The current ratings on the class A are available here.

Leviticus SPV S.r.l. is a static cash securitisation of a EUR 7,385m portfolio (as of closing) of non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by Banco BPM S.p.A. The transaction closed on 6 February 2019.

The cumulative collection ratio stands at 98% of the business plan through the second interest payment date (31 January 2020). The profitability ratio is 104 % through the same period. The profitability ratio is pending confirmation due to the actual status of some debt relationships which were closed by the seller at the end of the interim period, which should likely be considered as not exhausted debt relationships according to the servicer. However, the reported profitability ratio excludes those exhausted debts relationships. Since the actual recoveries from those borrowers are zero, a consideration of those borrowers as closed and inclusion in the calculation would decrease the profitability ratio. Scope’s review was based on available payment information, investor reports and servicer reports as of January 2019.

Aggregate gross collections since the cut-off date are EUR 352.4m – 26.9% of which is from open debtors (i.e., debtors for which the recovery process is still ongoing). This figure represents about 15.3% of Scope’s expected lifetime collections considered for the analysis of the class A notes. The amount and timing of collections are above Scope’s expectations assumed at closing.

The composition of gross proceeds are ad-interim collections (44.1%), judicial proceeds (27.3%), DPO proceeds (24.5%) and notesales (4.1%). Collections sources for closed positions were ad-interim collections (57.4%), DPO proceeds (21.3%), judicial proceeds (16.2%) and notesales (5.1%).

No interest subordination event has occurred, since both the cumulative collections ratio and the cumulative profitability ratio (98% and 104%, respectively) are well above the 70% trigger level.

The transaction is exposed to i) Credito Fondiario S.p.A. as master servicer, special servicer, corporate services provider, cash manager, paying agent and calculation agent; ii) Intesa Sanpaolo S.p.A. as account bank and payment account holder; iii) Zenith Service S.p.A. as back-up servicer, monitoring agent and noteholders’ representative; and iv) Crèdit Agricole Corporate and Investment Bank S.A. and Banco Santander S.A. as the interest rate cap providers.. All counterparties continue to be supportive for the rating.

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

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