Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for Relais SPV S.r.l. on 16 November 2021. The credit rating remains as follows:

Class A (ISIN IT0005429128), EUR 427,941,780: BBB_SF

Class B (ISIN IT0005429144), EUR 91,000,000: not rated

Class J (ISIN IT0005429151), EUR 10,000,000: not rated

Relais SPV S.r.l. is a static cash securitisation of an Italian non-performing lease portfolio worth around EUR 1,583m (at closing) by gross book value (as total gross claim amount). The portfolio was originated by Unicredit Leasing S.p.A. and serviced by doValue S.p.A. as special servicer and Italfondiario S.p.A. as master servicer. The transaction closed on 11 December 2020 and the legal maturity is July 2040. Scope does not rate the class B and J notes.

The review was conducted considering available servicer reports, payment reports and investor reports up to August 2021 payment date. This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

As of 2 August 2021, aggregate gross collections were EUR 73.0m, which is 100.8% of the original business plan gross expectations up to that date (EUR 72.4m). Total gross collections are split between sales and rent proceeds (36.9%), discounted payoff proceeds (3.3%), and other types of collections (59.8%).

Around 95% of gross collections come from open debtors (i.e. debtors for which the recovery process is still ongoing). The servicer has closed debtors for a total gross book value of 0.4% of the transaction’s initial gross book value.

The class A has amortised by 8% since the issuance date. No interest subordination event for the class B interests occurred, as the Net Cumulative Collection Ratio and the Net Present Value Cumulative Profitability Ratio stood at 134.3% and 134.9%, above the 90% threshold for the interest subordination event. Recovery expenses amounted to 15.4% of gross collections, which is higher than Scope’s recovery costs assumptions under class A analysis.

All transaction counterparties continue to support the rating.

CREDIT-POSITIVE (+)

Cumulative net collections timing. Aggregate net collections (net of recovery expenses) are EUR 61.7m and have outpaced Scope’s timing expectations under class A analysis.

Cumulative net collections against business plan. Aggregate net collections are higher than the original business plan net estimates by 34.3%.

CREDIT-NEGATIVE (-)

Italian economy. The Italian economy faced a weak economic growth rate in the first half of 2021 fuelled by the Covid-19 pandemic. Despite governmental support measures, increased collateral liquidity risk and weakened borrower liquidity positions could negatively affect the recovery prospects.

Property sales. The special servicer has sold 129 leased properties in the open market. Majority of these properties were commercial and industrial leased assets (41% and 46% of the total number of sold leased properties). Sale prices are on average significantly lower than the asset valuations available at the issuance date (-45.2% and -38.4% weighted average discounts). The resulting discount for commercial leased properties is higher than Scope’s original stresses used for the Class A analysis. Scope will continue to monitor property sales data.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, published on 14 December 2020; Non-Performing Loan ABS Methodology, published on 6 August 2021; Methodology for Counterparty Risk in Structured Finance, published on 13 July 2021) 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

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