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 Riviera NPL S.r.l. on 3 December 2021. The credit ratings remain as follows:

Class A (ISIN IT0005356040), EUR 115,299,381: BB+_SF

Class B (ISIN IT0005356057), EUR 30,000,000: CCC_SF

Class J (ISIN IT0005356065), EUR 10,000,000: not rated

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

Riviera NPL S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) extended to companies and individuals in Italy with an original gross book value (GBV) of EUR 963.3m. The portfolio is serviced by Italfondiario S.p.A. as special servicer and Gardant S.p.A. (successor of Credito Fondiario S.p.A.) as master and special servicer. The transaction closed on 17 December 2018, with its legal maturity falling in July 2036.

As of 30 June 2021, aggregate gross collections were EUR 81.3m, which is 35.5% below the original business plan’s expectations up to that date. The sources of total gross collections are split between discounted pay-off (‘DPO’) proceeds (36.5%), judicial proceeds (33.4%), notesales (25.6%), and other sources of collections (4.5%). Closed borrowers (i.e. borrowers for which the recovery process has fully concluded) represent 42.6% of gross collections.

34.1% of the Class A notional balance has amortised since closing. As a result, the Class A notes’ outstanding balance relative to outstanding GBV has decreased to 14.0% from 18.2% at closing.

CREDIT-POSITIVE (+)

Senior notes’ liquidity protection: a cash reserve provides liquidity protection to senior noteholders, covering senior fees and interest on class A notes. It currently stands at its current target level of EUR 5.0m (4.0% of class A notes’ principal amount as of the January 2021 payment date).

Lower than expected recovery costs: recovery expenses have been 63.2% lower than the servicer’s expectations.

CREDIT-NEGATIVE (-)

Cumulative collections against business plan: aggregate gross collections are 35.5% below the original business plan’s estimate.

Underperformance on closed positions: as of the latest reporting date, profitability on closed borrowers (that represent 12.2% of the portfolio’s total GBV as of closing) is 62.9% relative to Scope’s original B scenario.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 14 December 2020; Non-Performing Loan ABS Methodology, 6 August 2021; Methodology for Counterparty Risk in Structured Finance, 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: Adam Plajner, Senior Analyst

© 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.