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 Juno 2 S.r.l. on 20 January 2022. The credit ratings remain as follows:

Class A (ISIN IT0005363731), EUR 126,712,531 outstanding balance: BBB+_SF

Class B (ISIN IT0005363749), EUR 48,000,000 outstanding balance: not rated

Class J (ISIN IT0005363756), EUR 12,754,736 outstanding balance: not rated

Juno 2 S.r.l. is a static cash securitisation of a EUR 968m portfolio (at closing) of Italian non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by Banca Nazionale del Lavoro S.p.A. The portfolio is serviced by Prelios Credit Solutions S.p.A. The transaction closed on 8 February 2019.

The review was conducted considering available servicer reports, payment reports and investor reports up to 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

The transaction exhibits collections that are slightly above Scope original expectations for Class A analysis and above business plan original forecasts, at gross level.

As of 30 June 2021, aggregate gross collections were EUR 108.4m, which is 103.5% of the original business plan gross expectations up to that date (EUR 104.7m). Gross collections are mainly stemming from judicial proceeds (74%) and discounted pay-off (‘DPO’) proceeds (23%).

Around 80% of the total gross collections come from open debtors (i.e., borrowers for which the recovery process is still ongoing). The servicer has closed debtors for a total gross book value of 6% of the transaction’s initial gross book value.

Class A has amortised by 38% since the issuance date. No interest subordination event has occurred, since both the cumulative gross collections ratio and the cumulative profitability ratio (103.5% and 108.6%, respectively) are above the trigger level.

CREDIT-POSITIVE (+)

Cumulative collections compared to Scope’s expectations. Observed collections are outperforming Scope’s original expectations for the class A analysis, being 116.5% of Scope’s expectations on a cumulative gross basis. With respect to the original business plan, observed collections are 103.5% of the original servicer’s projections on a cumulative gross basis.

Notes amortisation. The Class A notes have amortised faster than expected after five payment dates, and are now equal to 62% of the closing balance.

CREDIT-NEGATIVE (-)

Italian economy. The Italian economy faces recession risks in 2022 fuelled by the Covid-19 pandemic. Despite governmental support measures, increased collateral liquidity risk and weakened borrower’ affordability positions could negatively affect the recovery prospects.

Share of closed borrowers. Resolved borrowers represent only 6% of the portfolio GBV as of the closing date. While the profitability on resolved borrowers is relatively good versus Scope’s assumptions, the sample of resolved borrowers is low relative to other transactions.

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) 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: Cyrus Mohadjer, Senior Analyst.

© 2022 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.