Illimity Bank Sells 217 Million of Performing Loans to Companies to Colt spv

Illimity Bank has restructured and expanded the securitization of performing loans deriving from loans granted by the SME and mid-cap bank carried out in December 2022, through the special purpose vehicle Colt spv srl. The arrangers of the operation were JP Morgan and Illimity Bank, who were in turn assisted on a legal level by the Chiomenti firm.

The operation involved, on the one hand, the repurchase by Illimity Bank of seven loans classified as past due or as UTP for a total gross value of 82.8 million which had previously been sold to Colt spv as part of the first operation; and on the other the purchase by Colt spv of a new portfolio of loans originating from Illimity Bank for a total gross value of 217.7 million.

In December 2022 a portfolio with a nominal value of approximately 530 million euros was securitized, consisting of 82 loans granted by illimity itself to 69 companies , assisted by guarantees issued either by SACE (76.2% of the portfolio) or by Central Guarantee Fund (23.8%), in what was the first securitization operation in which the SACE guarantees were also transferred.

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The abs securities were then all subscribed by Illimity Bank

At the time, the spv had issued three classes of securities: 375 million euros of senior tranches (Class A) with ratings of A from DBRS , A1 from Moody’s and A from ARC Ratings which pays a coupon equal to the 3-month Euribor rate plus 2%; 79.1 million euros of mezzanine tranche (Class B) with a B rating from DBRS, B2 from Moody’s and B+ from ARC, which pays a coupon equal to the 3-month Euribor rate plus 2.7%; and 116 million euros of junior tranches (Class J) without rating and with variable coupon with a spread of 5%.

The senior and mezzanine securities were then admitted to trading on the ExtraMOT PRO segment of the Italian Stock Exchange.

The restructuring of the deal, which was conducted in mid-December 2023, involved the issue of three new tranches of asset-backed securities, all with legal maturity in February 2040, again subscribed by illimity Bank, with whose proceeds Colt spv acquired from illimity Bank the new portfolio of performing loans backed by guarantees from SACE and the SME Guarantee Fund, guarantees which also in this case were transferred to the spv together with the corresponding credits.

In detail, Colt spv issued: 113.7 million euros of senior abs (Class A-2) which obtained the AA rating from DBRS , Aa3 from Moody’s and AA- from ARC Ratings ; 20.3 million euros of mezzanine securities (Class B-2) with ratings, respectively, B, B2 and BB; and 4.14 million unrated junior abs. The senior and mezzanine securities of the second series were in turn admitted to trading on the ExtraMOT PRO segment of the Italian Stock Exchange.

At the end of October the securitized portfolio had a gross value of 583.7 million , distributed between 115 loans and 81 debtors. The portfolio is very concentrated: loans to the top 10 debtors represent 36% of the overall value. 63% of the value relates to the credits transferred by illimity with the 2022 operation and the remaining 37% relating to the second operation.

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First published in Be Beez, a third-party contributor translated and adapted the article from the original. In case of discrepancy, the original will prevail.

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