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 Titan SPV S.r.l. on 15 December 2021. The credit rating remains as follows:

Class A (ISIN IT0005432049), EUR 83,035,403: BBB_SF

Class B (ISIN IT0005432056), EUR 15,000,000: not rated

Class J (ISIN IT0005432064), EUR 10,070,000: not rated

Titan SPV S.r.l. is a static cash securitisation of an Italian non-performing lease portfolio worth around EUR 335m (at closing) by gross book value (GBV). The portfolio was originated by Alba Leasing S.p.A. (57% of GBV), Release S.p.A. (26% of GBV) and Banco BPM S.p.A. (17% of GBV). The pool is serviced by Prelios Credit Servicing S.p.A. as special and master servicer. The transaction closed on 28 December 2020 and the legal maturity is January 2041. 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 the July 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 30 July 2021, aggregate gross collections were EUR 14.1m, which is 102.6% of the original business plan gross expectations up to that date (EUR 13.8m). Most of the total gross collections are not yet classified per recovery strategy (84.2%), while remainder is split between sales proceeds (15.2%) and rent proceeds (0.6%).

Around 96.8% 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 1.7% 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 131.5% and 938.8%, above the 90% threshold for the interest subordination event. Recovery expenses amounted to 7.2%% of gross collections, which is below 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 13.1m and have outpaced Scope’s timing expectations under class A analysis.

Cumulative net collections above business plan. Aggregate net collections are higher than the original business plan net estimates by 31.5%.

CREDIT-NEGATIVE (-)

Indemnities. A material share of indemnity proceeds is a warning signal regarding the lack of accuracy in portfolio information. In July, the issuer was indemnified for ca. EUR 1.4mn, which represents about 10% of the collections registered up to June. The indemnity amount received by the issuer is 17% below Scope expected recoveries on the relevant receivables and under the class A analysis.

Closed borrowers. The special servicer has closed a few borrowers (six) since closing. Total collections received from the closed positions are lower than Scope’s projections under class A analysis and lower than business plan projections (total collections are 13.9% and 13.6% of the expected Scope and business plan projections, respectively). Scope will continue to monitor performance on closed borrowers.

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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