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.

Scope completed the monitoring review for Elrond NPL 2017 S.r.l. on 12 July 2021. The credit ratings remain as follows:

Class A (ISIN IT0005275356), EUR 278.7m: B+_SF

Class B (ISIN IT0005275364), EUR 42.5m: CCC_SF

Class J (ISIN IT0005275372), EUR 20.0m: not rated

The review was conducted based on available servicer reports, payment reports and investor reports through the 29 January 2021 payment date, as well as monthly servicer reports through the 30 April 2021 cut-off date. 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.

Elrond NPL 2017 S.r.l. is a static cash securitisation of a EUR 1.4bn portfolio (at closing) of Italian non-performing loans originated by Cassa di Risparmio di Orvieto S.p.A. and Credito Valtellinese S.p.A., and serviced by Cerved Credit Management S.p.A. The transaction closed on 14 July 2017 and the legal maturity is 31 July 2040. Scope does not rate the class J notes.

Key rating factors

As of 31 December 2020, aggregate gross collections were EUR 257.1m, which is 67.5% of the original business plan expectations up to that date. Cumulative collections are still above of Scope’s updated ‘B’ case assumptions, which were updated at our previous monitoring in July 2020. Recovery expenses amount to 15.4% of gross collections (including servicing fees). Collections are split between judicial proceeds (65.1%), discounted payoff proceeds (24.3%), confidi (5.9%) and other types of collections (4.7%).

Closed borrowers account for 22.7% of gross collections. The 456 closed borrowers’ gross book value (GBV) represented 8.2% of the transaction’s closing GBV. The reported 134.5% Present Value Cumulative Profitability Ratio is well above expectations from the original business plan. Closed borrower profitability is 107.5% of Scope’s updated ‘B’ case.

There is no class B interest subordination trigger in this transaction. However, a servicer fee haircut is applied if the Cumulative Gross Collection Ratio or the Present Value Cumulative Profitability Ratio fall below 100%. Gross collections have been below 100% since the first interest payment date.

All transaction counterparties continue to support the ratings.

The methodologies applicable for the reviewed ratings (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 Thomas Miller-Jones, Associate Director

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