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 reviews of 7 Italian NPL transactions on 22 July 2022. The credit ratings remain as follow:

Aqui SPV S.r.l.:

Class A (ISIN IT0005351330), EUR 544.7m original balance, EUR 332.3m current balance: BB_SF

Class B (ISIN IT0005351348), EUR 62.9m original balance, EUR 62.9m current balance: Not rated

Class J (ISIN IT0005351355), EUR 10.9m original balance, EUR 10.9m current balance: Not rated

BCC NPLs 2020 S.r.l.

Class A (ISIN IT0005428245), EUR 520m original balance, EUR 453.8m current balance: BBB_SF

Class B (ISIN IT0005428286), EUR 41m original balance, EUR 41m current balance: CC_SF

Class J (ISIN IT0005428294), EUR 24m original balance, EUR 24m current balance: Not rated

Iseo SPV S.r.l.

Class A (ISIN IT0005395352), EUR 335m original balance, EUR 224.8m current balance: BBB-_SF

Class B (ISIN IT0005395360), EUR 25m original balance, EUR 25m current balance: Not rated

Class J (ISIN IT0005428294), EUR 13.5m original balance, EUR 13.5m current balance: Not rated

Marathon SPV S.r.l.

Class A (ISIN IT0005394454), EUR 286.5m original balance, EUR 108.2m current balance: BBB+_SF

Class B (ISIN IT0005394462), EUR 33.7m original balance, EUR 13.2m current balance: BB_SF

Class J (ISIN IT0005394751), EUR 16.9m original balance, EUR 16.9m current balance: Not rated

Relais SPV S.r.l.

Class A (ISIN IT0005429128), EUR 466m original balance, EUR 391.1m current balance: BBB_SF

Class B (ISIN IT0005429144), EUR 91m original balance, EUR 91m current balance: Not rated

Class J (ISIN IT0005429151), EUR 10m original balance, EUR 10m current balance: Not rated

Sirio NPL S.r.l.

Class A (ISIN IT0005431074), EUR 290m original balance, EUR 193.3m current balance: BBB_SF

Class B (ISIN IT0005431116), EUR 35m original balance, EUR 35m current balance: Not rated

Class J (ISIN IT0005431124), EUR 9.9m original balance, EUR 9.9m current balance: Not rated

Titan SPV S.r.l.

Class A (ISIN IT0005432049), EUR 90.5m original balance, EUR 77.3m current balance: BBB_SF

Class B (ISIN IT0005432056), EUR 15m original balance, EUR 15m current balance: Not rated

Class J (ISIN IT0005432064), EUR 10.1m original balance, EUR 10.1m current balance: Not rated

The reviews were conducted considering available servicer reports, payment reports and investor reports up to the last payment dates (January 2022 for BCC NPLs 2020 S.r.l., Iseo SPV S.r.l., Relais SPV S.r.l. and Titan SPV S.r.l.; March 2022 for Sirio NPL S.r.l.; April 2022 for Aqui SPV S.r.l. and Marathon SPV S.r.l.).

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 actions connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

Key rating factors assessed during the monitoring review include observed timing and amount of cumulative collections against Scope’s expectations, the amount of recovery expenses compared to initial assumptions and closed debtors’ profitability under Scope’s B case scenario, commensurate with share of gross book value (‘GBV’) for which the recovery process is exhausted. The ratings also consider the issuers’ exposure to key counterparties, the structural protection provided to the notes, the liquidity protection and the interest rate hedging agreement. The review considered the risk of recession in Italy driven by high inflation on the back of soaring energy and commodity prices combined with tighter monetary policy. Deteriorated liquidity conditions could reduce the servicers’ performance on collections.

Aqui SPV S.r.l.

Cumulative collections are faster than expected (positive). Aggregate gross and net collections amount to EUR 321.4m and EUR 305m, respectively. Total gross collections are split between judicial proceeds (52%), discounted pay-off (‘DPO’) proceeds (27%), credit sales proceeds (12%), indemnities (7%) and other sources of collections (2%). Aggregate net collections, which represent 98% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

Closed debtors’ profitability is low (negative). Gross collections from closed borrowers are 35% of cumulative collections and were mainly obtained through DPOs (50%) and judicial procedures (27%). Based on Scope’s analysis, closed debtors account for around 14% of the transaction’s initial GBV. Profitability on these debtors, at 88%, is below Scope’s expectations under the B case scenario.

BCC NPLs 2020 S.r.l.

Cumulative collections are faster than expected (positive). Aggregate gross and net collections amount to EUR 90.7m and EUR 88.1m, respectively. Total gross collections are split between judicial proceeds (47%), DPO proceeds (29%), credit sales proceeds (11%) and other sources of collections (13%). Aggregate net collections, which represent 193% of the original servicer’s expectations, have largely outpaced Scope’s timing expectations under the class A rating scenario.

Closed debtors’ profitability is low (negative). Gross collections from closed borrowers are 15% of cumulative collections and were mainly obtained through DPOs (51%) and credit sales (38%). Based on Scope’s analysis, closed debtors account for around 2% of the transaction’s initial GBV. Profitability on these debtors, at 89%, is below Scope’s expectations under the B case scenario.

