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UniCredit successfully completed the transfer of €4.1bn GBV of an NPL Residential Mortgage Portfolio to PRISMA SPV

As part of its program to accelerate the non-core portfolio run-down, UniCredit S.p.A. ("UniCredit") successfully completed the transfer of €4.1bn Gross Book Value(€6.1bn claims) of an NPL Residential Mortgage Portfolio to a securitisation vehicle (PRISMA SPV SrL "PRISMA") with the transaction ("Securitisation") structured by UniCredit Bank AG as Sole Arranger.

PRISMA issued three classes of notes: €1.21bn senior note, €80 mm mezzanine note and €30 mm junior note. The senior and the mezzanine notes are rated by Moody's (Baa1 and B3 respectively) and by Scope (BBB+ and B- respectively).

The Securitisation has been structured for complying with the new GACS law issued on March 25th, 2019 and the senior note aims at obtaining the GACS guarantee (Garanzia sulle Cartolarizzazioni delle Sofferenze).

UniCredit has just entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not belonging to UniCredit Group, while retaining the 5% required by regulation as originator net economic interest in PRISMA.

Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Securitisation Services S.p.A. (Banca Finint Group) covers the roles of Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator.

UniCredit Bank AG and JPMorgan acted as Placement Agents of the mezzanine and junior notes and the latter acts also as Settlement Agent. UniCredit Bank AG covers also the roles of swap counterparty and liquidity line provider for PRISMA.

UniCredit has notified the ECB of its intention to recognize "Significant Risk Transfer" as of December 31st, 2019 in connection with the sale.


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