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 Summer SPV S.r.l. on 22 December 2021. Credit ratings remain as follows:

Class A (ISIN IT0005432445), EUR 71,194,189 outstanding amount: BBB_SF

Class B (ISIN IT0005432452), EUR 10,000,000 outstanding amount: not rated

Class J (ISIN IT0005432460), EUR 1,000,000 outstanding amount: not rated

Summer SPV S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 322 million by gross book value (GBV). The portfolio was originated by BPER Banca S.p.A and Banco di Sardegna S.p.A., with Fire S.p.A. performing the role of special servicer and Banca Finanziaria Internazionale S.p.A. the role of master servicer. The transaction closed on 30 December 2020.

The review was conducted based on available payment information and investor and servicer reporting as of 31 October 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 September 2021, aggregate gross collections were EUR 18.1m, which represents 316% of the original business plan expectations of EUR 5.7m. Around 45.2% of gross collections (EUR 8.2m) come from open debtors (i.e.: debtors for which the recovery process is still ongoing). Total available gross collections are split between discounted pay-off proceeds (88.9%) and judicial proceeds (11.1%).

In terms of net collections (gross collections reduced by the amount of recovery expenses), aggregate net collections amount to EUR 17.4m, which represents 304.4% of the servicer’s original net expectations.

Around 54.8% of gross collections (EUR 9.9m) come from closed debtors, whose GBV represents around 4.7% of the transaction’s initial GBV. Based on Scope’s analysis, gross profitability on closed debtors is around 3% above the servicers’ expectation in the initial business plan. Gross collections from closed debtors are split between DPO proceeds (81.5%) and judicial proceeds (18.5%).

As per last investor report dated October 2021, no class B interest subordination occurred. Interests on class B are subordinated to payment of class A principal if the net cumulative collection ratio falls below 90% of the servicers’ business plan target or the NPV profitability ratio falls below 90%. The net cumulative collection ratio and the NPV profitability ratio stands at 304.4% and 127.7%, respectively.

All transaction counterparties continue to support the ratings.

CREDIT-POSITIVE (+)

Cumulative collections compared to Scope’s expectations. The pace of gross collections has been significantly faster than what expected by Scope at closing and 216% above business plan projections.

Closed debtors’ profitability by Scope. The gross profitability ratio for closed positions (calculated as the ratio between actual collections and Scope original lifetime projections) is aligned with Scope’s B scenario assumptions and 4% higher than Scope’s expectations under the class A analysis.

CREDIT-NEGATIVE (-)

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

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, published on 17 December 2021, 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 Leonardo Scavo, Senior Analyst

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