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 Ibla S.r.l. on 13 May 2022. The credit ratings remain as follow:

Class A (ISIN IT0005342891), EUR 43,247,917 current balance: BBB_SF

Class B (ISIN IT0005342909), EUR 9,000,000 current balance: B_SF

Class J (ISIN IT0005342917), EUR 3,500,000 current balance: not rated

Ibla S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) extended to companies and individuals in Italy worth EUR 349 million by gross book value (GBV) at closing. Loans were originated by Banca Agricola Popolare di Ragusa S.C.p.A. and are serviced by doValue S.p.A. The transaction closed on 6 September 2018 and the legal maturity is 30 April 2037. Scope does not rate the class J notes.

The review was conducted considering available servicer reports, payment reports and investor reports up to the April 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 March 2022, aggregate gross collections were EUR 61.9m, which is 77% of the original business plan gross expectations up to that date (EUR 80.6m). Total gross collections are split between judicial proceeds (47.5%), discounted payoff proceeds (40.8%), credit sale proceeds (5.1%) and other types of collections that are not yet classified (6.6%).

Around 73.8% of the total gross collections stem from open debtors (i.e., debtors for which the recovery process is still ongoing). Based on Scope’s analysis, closed debtors account for 7.2% of the transaction’s initial GBV, registering a profitability that is below Scope’s expectation for the B case scenario.

In February 2022, the servicer reviewed downward the transaction’s original business plan: overall, the lifetime business plan projections have been reduced by ca. 13%.

Interest on class B is subordinated to payment of class A principal if either the net cumulative collection ratio falls below 85% of the servicers’ business plan target or the net present value profitability ratio falls below 85%. 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, the class B interest subordination event occurred, as the net cumulative collection ratio and the net present value profitability ratio were at 74.8% and 138%, respectively. Class A amortised by 49% since the issuance date.

The ratings consider the issuer’s exposure to key counterparties.

CREDIT-POSITIVE (+)

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

Senior notes’ liquidity protection. A fully funded liquidity reserve, covering senior expenses and interest on class A notes, represents 7.5% of the outstanding class A notes’ balance. This level of liquidity protection for senior noteholders is high compared to peer transactions.

CREDIT-NEGATIVE (-)

Closed debtors’ profitability by Scope. Profitability on closed borrowers stands at 92% of Scope’s expectation for the B case scenario.

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 27891-0.0.
Lead analyst Vittorio Maniscalco, Associate Analyst

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