MPS has completed the largest securitization of non-performing loans in Europe, 24,1 billion euro, obtaining an investment grade rating for the senior tranche. An operation that is part of the Bmps restructuring plan announced on 5 July 2017, explains the group, underlining that "the process of disposing of non-performing loans is in fact proceeding in line with the expected timescales".
In detail, the vehicle that purchased the non-performing loan portfolio issued the following securities (ABS – Asset-Backed Securities):
– Senior notes amounting to €2.918 million, which have been assigned an A3/BBB+/BBB rating respectively by Moody's Investors Service, Scope Ratings GmbH and DBRS Ratings Limited. The shares, which will be assisted by Gacs, will initially be held by Bmps, which will subsequently evaluate the sale of a share on the market. The tranching of the senior Investment Grade notes is higher than the expectations of the Restructuring Plan, which envisaged a class of Non Investment Grade notes equal to approximately 500 million, which will therefore not be issued.
– Mezzanine securities amounting to €847,6 million, unrated and already sold on 22 December 2017 to the Italian Recovery Fund managed by Quaestio Capital.
– Junior notes of approximately 565 million, not equipped with a rating, which will be sold to the Italian Recovery Fund managed by Quaestio Capital once the Gacs guarantees have been obtained on the senior notes.
The go-ahead from the State for the Gacs guarantees on senior notes should arrive in the coming weeks, while the deconsolidation of the non-performing portfolio is expected by 30 June 2018, after the sale of the junior notes to the Italian Recovery Fund managed by Quaestio Capital. "The economic impacts of the securitization were fully included in the half-yearly report as at 30 June 2017", MPS points out.
The senior notes "will have a coupon of 3ME + 1,5%, incorporating in the structure the premium due to the MEF for the guarantee granted on the notes themselves".
