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      Scope has completed a monitoring review of Maior SPV S.r.l. – Italian NPL ABS
      FRIDAY, 20/05/2022 - Scope Ratings GmbH
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      Scope has completed a monitoring review of Maior SPV S.r.l. – Italian NPL ABS

      No action has been taken on class A notes issued by Maior SPV S.r.l. following the monitoring review.

      Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

      Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

      Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

      Scope completed the monitoring review for Maior SPV S.r.l. on 17 May 2022. The credit rating remains as follow:

      Class A (ISIN IT0005341125), EUR 341,010,189 current balance: BBBSF

      Class B (ISIN IT0005341133), EUR 60,000,000 current balance: not rated

      Class J (ISIN IT0005341141), EUR 26,900,000 current balance: not rated

      Maior SPV S.r.l. is a static cash securitisation of a EUR 2.7bn portfolio in terms of original gross book value (GBV) 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. Scope does not rate class B and class J notes.

      The review was conducted considering available servicer reports, payment reports and investor reports up to the January 2022 payment date. This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

      Key rating factors

      As of 31 January 2022, aggregate gross collections were EUR 384.2m, which is 82% of the original business plan’s gross expectations up to that date (EUR 469.4m). Total gross collections are split between judicial proceeds (56.4%), discounted payoff proceeds (24.0%), credit sale proceeds (15.0%) and other types of collections that are yet to be classified (4.6%).

      Around 50% of the total gross collections stem from open debtors (i.e., debtors for which the recovery process is still ongoing). Based on Scope’s analysis, closed debtors account for around 22% of the transaction’s initial GBV, registering a profitability that is below Scope’s expectation for the B case scenario.

      In September 2021, the servicer reviewed downward the transaction’s original business plan. The lifetime business plan projections have been reduced by ca. 13%.

      Class B interest is subordinated to the payment of class A principal if either the cumulative net collection ratio falls below 90% of the servicers’ business plan target or the net present value profitability ratio falls below 90%. The class B interest subordination event is curable, and if cured, all accrued and unpaid interest are distributed senior to class A principal payments. As at the last payment date, class B interest subordination event occurred as the two ratios were at 81.3% and 100.4%, respectively. Accrued and unpaid class B interests amount to EUR 1.7m. Class A has amortised by 46% since the issuance date.

      The rating considers the issuer’s exposure to key counterparties.

      CREDIT-POSITIVE (+)

      Pace of collections. Aggregate gross and net collections have outpaced Scope’s timing expectations under class A analysis.

      CREDIT-NEGATIVE (-)

      Closed debtors’ profitability. Profitability on closed debtors stands at 78% of Scope’s initial expectations for the B case scenario. Cumulative net collections from closed borrowers are around 10% below servicer’s original expectations.

      Inflation induced economic slowdown. High inflation on the back of soaring energy and commodity prices combined with tighter monetary policy could see recession risk increase substantially. Thus, deteriorated liquidity conditions could reduce the servicer’s performance on collections. Scope has recently reduced its growth projections for the Italian economy in 2022 from 4.5% to 4.1%.

      The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 17 December 2021; Non-Performing Loan ABS Methodology, 6 August 2021; Methodology for Counterparty Risk in Structured Finance, 13 July 2021) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
      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.

      © 2022 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin. 

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