The current rating on the transaction is available here.

Maggese S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) that were extended to companies and individuals in Italy. The loans were originated by Cassa di Risparmio di Asti S.p.A. and Cassa di Risparmio di Biella e Vercelli - Biverbanca S.p.A. The transaction closed on 26 July 2018.

The transaction exhibits a good performance with a profitability ratio of 136% and a cumulative collection ratio of 108%. Scope’s review was based on available payment information and investor and servicer reporting as of 31 January 2019.

Aggregate gross collections since the cut-off date have amounted to EUR 13.6m (of which 99% relate to open debtors, i.e. debtors for which the recovery process was ongoing). This figure represents around 5% of Scope’s expected lifetime collections considered for the analysis of the class A notes. The amount and timing of collections have so far outpaced Scope’s expectations.

The reported net profitability on fully resolved debtors (i.e. positions for which the recovery procedure was accomplished) was above the servicer’s expectation. However, a very limited number of borrowers have been closed so far.

Cumulative collections have fallen behind the business plan forecast at closing date in terms of gross values but outperform it in terms of net collections after all fees (respectively 91% and 110%). However, around half of the actual collections (47%) are ad-interim (collections from the cut-off date until the transaction’s closing date; owned by the SPV) and cash-in-court proceedings.

Open debtors present collections related to cash-in-court and ad-interim proceeds for 48%; 51% derive from judicial procedures (i.e. foreclosure and bankruptcy procedures), whilst the remaining 1% mostly relates to DPOs (discounted payoff procedures). Fully resolved debtors only present collections from DPOs.

Regarding auctions, realised assets have been sold at prices in line with the last auctions’ base prices (weighted average of 99%).

No interest subordination event has occurred, since both the cumulative collections ratio and the NPV cumulative profitability ratio (108% and 146%, respectively) are above the trigger level of 90%.

The transaction is exposed to i) BNP Paribas Securities Services, Milan Branch (whose parent company, BNP Paribas SA, is rated AA-/S-1+ by Scope) as the issuer’s transaction bank, agent bank, and paying agent; ii) KPMG Fides Servizi di Amministrazione S.p.A. as the corporate services provider, computation agent, and noteholders’ representative; iii) Securitisation Services S.p.A. as the back-up servicer facilitator and monitoring agent; iv) Mediobanca – Banca di Credito Finanziario S.p.A. as the cap counterparty; and v) Prelios Credit Servicing S.p.A. as the servicer. Counterparty risk has not changed materially.

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

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