The current rating on the notes is available here.

Juno 1 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 Banca Nazionale del Lavoro S.p.A.. The transaction was closed on 26 July 2018.

The transaction exhibits a good performance with a cumulative collection ratio of 294%. 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 21.7m (of which 58% related to open debtors, i.e., debtors for which the recovery process was ongoing). This figure represents about 9.3% 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 limited number of borrowers have been closed so far.

Cumulative collections have outperformed the business plan forecast at closing date in terms of gross values and net values after all fees (294% and 393%, respectively calculated as the ratio between actual collections and business plan’s forecasted collections). However, almost half of the actual gross collections (44%) are ad-interim collections (i.e., collections from the cut-off date until the transaction’s closing date, owned by the SPV), cash-in-court proceedings and indemnities or givebacks.

Sources of collections from open positions were cash-in-court and ad-interim proceeds (38%), judicial procedures (60%), and a residual 2% of discounted payoffs (DPOs). Main sources of collections from closed positions were collections from DPOs (45%) and from indemnities or givebacks (49%).

Regarding auctions, realised assets have been sold at prices slightly below the last auctions’ base prices (weighted average of 87%).

No interest subordination event has occurred, since both the cumulative collections ratio and the NPV cumulative profitability ratio (293.7% and 94.8%, respectively) are above the trigger level of 85%. However, a servicer fee subordination event has occurred.

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 account bank, agent bank, cash manager and principal paying agent; ii) Securitisation Services S.p.A. as the back-up servicer, representative of the noteholders, corporate services provider and monitoring agent; iii) BNP Paribas SA as the cap counterparty; and iv) Prelios Credit Servicing S.p.A. as the servicer. Counterparty risk has not changed materially.

Scope will continue to monitor Juno 1 S.r.l. on an ongoing basis.

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