Scope Ratings has today announced that the amendment of the class B interest subordination event definition, in alignment with the 2019-updated GACS Scheme¹, will not, in and of itself, result in a change or withdrawal of the current ratings of the class A and class B notes.

Scope’s announcement addresses the credit impact associated with the amendment, as described below and as documented between the involved counterparties in the context of a master amendment agreement² (the “amendment”).

The amendment regards the definition of the interest subordination mechanism and the levels for class B interests’ deferral, based on the cumulative net collection ratio (the “ratio”).

Following the execution of the amendment, the interest subordination event is based on the occurrence, among the others, of the following event “the Cumulative Net Collection Ratio (as indicated in the immediately preceding Semi-annual Servicing Report on the immediately preceding Semi-Annual Servicing Report Date) is lower than 90%”.

Following the amendment’s execution³, when the ratio is lower than 90%, class B interests’ will be deferred and payable junior to class A full repayment. If the value of the ratio returns between 90% and 100% in a subsequent payment date, class B interest accrued on that particular payment date will be payable senior to class A principal repayment. The previous version of the documents established that, once the ratio had fallen below 90%, class B interests were deferred when the ratio was between 90% and 100% as well. 

This publication does not constitute a credit rating action. For the official credit rating action release click here.

Click here to access the full rating report.
 

1 Italian law decree No. 18 of 14 February 2016 converted into law No. 49 of 8 April 2016, subsequently amended and supplemented under Italian law decree No. 22 of 25 March 2019, converted into Italian law No. 41 of 20 May 2019.

2 Transaction’s counterparties have signed (on 28 October 2019) a Master Amendment Agreement. The noteholder has given its authorization and relevant empowering to the representative of noteholders to give its consent to the issuer for the execution of the written resolution, in order to give effect to and implement such modifications. The amendment modifies the terms and conditions of the notes attached to the intercreditor agreement and the notes subscription agreement and certain provisions of the notes subscription agreement. The prospectus has been amended accordingly. 

3 With reference to one of the three conditions responsible for the occurrence of the interest subordination event.