Scope Ratings completed the monitoring review for Juno 1 S.r.l. on 22 June 2021. The review was conducted based on available payment information and investor and servicer reporting as of 31 January 2021 payment date. Credit ratings remain as follows:

Class A (ISIN IT0005340614), EUR 78.0m outstanding amount: BBB+_SF

Class B (ISIN IT0005340622), EUR 26.0m outstanding amount: not rated

Class J (ISIN IT0005340630), EUR 1.9m outstanding amount: not rated

Juno 1 S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 1,112 million by gross book value (GBV). Loans were originated by Banca Nazionale del Lavoro S.p.A. and are currently serviced by Prelios Credit Servicing S.p.A. The class A was first rated on 3 August 2018 and the legal maturity is in July 2038. Scope does not rate class B and class J notes.

Scope Ratings reviews its ratings either yearly, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations. Monitoring reviews are unrelated to the calendar that outlines public finance rating actions. 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 31 December 2020, aggregate gross collections were EUR 77.5m, which represents 125% of the original business plan expectations of EUR 62.2m. Around 55% of gross collections (EUR 42.5m) come from open debtors (i.e.: debtors for which the recovery process is still ongoing). Total available gross collections are split between judicial proceeds (63%), discounted pay-off proceeds (22%), credit sale proceeds (9%) and other types of collection (6%).

In terms of net collections (gross collections reduced by the amount of recovery expenses), aggregate net collections amount to EUR 75.6m, which represents 130% of the original net expectations.

Around 45% of gross collections (EUR 35.0m) come from closed debtors, whose GBV represents around 8% of the transaction’s initial GBV. The gross profitability on closed debtors is slightly above the servicers’ expectation in the initial business plan, standing at 101%. Gross collections from closed debtors are split between judicial proceeds (34.0%), DPO proceeds (33%), credit sale proceeds (20%), and other types of collection (13%).

Interests on class B are subordinated to payment of class A principal if the gross cumulative collection ratio falls below 85% of the servicer’s business plan target or the NPV profitability ratio falls below 85%. As per last investor report dated January 2021, no class B interest subordination occurred as the gross cumulative collection ratio and the NPV profitability ratio stands at 124.7% and 114.5%, respectively.

All transaction counterparties continue to support the rating.

CREDIT-POSITIVE (+)

Cumulative collections. Observed cumulative gross collections are 125% of the original servicer’s business plan expectations as of 31 December 2020, (i.e.: five collection periods since closing). The timing of collections has also outpaced Scope’s expectation under class A analysis, as of closing.

Increased credit enhancement. Around 43% 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 92.0% from 87.8%.

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.

Concentrated portfolio. The 10 and 100 largest debtor exposures respectively account for 13.3% and 49.1% of the portfolio’s outstanding gross book value (EUR 971.6m). This concentration in the portfolio is very high compared to peer transactions rated by Scope, exposing the transaction to idiosyncratic risks.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, published on 14 December 2020, Non-Performing Loan ABS 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, Director

© 2021 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.