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 Sirio NPL S.r.l. on 13 December 2021. The credit rating remains as follows:

Class A (ISIN IT0005431074), EUR 220.9m outstanding: BBB_SF

Class A (ISIN IT0005431116), EUR 35.0m outstanding: not rated

Class J (ISIN IT0005431124), EUR 9.8m outstanding: not rated

The review was conducted based on available servicer reports, payment reports and investor reports reflecting performance through the 31 August 2021 cut-off date (30 September 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.

Sirio NPL S.r.l. is a static cash securitisation of a EUR 1,108m portfolio (EUR 1,228m at closing) of Italian non-performing loans. The portfolio was originated by Unione di Banche Italiane S.p.A. and is serviced by Prelios Credit Servicing S.p.A. The transaction closed on 16 December 2020 and has a final maturity of 30 September 2038.

Key rating factors

Scope’s Cash Flow Model results continue to support the assigned rating. The pace of collections has been robust since closing. The portfolio has generated aggregate gross collections of EUR 78.6m, which is 168.6% of the original business plan’s expectations and 183.6% of Scope’s baseline scenario at closing. Gross collections are 16.6% of Scope’s lifetime expected collections. Recovery expenses are 4.8% of gross collections, which is below Scope’s assumption of 9.0%.

Profitability on 637 closed borrowers is 101.8% of our baseline scenario at closing and 101.4% of the business plan’s expectation. The reported NPV Cumulative Profitability Ratio is 153.4%, which is driven by a segment of closed borrowers that were closed much earlier relative to expectations in the business plan.

23.8% of the class A notional balance has been repaid. No class B interest subordination triggers or servicer underperformance events have been breached and the cash reserve is fully funded at 4.0% of class A’s outstanding balance. All transaction counterparties continue to support the rating.

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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