Scope Ratings GmbH (“Scope”) reviews its ratings on an ongoing basis, and at least once a year.

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 methodologies, latest developments; or through targeted reviews on an individual rated transaction. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for Diana SPV S.r.l. transaction on 26 April 2021:

Class A (ISIN IT0005413155), EUR 169,351,489 outstanding amount: rated BBB_SF;

Class B (ISIN IT0005413163), EUR 35,000,000 outstanding amount: not rated;

Class J (ISIN IT0005413189 ), EUR 3,651,000 outstanding amount: not rated

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 rating in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Diana SPV S.r.l. is a static cash securitisation of a EUR 999.7m portfolio (at closing) of Italian non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by Banca Popolare di Sondrio S.C.p.A. The portfolio is serviced by Prelios Credit Servicing S.p.A. The transaction closed on 17 June 2020.

The review was based on available payment information and investor and servicer reporting as of 31 December 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.

Key rating factors

After one interest payment date, the transaction’s collections are above Scope’s original expectations for Class A analysis and above the business plan’s original forecasts, both at gross and net levels (i.e., net of recovery expenses).

Gross cumulative collections are 135.4% of Scope’s expectations and 21.0% of Scope’s expected lifetime collections considered for the class A analysis, while they represent 124% of the business plan’s gross expectations.

Net cumulative collections (i.e., net of recovery expenses) are 131.1% of Scope’s expectation for the class A analysis and 129.6% of the business plan’s net expectations.

Collections are mainly related to open debtors (i.e., debtors for which the recovery process is still ongoing). Cumulative gross collections from open debtors represent 83.1% of total proceeds. Most of the portfolio’s collections are not yet classified per recovery strategy (71.6%), while remaining are related to judicial proceeds (18.7%) and DPO proceeds (9.7%).

The net profitability ratio on closed debtors (as reported in the servicer report) is 112.05%.

No interest subordination event has occurred, since both the cumulative net collections ratio and the cumulative profitability ratio (129.6% and 102.3%, respectively) are above the 90% trigger level.

All transaction counterparties continue to support the rating.

CREDIT-POSITIVE (+)

Cumulative collections compared to Scope’s expectations. Observed collections are outperforming Scope’s original expectations for the class A analysis, being 139.1% of Scope’s expectations on a net cumulative basis (i.e., net of legal expenses and servicing fees).

Credit enhancement. The credit enhancement for class A note has increased to 80.7% from 76.5%, since closing.

CREDIT-NEGATIVE (-)

Italian economy. The Italian economy faces a deep recession in the first half of 2021 fueled by the Covid-19 pandemic. Despite governmental support measures, increased collateral liquidity risk and weakened borrower liquidity positions could negatively affect the recovery prospects.

Profitability on resolved borrowers. Closed borrowers represent 2.4% of the portfolio GBV as of the closing date. Gross profitability on closed borrowers (i.e., the ratio between gross collections and gross forecast) stands at 99.8% versus the business plan and at 92.4% versus Scope’s assumptions for Class A analysis. If this continues, total lifetime recoveries might fall below Scope’s forecasts under the Class A analysis.

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, General Structured Finance Rating Methodology, published on 14 December 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

Potential conflicts*
Please see www.scoperatings.com for a list of potential conflicts of interest related to the issuance of credit ratings. A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, a related third party to this transaction. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.

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*Editor's note: The 'Potential Conflicts' section was added on 28 September 2021.