Scope completed the monitoring review for Amalia SPV S.r.l. on 21 December 2020:

Class M1 (ISIN IT0005395147), current outstanding balance EUR 132.9m: A-SF

Class M2 (ISIN IT0005395717), current outstanding balance EUR 19.4m: BBB+SF

Class M3 (ISIN IT0005395725), current outstanding balance EUR 19.4m: BBBSF

Class M4 (ISIN IT0005395865), current outstanding balance EUR 20.3m: not rated

Class J (ISIN IT0005395733), current outstanding balance EUR 50.7m: not rated

The tranches Class M4 and Class J remain unrated.

The outstanding instrument balances reflect the investor reporting as of October 2020. However, the reference portfolio review and our calculation of credit enhancement only considered the investor reporting up to July 2020. The October 2020 reporting lacks detailed reference portfolio performance information, despite indicating sound performance.

This monitoring note does not constitute a rating action nor indicates 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 on www.scoperatings.com.

Scope Ratings reviews its ratings either yearly, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations. Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodology/ies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

Transaction overview

Amalia SPV S.r.l. is a synthetic securitisation transaction of a static portfolio of Italian payroll-deductible (CQS) loans extended to borrowers in Italy and originated by BNL Finance S.p.A. (part of BNP Paribas group).

CQS loans are collateralised by the debtor’s salary or pension and, for private employees, by any accrued severance amount (Trattamento di Fine Rapporto). Instalments cannot exceed 20% of the borrower’s net monthly salary or pension for CQS loans and 50% for Delegazione di Pagameto (DP) loans.
The transaction closed 23 December 2019 and has its final maturity in October 2029.

Additionally, on 18 September 2020 the originator has delivered an early termination notice to the issuer due to a change of regulation. However, the early termination of the notes is on hold, pending certain clarifications requested by some noteholders.

The transaction structure comprises six tranches: the senior tranche, Classes M1 to M4, jointly the mezzanine tranches and the junior tranche. As of closing, the reference portfolio of the notes is worth EUR 1,778m and comprises CQS (97.2%) and DP (2.8%) loans extended to employees working for the public administration (10.5%), para-public administration (4.8%) and the private sector (1.5%) as well as pensioners (83.8%).

Key rating factors

Credit enhancement for the rated tranches increased above expectations, for Class M1 to 7.5% from 6.5%, for Class M2 to 6.2% from 5.4% and for Class M3 to 4.8% from 4.2%. The instruments benefitted from sound delinquency (30+days-past-due delinquencies at 0.18% of current balance) and default performance (0.35% of initial balance, including potential credit events) of the reference portfolio complemented with significant prepayments.

The increase in credit enhancement offsets the deteriorating credit quality of the Italian sovereign, as reflected in a change of rating outlook to BBB+/Negative Outlook, from BBB+/Stable Outlook.

CQS loans are generally less impacted by distressed macroeconomics, such as in the current COVID-19 environment, due to their significant protection scheme, from government-paid salaries and the insurance coverage. The increase in credit enhancement also reduces the sensitivity of the instruments compared to the sensitivity analysis results at closing.

Otherwise, the rating factors, rating drivers and rating-change drivers remain unchanged from closing for this transaction.

The methodologies applicable for the reviewed ratings ‘Consumer and Auto ABS Rating Methodology’ (4 March 2020), and the ‘Methodology for Counterparty Risk in Structured Finance’ (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 Sebastian Dietzsch, Director

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