The current rating on the notes is available here.

Maior SPV S.r.l. is a static cash securitisation of a EUR 2.75bn portfolio of non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by UBI Banca S.p.A. and IW Bank S.p.A. The transaction closed on 1 August 2018.

The transaction exhibits a good performance with a cumulative collection ratio of 116.5%. Scope’s review was based on available payment information and investor and servicer reporting as of July 2019.

Aggregate gross collections since the cut-off date have amounted to EUR 130.5m (of which 82.4% related to open debtors, i.e., debtors for which the recovery process is still ongoing). This figure represents about 13.1% of Scope’s expected lifetime collections considered for the analysis of the class A notes. The amount and timing of collections have so far slightly outpaced Scope’s expectations of EUR 114.0m at closing. As a result, class A credit enhancement relative to the portfolio’s outstanding gross book value has increased to 78.6% from 77.1%.

Sources of collections for open positions were judicial proceedings (42.4%), ad-interim collections (41.9%) and discounted payoffs (DPOs, 15.4%). Main sources of collections for closed positions were DPOs (46.8%), ad-interim collections (27.3%), notesales (13.1%) and judicial proceedings (12.8%). As of June 2019, no collections stemmed from indemnities or givebacks.

Regarding judicial auctions, among 314 successful auctions as of June 2019, assets have been sold, on average, at a price 6% below the last auction’s base price.

The reported cumulative profitability ratio on fully resolved debtors (i.e., positions for which the recovery procedure was accomplished) was above the servicer’s expectation at 117.9%. However, this figure does not include proceeds from DPOs and notesales approved by the originator between the portfolio cut-off date and the transfer date. The cumulative profitability ratio decreases to 92.0% if we include also these proceeds.

No interest subordination event has occurred, since both the cumulative collections ratio and the cumulative profitability ratio (116.5% and 117.9%, respectively) are above the trigger level of 90%.

The transaction is exposed to i) Unione di Banche Italiane S.p.A. and IW Bank S.p.A. as originators, regarding representations and warranties; ii) Unione di Banche Italiane S.p.A. as the issuer’s account bank and provider of the limited-recourse loan; iii) Prelios Credit Servicing S.p.A. as the servicer; iv) Bank of New York Mellon SA/NV, Milan Branch as the issuer’s agent bank and principal paying agent; v) Securitisation Services S.p.A. as the back-up servicer, corporate services provider, calculation agent, noteholders’ representative, and monitoring agent; and vi) Société Générale S.A. (rated A+/S-1+ by Scope) as the interest-rate cap counterparty. All counterparties continue to be supportive for the rating.

Scope will continue to monitor Maior SPV S.r.l. on an ongoing basis.

Ratings and research are freely available at www.scoperatings.com.