Scope Ratings reviews its ratings either yearly, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations. Monitoring reviews are unrelated to the calendar that outlines public finance rating actions.

Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodologies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

Scope Ratings completed the monitoring review for Maior SPV S.r.l. on 7 July 2021.

Class A (ISIN IT0005341125), EUR 418.2m: BBB_SF;

Class B (ISIN IT0005341133), EUR 60m: not rated;

Class J (ISIN IT0005341141), EUR 26.9m: not rated

The review was conducted based on available payment information and on investor and servicer reporting as of 29 January 2021 payment date. This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Maior SPV S.r.l. is a static cash securitisation of a EUR 2.7bn portfolio (at closing) of Italian non-performing loans originated by Unione di Banche Italiane S.p.A and IW Bank S.p.A. and serviced by Prelios Credit Servicing S.p.A.. The transaction was closed on 1 August 2018. The class A was first rated on 1 August 2018 and the legal maturity is in July 2040. Scope does not rate class B and class J notes.

Key rating factors

As of 31 December 2020, aggregate gross collections were EUR 281.3m, which is 91% of the original business plan expectations up to that date (EUR 309.1m). Total available gross collections are split between judicial proceeds (64.6%), discounted payoff proceeds (24.9%), credit sale proceeds (4.6%) and other types of collection (5.9%).

Aggregate net collections (gross collections net of recovery expenses) amounted to EUR 254.1m, being at 91% of the original business plan net expectations.

Around 66% of gross collections (EUR 185.5m) come from open debtors (i.e. debtors for which the recovery process is still ongoing). The servicer has closed debtors for a total gross book value of around 13% of the transaction’s initial gross book value. The gross profitability on closed debtors is slightly above the initial business plan’s expectation, standing at 104%. Gross collections from closed debtors are split between judicial proceeds (39.1%), discounted payoff proceeds (43.9%), credit sale proceeds (11.8%), and other types of collection (5.2%).

Interests on class B are subordinated to payment of class A principal if the cumulative net collection ratio falls below 90% of the servicer’s business plan target or the NPV profitability ratio falls below 90%. As per last investor report dated January 2021, no class B interest subordination occurred as the net cumulative collection ratio and the NPV profitability ratio stands at 91.9% and 119.5%, respectively.

All transaction counterparties continue to support the rating.

CREDIT-POSITIVE (+)

Cumulative collections. Observed cumulative gross collections, despite being below the original servicer’s business plan expectations (91%), have outpaced Scope’s timing expectation under class A analysis.

Increased credit enhancement. Around 33% of the class A notes’ notional has amortised. As a result, class A credit enhancement relative to the portfolio’s outstanding gross book value has increased to 84.8% from 77.1%.

CREDIT-NEGATIVE (-)

Italian economy. The Italian economy faces a weak economic growth rate in the first half of 2021 fuelled by the Covid-19 pandemic. Despite governmental support measures, increased collateral liquidity risk and weakened borrower liquidity positions could negatively affect the recovery prospects.

Property sales. The special servicer has sold 1505 properties via auction since closing. Majority of these properties were residential assets (73% of the total number of properties). The aggregated sale amount is significantly lower than the open market value (-47.2% weighted average discount). The resulting discount is higher than Scope’s original stresses used for the Class A analysis and it will be monitored in the context of future property sales.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, published on 14 December 2020, Non-Performing Loan ABS Methodology, published on 9 September 2020, Methodology for Counterparty Risk in Structured Finance, published on 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Rossella Ghidoni, Director

Potential conflicts*
Please see www.scoperatings.com for a list of potential conflicts of interest related to the issuance of credit ratings. A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, a related third party to this transaction. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.

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*Editor's note: The 'Potential Conflicts' section was added on 28 September 2021.