20 December 2019 Structured Finance Marathon SPV S.r.l. MarathonItalian SPV Non- PerformingS.r.l. Loan ABS Italian Non-Performing Loan ABS Ratings Analytical Team Size % of % of Final Tranche Rating Coupon (EUR m) notes GBV1 maturity Rossella Ghidoni Class A BBB+SF 286.5 85.0% 5.7% 1.8% Oct-34 +39 02 94 758746 Class B BB SF 33.7 10.0% 0.7% 8.0% Oct-34
[email protected] Class J NR 16.9 5.0% 0.3% 15% + variable return2 Oct-34 David Bergman Rated notes 320.2 95.0% 6.4% Scope’s Structured Finance Ratings constitute an opinion about relative credit risks and reflect the expected +39 02 9475 8940 loss associated with the payments contractually promised by an instrument on a particular payment date or by
[email protected] its legal maturity. See Scope’s website for the SF Rating Definitions. 1 Gross book value (GBV) of the securitised portfolio at closing (EUR 5,027m). 2 Up to the target IRR of 15% calculated on an Actual/360 basis. Paula Lichtensztein +49 30 2789 1224 Transaction details
[email protected] Purpose Capital relief – prudential derecognition Issuer Marathon SPV S.r.l. Originator Hoist Finance AB (publ) Original lenders 17 financial institutions as original lenders1 Sellers Marte SPV S.r.l. and Pinzolo SPV S.r.l. Securitisation Services S.p.A. as master servicer, Hoist Servicer Italia S.r.l. as special servicer Related Research Portfolio cut-off date 30 September 2019 Non-Performing Loan ABS Portfolio economic effective dates 28 February 2019 and 30 September 2019 Rating Methodology, Issuance date 5 December 2019 September 2019 Payment frequency Quarterly (January, April, July and October) General Structured Finance Arrangers Deutsche Bank AG, London Branch and UBS Europe SE Rating Methodology, December 2018 The transaction represents the first static cash securitisation of a fully unsecured Italian non- performing loan (NPL) portfolio; peer transactions have always been composed of both secured Methodology for Counterparty and unsecured exposures.