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 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.), respectively 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.

Aurelia SPV S.r.l. intends to extend the time limit for the ReoCo activation from 16 December 2021 to 15 July 2022. Aurelia ReoCo S.r.l. will become operative subject to two conditions: i) the ReoCo having executed a credit facility agreement with a third-party lender; and ii) the ReoCo having funded the ReoCo cash reserve via the financing granted under i).

Scope’s analysis only covers the credit impact associated with the amendment described above. Scope has not addressed other non-credit related effects that may be relevant for investors and/or counterparties when assessing the impact of said amendment.

This announcement does not constitute a rating action nor indicates the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

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.