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 Aurelia SPV S.r.l. on 12 May 2022. The credit rating remains as follow:

Class A (ISIN IT0005449902), EUR 288,230,076 current balance: BBB_SF

Class B (ISIN IT0005449910), EUR 40,000,000 current balance: not rated

Class J (ISIN IT0005449928), EUR 12,000,000 current balance: not rated

Aurelia 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 1,510 million by gross book value (GBV) at closing. Loans were originated by Banco BPM S.p.A. and are currently serviced by Gardant Liberty Servicing S.p.A. (formerly Credito Fondiario Liberty S.p.A.) and Master Gardant S.p.A. (formerly Credito Fondiario S.p.A.), as special and master servicer. The class A was rated on 22 Jun 2021 and the legal maturity is in July 2047. Scope does not rate class B and class J notes.

The review was conducted considering available servicer reports, payment reports and investor reports up to the January 2022 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 31 January 2022, aggregate gross collections were EUR 69.5m, which is 156% of the original business plan gross expectations up to that date (EUR 44.6m). Total gross collections are split between discounted payoff proceeds (67.0%), judicial proceeds (27.8%) and other types of collections that are not yet classified (5.2%).

Around 69.2% of the total cumulative gross collections stem from open debtors (i.e. debtors for which the recovery process is still ongoing). Closed debtors account for 2.4% of the transaction’s initial GBV, registering a profitability that is above Scope’s expectation for the B case scenario. The servicer has reviewed downwards, by 1.3%, its original business plan estimates for the transaction’s lifetime.

Interests on class B are subordinated to the payment of class A principal if the Cumulative Net Collection Ratio falls below 90% of the servicers’ business plan target or the Net Present Value Profitability Ratio falls below 90%. This ratio is curable, and once is cured, all accrued and unpaid interest are distributed senior to class A principal payments. As per the last payment date, no class B interest subordination event occurred as the Cumulative Net Collection Ratio and the Net Present Value Profitability Ratio were at 169.0% and 114.9%, respectively. Class A amortised by 16% since the issuance date.

The rating considers the issuer’s exposure to key counterparties.

CREDIT-POSITIVE (+)

Cumulative collections. Aggregate gross and net collections have outpaced Scope’s timing expectations under class A analysis.

Profitability of closed borrowers. Profitability on closed borrowers is currently above Scope’s original expectations at the B case.

CREDIT-NEGATIVE (-)

Inflation induced economic slowdown: High inflation on the back of soaring energy and commodity prices combined with tighter monetary policy could see recession risk increase substantially. Thus, deteriorated liquidity conditions could reduce the servicer’s performance on collections. Scope has recently reduced its growth projections for Italian economy in 2022 from 4.5% to 4.1%.

The methodologies applicable for the reviewed rating (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://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Elom Kwamin, Associate Analyst

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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