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 Prisma SPV S.r.l. on 17 May 2022. The credit ratings remain as follow:

Class A (ISIN IT0005387904), EUR 676,839,953 current balance: BBB_SF

Class B (ISIN IT0005387912), EUR 80,000,000 current balance: B-_SF

Class J (ISIN IT0005387920), EUR 30,000,000 current balance: not rated

Prisma 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 6,056 million by gross book value (GBV) at closing. The portfolio was originated by Unicredit S.p.A. and is serviced by doNext S.p.A. and by doValue S.p.A. as master and special servicer, respectively. The transaction closed on 18 October 2019.

The review was conducted considering available servicer reports, payment reports and investor reports up to the May 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 5 May 2022, aggregate gross collections were EUR 912.8m, which is 94.0% of the original business plan gross expectations up to that date (EUR 973.0m). Total gross collections are split between judicial proceeds (50.0%), discounted payoff proceeds (24.9%), credit sale proceeds (17.7%) and other types of collections that are yet to be classified (7.4%).

Around 67% 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 14% of the transaction’s initial GBV, registering a profitability that is below Scope’s expectation for the B case scenario.

Class B interest is subordinated to the payment of class A principal if either the cumulative net collection ratio falls below 90% of the servicers’ business plan target or the net present value profitability ratio falls below 90%. If the class B interest subordination event is cured, all accrued and unpaid interest are distributed senior to class A principal payments. As at the last payment date, no class B interest subordination event occurred as the two ratios were at 92.3% and 98.6%, respectively. Class A amortised by 44% since the issuance date.

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

CREDIT-POSITIVE (+)

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

CREDIT-NEGATIVE (-)

Profitability of closed borrowers. Profitability on closed borrowers is around 72% of Scope’s original expectations at 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 the Italian economy in 2022 from 4.5% to 4.1%.

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://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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