The current ratings on the class A are available here.

Juno 2 is a static cash securitisation of a EUR 968m portfolio (as of closing) of non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by Banca Nazionale del Lavoro S.p.A. (BNL). The transaction closed on 8 February 2019.

The cumulative collection ratio stands at 131.3% of the business plan through the second interest payment date (31 January 2020). The profitability ratio is 100.3% through the same period. The profitability ratio is currently under verification since there is a disagreement between the servicer and the monitoring agent on the reference date to be used for the calculation of the same. Scope’s review was based on available payment information, investor reports and servicer reports as of January 2020.

Aggregate gross collections since the cut-off date are EUR 55.3m – 91.3% of which is from open debtors (i.e., debtors for which the recovery process is still ongoing). This figure represents about 15.2% of Scope’s expected lifetime collections considered for the analysis of the class A notes. The amount and timing of collections are above Scope’s expectations assumed at closing.

The composition of gross proceeds are judicial proceeds (81.3%), DPO proceeds (18.6%) and indemnification proceeds (0.1%). Collections sources for closed positions were DPO proceeds (72.3%) and judicial proceeds (27.7%).

No interest subordination event has occurred, since both the cumulative collections ratio and the cumulative profitability ratio (131.3% and 100.3%, respectively) are above the 85% trigger level.

The transaction is exposed to i) Prelios Credit Servicing S.p.A. as servicer; ii) Securitisation Services S.p.A. as back-up servicer, monitoring agent, noteholders’ representative, calculation agent and corporate servicer; iii) BNP Paribas Securities Services as account bank, paying agent, cash manager and agent bank; and iv) BNP Paribas as the interest rate cap provider. All counterparties continue to be supportive for the rating.

Scope will continue to monitor Juno 2 S.r.l. on an ongoing basis.

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