Announcements
Drinks
Scope downgrades class A notes issued by Maggese S.r.l. - Italian NPL ABS
Rating action
Scope Ratings GmbH (Scope) has taken the following rating action on the instrument issued by Maggese S.r.l.:
Class A (ISIN IT0005340465), EUR 96.2m: downgraded to CSF from CCCSF
Class B (ISIN IT0005340473), EUR 24.4m: not rated
Class J (ISIN IT0005340481), EUR 11.4m: not rated
Transaction overview
The transaction is a static cash securitisation of an Italian non-performing loan (NPL) portfolio worth around EUR 700m by gross book value at closing. The loans were originated by Cassa di Risparmio di Asti S.p.A. (CR Asti) and Cassa di Risparmio di Biella e Vercelli - Biverbanca S.p.A. (Biverbanca) and are serviced by Prelios Credit Servicing S.p.A. The transaction closed on 26 July 2018 and the class A legal maturity is in July 2037.
The capital structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. Class A pays a floating rate indexed to six-month Euribor, plus a margin of 0.5%, while class B pays a floating rate indexed to six-month Euribor, plus a margin of 6.0%. Class J pays a variable return interest.
The transaction is currently serviced by Prelios Credit Servicing S.p.A. acting as master and special servicer. BNP Paribas SA serves as the account bank, Mediobanca S.p.A. act as interest rate cap counterparties, while CR Asti and Biverbanca act as limited recourse loan providers.
Relevant changes to the key transaction features
Relative to closing, the structure has materially weakened, as evidenced by a significant decline in the gross coverage ratio (computed as the quotient of expected recoveries and senior notes outstanding principal amount) from 169% to 43.8% at the B case. The servicer’s cumulative collection ratio is currently 49.3%, significantly below the 90% subordination threshold for mezzanine notes interest payment, indicating continued underperformance.
There have not been material changes to Scope’s assessment of counterparty risk.
Rating rationale
The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).
The downgrade is primarily driven by the low gross coverage ratio and the depletion of the cash reserve, which remains unreplenished. These factors materially increase the risk of interest payments shortfall on class A should collections continue to follow the trend observed in recent periods.
Weaker-than-expected collection timing relative to Scope’s original assumptions and higher-than-anticipated discounts on sold assets have contributed to the slow amortisation of class A notes and persistently low transaction profitability.
Key rating drivers
The key rating drivers remain aligned with those disclosed on the rating action release dated 21 February 2023, with the exception of liquidity coverage, which is no longer assessed as positive due to the liquidity reserve falling below its target level.
Key analytical assumptions:
-
Rating-conditional lifetime gross recovery rates.
- Rating-conditional recovery timing vectors.
The analytical assumptions incorporate the transaction’s historical performance and peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including (a) the servicer’s recovery strategies, (b) Scope’s macroeconomic expectations, and (c) the credit committee’s outlook for the asset class over the transaction’s remaining lifetime.
Updates to these assumptions and other parameters are provided under the section ‘Quantitative analysis’.
Key performance metrics1
As of the July 2025 payment date, aggregate gross collections totaled EUR 118.6 million, representing 50.6% of the original business plan expectations. The composition of collections reflects a heavy reliance on judicial proceeds (74.4%), followed by discounted pay-off proceeds (12.3%), credit sales proceeds (8.5%), and other sources (4.8%).
The senior notes have deleveraged by approximately 43.7%, performing significantly behind initial timing expectations.
Profitability continues to underperform relative to initial expectations. The average observed discount on property sales stands at around 63.2%. Furthermore, the profitability on secured closed positions is currently at 69.6% of original assumptions, reflecting weaker-than-expected asset performance and contributing to the transaction’s subdued cash flow generation.
Actual recovery expenses represent 8.7% of gross proceeds to date.
Key data sources
Scope’s review was based on servicer, investor and payment reporting as of July 2025 payment date. Scope also considered the macro-economic and NPL sector context reflected in Scope’s 2025 structured finance outlook.
Rating-change drivers
A change to the key quantitative assumptions based on observed performance or new data sources, significant changes to the key transaction´s features, and a change in Scope’s credit views regarding the key rating drivers could impact the ratings.
Sensitivity analysis
No sensitivity analysis was performed, as the rating is at the lowest level, reflecting a very high likelihood of default. The rating reflects a qualitative assessment of expected recoveries in the event of default.
Quantitative analysis
This section provides non-exhaustive list of relevant quantitative parameters, and how they compare to those applied at the initial rating assignment:
-
Lifetime recovery rate at B case is 22.9% (36% at closing) over a weighted average life of 5.0 years (3.9 years at closing).
-
Recovery expenses: 9% of expected gross recoveries (7% at closing).
- Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Methodology.
Rating driver references
1. Transaction reporting (Confidential)
Stress testing
Stress testing was performed by applying Credit-Rating-adjusted recovery rate assumptions.
Cash flow analysis
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Version 2.1 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.
Methodology
The methodologies used for this Credit Rating (Non-Performing Loan ABS Rating Methodology, 1 August 2025; Counterparty Risk Methodology, 30 June 2025; General Structured Finance Rating Methodology, 13 February 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Version 2.1), available in Scope Ratings’ list of models, published under scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): registers.esma.europa.eu/cerep-publication. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on scoperatings.com/governance-and-policies/rating-governance/methodologies.
Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating is based. Following that review, the Credit Rating was not amended before being issued.
Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead analyst: Leonardo Scavo, Associate Director
Person responsible for approval of the Credit Rating: Paula Lichtensztein, Senior Representative
The Credit Rating was first released by Scope Ratings on 26 July 2018. The Credit Rating was last updated on 21 February 2023.
Potential conflicts
See scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties.
Conditions of use/exclusion of liability
© 2025 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Innovation Lab 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. Public Ratings are generally accessible to the public. Subscription Ratings and Private Ratings are confidential and may not be shared with any unauthorised third party.