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

Class A (ISIN IT0005451254), EUR 57,973,860.14 current balance: BBB_SF

Class B (ISIN IT0005451262), EUR 9,500,000 current balance: not publicly rated

Class J (ISIN IT0005451270), EUR 4,000,000 current balance: not rated

Aporti S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 356 million by gross book value (GBV) at closing. The portfolio is composed of receivables originated by certain Italian financial institutions and acquired by illimity Bank S.p.A. (through Aporti S.r.l.) between 2018 and 2020. The portfolio is serviced by Prelios Credit Servicing S.p.A. The class A was rated on 28 Jun 2021 and the legal maturity is in January 2043. Scope privately rates class B notes and does not rate 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 9.1m, which is 187% of the original business plan gross expectations up to that date (EUR 4.9m). Total gross collections are split between judicial proceeds (33.1%), discounted payoff proceeds (19.9%), note sale proceeds (3.5%) and other types of collections that are not yet classified (43.3%).

Around 70.2% of the total gross collections stem from open debtors (i.e. debtors for which the recovery process is still ongoing). Closed debtors account for 3.3% of the transaction’s initial GBV, registering a profitability that is materially below Scope’s expectation for the B case scenario.

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 205.3% and 101.4%, respectively. Class A amortised 10% 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.

CREDIT-NEGATIVE (-)

Profitability of closed borrowers. Profitability on closed borrowers is around 64% of Scope’s original expectations in the B case.

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://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 Vittorio Maniscalco, Associate Analyst

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