Iseo SPV S.r.l.

Cumulative collections are faster than expected (positive). Aggregate gross and net collections amount to EUR 129.1m and EUR 122.5m, respectively. Total gross collections are split between judicial proceeds (62%), DPO proceeds (32%), credit sales proceeds (1%) and other sources of collections (5%). Aggregate net collections, which represent 86% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

Structural protection from performance triggers (positive). Class B interest subordination is continuing since July 2020 diverting funds from mezzanine to senior noteholders. Accrued and unpaid interests on class B notes amount to ca. EUR 3m and this amount will be paid senior to class A principal if the interest subordination event is cured.

Closed debtors’ profitability is low (negative). Gross collections from closed borrowers are 24% of cumulative collections and were mainly obtained through DPOs (69%) and judicial procedures (20%). Based on Scope’s analysis, closed debtors account for around 7% of the transaction’s initial GBV. Profitability on these debtors, at 83%, is below Scope’s expectations under the B case scenario.

Marathon SPV S.r.l.

Cumulative collections in line with expectations (positive). Aggregate gross and net collections amount to EUR 256.7m and EUR 233.7m, respectively. Total gross collections are split between judicial proceeds (10%), and promissory notes’ payments and other type of proceeds (90%). Aggregate net collections, which represent 103% of the original servicer’s expectations, are in line with Scope’s timing expectations under the class A rating scenario.

Below-average liquidity protection (negative). Cash reserve is equal to 3% of class A notes, with no floor. Scope expects the cash reserve to cover 6 months of senior costs and interests on the class A notes. This liquidity coverage is lower than peer transactions.

Relais SPV S.r.l.

Cumulative collections are faster than expected (positive). Aggregate gross and net collections amount to EUR 135.9m and EUR 109.6m, respectively. Aggregate net collections, which represent 124% of the original servicer’s expectations, have also outpaced Scope’s timing expectations under the class A rating scenario.

Cumulative expenses (negative). Cumulative recovery expenses, at 18% of cumulative collections, are above Scope’s lifetime assumption. However, this expense level may be the result of the servicer front-loading some recovery expenses. If this is the case, the expense ratio will decrease over time, once collections on the related positions are received.

Closed debtors’ profitability is low (negative). Gross collections from closed leases are 12% of cumulative collections and were mainly obtained through assets’ sales. Based on Scope’s analysis, closed leases account for around 2% of the transaction’s initial GBV. Profitability on these leases, at 84%, is below Scope’s expectations under the B case scenario.

Sirio NPL S.r.l.

Cumulative collections are faster than expected (positive). Aggregate gross and net collections amount to EUR 115.4m and EUR 107.2m, respectively. Total gross collections are split between judicial proceeds (38%), DPO proceeds (33%), credit sales proceeds (1%) and other sources of collections (28%). Aggregate net collections, which represent 202% of the original servicer’s expectations, have largely outpaced Scope’s timing expectations under the class A rating scenario.

Closed debtors’ profitability is slightly below expectations (negative). Gross collections from closed borrowers are 39% of cumulative collections and were mainly obtained through DPOs (57%). Based on Scope’s analysis, closed debtors account for around 9% of the transaction’s initial GBV. Profitability on these debtors, at 96%, is slightly below Scope’s expectations under the B case scenario.

Titan SPV S.r.l.

Cumulative collections are faster than expected (positive). Aggregate gross and net collections amount to EUR 24.0m and EUR 20.3m, respectively. Total gross collections are split between indemnities or givebacks (10%), proceeds from the sale or rent of assets (40%) and other type of proceeds (50%). Aggregate net collections, which represent 131% of the original servicer’s expectations, have also outpaced Scope’s timing expectations under the class A rating scenario.

Closed debtors’ profitability is low (negative). Based on Scope’s analysis, closed leases account for around 4% of the transaction’s initial GBV. Gross collections from closed positions are 8% of total collections and were mainly related to givebacks and positions closed during the ad-interim period. Through givebacks, the originators re-purchased positions for which the leased assets were not transferable to the LeaseCo. Profitability on these positions, at 33%, is materially below Scope’s B case expectations.

Pending indemnity requests (negative). The servicer has submitted a number of indemnity requests. Scope has not yet received any details on the positions involved. Given the high concentration of the portfolio (top 100 borrowers account for 75% of the portfolio initial GBV), a material share of indemnities will negatively impact the portfolio’s profitability.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 17 December 2021; Non-Performing Loan ABS Methodology, 6 August 2021; Counterparty Risk Methodology,14 July 2022) 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, Specialist for Aqui SPV S.r.l.,
Leonardo Scavo, Senior Specialist for BCC NPLs 2020 S.r.l. and Iseo SPV S.r.l.
Davide Nesa, Director for Marathon SPV S.r.l. and Sirio NPL S.r.l.
Rossella Ghidoni, Director for Relais SPV S.r.l. and Titan SPV S.r.l.

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. 
A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, a related third party to Iseo SPV S.r.l. and Titan SPV S.r.l. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.
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 Marathon SPV S.r.l.

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