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 Leviticus SPV S.r.l. on 30 December 2021. The credit rating remains as follows:

Class A (ISIN IT0005360158), EUR 938.7m outstanding: BBB-_SF

Class A (ISIN IT0005360174), EUR 221.5m outstanding: not rated

Class J (ISIN IT0005360182), EUR 248.8m outstanding: not rated

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

Leviticus SPV S.r.l. is a static cash securitisation of a EUR 7,385m portfolio (as of closing) of Italian non-performing loans. The portfolio was originated by Banco BPM S.p.A. and is serviced by Gardant S.p.A. (formerly known as Credito Fondiario S.p.A.). The transaction closed on 6 February 2019 and has a final maturity in July 2040.

Key rating factors

The pace and profitability of collections has not varied significantly since Scope’s previous performance review, conducted in February 2021.

The portfolio has generated aggregate gross collections of EUR 688.4m through the first five payment dates, which is 162.9% of Scope’s baseline expectation. Gross collections are 26.0% of Scope’s lifetime expected collections. Recovery expenses are approximately 3.5% of gross collections since closing, which is below Scope’s assumption of 9.0%. Profitability on closed borrowers is roughly 87.1% of our baseline scenario at closing.

34.8% of the class A notional balance has been repaid. No class B interest subordination trigger has been breached since closing and the cash reserve is fully funded at 4.0% of the class A and class B outstanding balance. All transaction counterparties continue to support the rating.

The methodologies applicable for the reviewed rating (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) 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

Potential conflicts*
See www.scoperatings.com under Governance & Policies/EU Regulation/Disclosures for a list of potential conflicts of interest related to the issuance of Credit Ratings. One of the General Managers of Scope Ratings, who joined the organisation on 1 December 2021, has a significant relationship with an affiliate of Deutsche Bank AG, a related third party to this transaction.

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*Editor's note: The 'Potential Conflicts' section was added on 2 February 2022.