Scope Ratings completed the monitoring review for Spring SPV S.r.l. on 8 June 2020. The review was conducted based on available payment information and investor and servicer reporting as of 31 March 2021 payment date. Credit ratings remain as follows:

Class A (ISIN IT0005413197), EUR 213,798,400 outstanding amount: BBBSF

Class B (ISIN IT0005413213), EUR 20,000,000 outstanding amount: not rated

Class J (ISIN IT0005413221), EUR 3,400,000 outstanding amount: not rated

Spring SPV S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 1,377 million by gross book value (GBV). Loans were originated by BPER Banca S.p.A., Banco di Sardegna S.p.A. and Cassa di Risparmio di Bra S.p.A., and are currently serviced by Prelios Credit Servicing S.p.A. The class A was rated on 18 Jun 2020 and the legal maturity is in September 2040. Scope does not rate class B and class J notes.

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, 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.

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 on www.scoperatings.com.

Key rating factors

As of 28 February 2021, aggregate gross collections were EUR 114.0m, which represents 121% of the original business plan expectations of EUR 94.2m. Around 52% of gross collections (EUR 59.3m) come from open debtors (i.e.: debtors for which the recovery process is still ongoing). Total available gross collections are split between judicial proceeds (44.7%) discounted pay-off proceeds (29.6%), credit sale proceeds (20.6%) and other types of collection (5.1%).

In terms of net collections (gross collections reduced by the amount of recovery expenses), aggregate net collections amount to EUR 112.2m, which represents 128% of the original net expectations.

Around 48% of gross collections (EUR 54.9m) come from closed debtors, whose GBV represents around 15% of the transaction’s initial GBV. Based on Scope’s analysis, gross profitability on closed debtors is slightly above the servicers’ expectation in the initial business plan, standing at 102%. Gross collections from closed debtors are split between credit sale proceeds (42.8%), DPO proceeds (33.2%), judicial proceeds (22.0%), and other types of collection (2.0%).

Interests on class B are subordinated to payment of class A principal if the net cumulative collection ratio falls below 95% of the servicers’ business plan target or the NPV profitability ratio falls below 95%. As per last investor report dated March 2021, no class B interest subordination occurred as the net cumulative collection ratio and the NPV profitability ratio stands at 128.3% and 102.4%, respectively.

All transaction counterparties continue to support the rating.

CREDIT-POSITIVE (+)

Cumulative collections. Observed cumulative net collections are 128% of the original servicer’s business plan expectations as of 28 February 2021, (i.e.: two collection periods since closing). The timing of collections has also outpaced Scope’s expectation at closing.

Closed debtors’ profitability. The gross profitability ratio for closed positions, at 102%, is slightly above the level in the initial business plan.

Increased credit enhancement. Around 33% of the class A notes’ notional has amortised. As a result, class A credit enhancement relative to the portfolio’s outstanding gross book value has increased to 80.9% from 76.8%.

CREDIT-NEGATIVE (-)

Italian economy. The Italian economy faces a weak economic growth rate 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.

Material portion of legal proceedings in initial stages. At closing, around 67% of the secured loans were in the initial legal phase or were yet to have proceedings initiated. This resulted in a longer expected time for collections than for loans in more advanced phases.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 14 December 2020; Non-Performing Loan ABS Methodology, 9 September 2020; 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 Leonardo Scavo, Senior Analyst

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.