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 IFIS NPL 2021-1 SPV S.r.l. on 8 February 2022. Credit ratings remain as follows:

Class Ax (ISIN IT0005439150), EUR 122,351,499.31: rated A-_SF

Class Ay (ISIN IT0005439176), EUR 158,916,315.19: rated A-_SF

Class B (ISIN IT0005439606), EUR 74,400,000: rated B+ _SF

Class J (ISIN IT0005439614), EUR 23,600,000: not rated

IFIS NPL 2021-1 SPV S.r.l. is a static cash securitisation of an Italian NPL portfolio with a gross book value of around EUR 1,323m at closing (19 March 2021). The securitised pool is mostly composed of unsecured loans (at closing, 69.3% of gross book value) for which servicer’s core strategy is the wage garnishment (ODA). The portfolio was sold by Ifis NPL Investing S.p.A., part of Banca Ifis Group, and it is being serviced by Ifis NPL Servicing S.p.A. as special and master servicer.

The review was conducted based on available payment, investor report information and servicer reporting as of 30 July 2021. 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 88.6m, which represents 100.8% of the original business plan expectations of EUR 87.9m. Total available gross collections are split between judicial collections (among which wage garnishment collections, 95.2%) and other type of proceeds (4.8%).

In terms of net collections (gross collections reduced by the amount of recovery expenses and servicing fees), aggregate net collections amount to EUR 86.5m, which represents 106.6% of the servicer’s original net expectations.

Around 10% of gross collections (EUR 8.8m) come from closed debtors. Based on Scope’s analysis, gross profitability on closed debtors, for which servicer’s strategy is the wage garnishment, is around 97% of the servicers’ expectations in the initial business plan. Gross collections from closed debtors are split between judicial proceeds ( 61.3%, including wage garnishment collections) and other type of proceeds (38.7%).

As per last investor report dated July 2021, no class B interest subordination occurred. Interests on class B are subordinated to payment of class Ax and Ay principals if the gross cumulative collection ratio falls below 100% of the servicers’ business plan target or the present value (PV) profitability ratio falls below 100%. In July 2021 the gross cumulative collection ratio and the PV profitability ratio stood at 101% and 113%, respectively.

All transaction counterparties continue to support the ratings.

CREDIT-POSITIVE (+)

Cumulative collections timing. Aggregate collections have outpaced Scope’s timing expectations for class Ax, Ay, and B notes.

Recovery rate of closed borrowers. The recovery rate of closed borrowers for which the servicer issued a wage garnishment order was about 100% of their gross book value.

CREDIT-NEGATIVE (-)

Non-payers. The share of non-paying borrowers (in terms of gross book value and with reference to the unsecured portfolio) is 3% higher than Scope’s assumptions at closing for the current period. About 4 thousand borrowers were paying prior to the transaction’s closing date but did not pay on the subsequent two interest payment dates. Ca. 27% of them had an expired ODA. About 30% of the borrowers lost their jobs, resulting in a termination of the ODAs. For the 73% share of borrowers with a valid and existing ODA, missed payments were mainly due to i) delayed payments from the pension institute/employers, ii) temporary events, such as furloughs (“cassa integrazione”), iii) potential credit events of employers, iv) judicial or extra-judicial actions commenced by the servicer against the employers, in case they refuse to accept the payment delegation.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 17 December 2021; Non-Performing Loan ABS Methodology, 6 August 2021; Methodology for Counterparty Risk in Structured Finance, 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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