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 1 S.r.l. on 13 May 2022. The credit rating remains as follow:

Class A (ISIN IT0005340614), EUR 68,170,620.74 current balance: BBB+_SF

Class B (ISIN IT0005340622), EUR 26,000,000 current balance: not rated

Class J (ISIN IT0005340630), EUR 1,928,354 current balance: not rated

Juno 1 S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 1,112 million by gross book value (GBV) at closing. Loans were originated by Banca Nazionale del Lavoro S.p.A. and are currently serviced by Prelios Credit Servicing S.p.A.. The class A was rated on 3 Aug 2018 and the legal maturity is in July 2038. 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 91.2m, which is 94% of the original business plan gross expectations up to that date (EUR 97.4m). Total gross collections are split between judicial proceeds (66.4%), discounted payoff proceeds (20.7%), note sale proceeds (7.9%) and other types of collections that are not yet classified (5.0%).

Around 58.0% 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 10.51% of the transaction’s initial GBV, registering a profitability that is 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 Gross 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, no class B interest subordination event occurred as the Cumulative Gross Collection Ratio and the Net Present Value Profitability Ratio were at 93.7% and 120.1%, respectively.

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

CREDIT-POSITIVE (+)

Class A amortisation. Class A has amortised by 50% since closing. Strong class A amortisation was mainly due to a robust pace of collections mostly driven by judicial proceeds.

Cumulative expenses. Cumulative recovery expenses are 3% of cumulative collections, materially below Scope legal costs assumptions.

CREDIT-NEGATIVE (-)

Cumulative collections. Aggregate net collections are behind Scope’s timing expectations under class A analysis.

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: Rossella Ghidoni, Director

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