% of total GBV.
The transaction’s capital structure, with senior notes rated BBB+, constitutes an appreciable result in the current market environment. The transaction, thanks to the competitive process for the market placement of the mezzanine and junior notes managed with the support of the arranger, received positive appreciation from institutional investors.
“We are pleased that Banca Popolare di Sondrio and the locally significant banks that participated in the new securitisation structured by our Consortium – underlines Luigi Avogadro, Managing Director of Luzzatti – have shared the strategic opportunity to accelerate the improvement of the gross NPL Ratio, bearing in mind that system forecasts estimate an increase in Npe in the next two years. The positive results achieved in the placement of the new multi-originator securitisation confirm the validity of our platform of derisking solutions and tools, which fully responds to the strategic role assigned to Luzzatti”.
“The multi-originator securitisation of non-performing loans,” specifies Massimo Famularo, coordinator of Luzzatti’s activities in the NPE sector, “even in the absence of the state guarantee, confirms itself as a fundamental tool for the derisking strategies of smaller banks, which can share the costs and benefit from a structuring process that has been consolidated over the years.
Blogger and Investment Management Advisor with focus on Distressed Assets & NPL. Massimo is Chief NPL & Fintech Editor at Credit Village Magazine.