Scope completed a monitoring review of Futura 2019 S.r.l. transaction:

Class A (ISIN IT0005395402), current outstanding balance EUR 136.3m: BBB_SF;

Class B (ISIN IT0005395410), current outstanding balance EUR 37m: not rated;

Class J (ISIN IT0005395428), current outstanding balance EUR 8m: not rated

Futura 2019 S.r.l. is a static cash securitisation of a EUR 1.3bn portfolio (at closing) of Italian non-performing loans originated by 53 banks and serviced by Guber Banca S.p.A.. The transaction was closed on 16 December 2019.

The review took place on 4 December 2020 and was based on available payment information and investor and servicer reporting as of 31 July 2020, covering one interest payment date since closing. The review resulted in no action on Class A rating. Scope does not rate Class B or Class J. This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found at www.scoperatings.com.

Key rating factors

The transaction exhibits collections that are above Scope original expectations for class A analysis and above business plan original forecasts, at gross level.

Aggregate gross collections since the cut-off date, available to the structure, amount to EUR 30.4m (of which 48% related to open debtors, i.e., debtors for which the recovery process is still ongoing). This figure represents about 12% of Scope’s expected lifetime collections considered for the analysis of the class A notes.

The reported net profitability on fully resolved debtors (i.e., positions for which the recovery procedure was closed) is above initial business plan’s projections, standing at 120%. Profitability is below Scope’s base case (B-rating scenario) and Class A expectations. However, given that resolved borrowers are still a limited portion of transaction’s total borrowers (8.2%), the impact of the profitability on these positions is currently not material for the transaction. Scope will closely monitor the evolution of resolved borrowers’ profitability over time.

CREDIT-POSITIVE (+)

Transaction performance: Transaction performance is above Scope original expectations for class A analysis, with gross collections being above 200% of Scope gross expectations. With respect to the original business plan, observed collections are 170% of the original servicer’s projections at gross level, as of 31 July 2020 (i.e. one collection period since closing).

Credit Enhancement: The credit enhancement for class A note has increased since closing, to 89% from 87%, as of the first interest payment date.

CREDIT-NEGATIVE (-)

Italian economy: The Italian economy faces a deep recession fuelled by the Covid-19 pandemic and the recent November lock-down. Despite government support measures, increased collateral liquidity risk and weakened borrower liquidity conditions negatively affect recovery prospects.

Recovery expenses: Observed recovery expenses amount to 11.9% of cumulative gross collections, this ratio is the highest among peer transactions rated by Scope.

The methodologies applicable for the reviewed rating (Non-Performing Loan ABS Rating Methodology, published on 9 September 2020, Methodology for Counterparty Risk in Structured Finance, published on 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Rossella Ghidoni, Associate Director

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