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 methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for Marathon SPV S.r.l. on 24 November 2021. The credit ratings remain as follows:

Class A (ISIN IT0005394454), EUR 136.4m outstanding: BBB+_SF

Class A (ISIN IT0005394462), EUR 16.4m outstanding: BB_SF

Class J (ISIN IT0005394751), EUR 16.8m outstanding: not rated

The review was conducted based on available servicer reports, payment reports and investor reports through the 30 September 2021 cut-off 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.

Marathon SPV S.r.l. is a static cash securitisation of a purely unsecured EUR 5,027m portfolio (at closing) of Italian non-performing loans. The portfolio was originally acquired by Hoist Finance Group, through two special purpose vehicles (Marte SPV S.r.l. and Pinzolo SPV S.r.l.) from 17 financial institutions (the original lenders) and was transferred to Marathon SPV S.r.l. The transaction closed on 5 December 2019 and has a final maturity of 31 October 2034.

Key rating factors

Scope’s Cash Flow Model results continue to support the assigned ratings even though the pace of collections has been slowing relative to Scope’s expectation since closing. The portfolio has generated aggregate gross collections of EUR 216.3m, which is 102.9% of the original business plan’s expectations and 98.2% of Scope’s baseline scenario. Gross collections as a share of Scope’s lifetime expected collections is up to 38.0% from 22.6% year-over-year. Recovery expenses are 8.8% of gross collections, which is essentially in line with Scope’s assumption of 9.0%.

52.4% and 51.1% of the class A and class B notional balances have been repaid, respectively. The class B notional balance will continue amortising unless the Cumulative Collection Ratio drops below 95.0% of the original business plan. No Class B interest subordination triggers or servicer underperformance events have been breached to date. The cash reserve is fully funded at 3.0% of the class A’s outstanding balance. All transaction counterparties continue to support the ratings.

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) 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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