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 methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring reviews of 6 Italian NPL transactions on 19 September 2022. The credit ratings remain as follow:

Olympia SPV S.r.l.:

Class A (ISIN IT0005468365), EUR 261.0m original balance, EUR 225.2m current balance: BBB_SF

Class B (ISIN IT0005468373), EUR 26.1m original balance, EUR 26.1m current balance: Not rated

Class J (ISIN IT0005468381), EUR 2.9m original balance, EUR 2.9m current balance: Not rated

Grogu SPV S.r.l.:

Class A (ISIN IT0005473852), EUR 460.0m original balance, EUR 369.4m current balance: BBB+_SF

Class B (ISIN IT0005473860), EUR 37.0m original balance, EUR 37.0m current balance: Not rated

Class J (ISIN IT0005473878), EUR 3.0m original balance, EUR 3.0m current balance: Not rated

Futura 2019 S.r.l.:

Class A (ISIN IT0005395402), EUR 158.0m original balance, EUR 78.8m current balance: BBB_SF

Class B (ISIN IT0005395410), EUR 37.0m original balance, EUR 37.0m current balance: Not rated

Class J (ISIN IT0005395428), EUR 8.0m original balance, EUR 8.0m current balance: Not rated

Riviera NPL S.r.l.:

Class A (ISIN IT0005356040), EUR 175.0m original balance, EUR 85.1m current balance: BB+_SF

Class B (ISIN IT0005356057), EUR 30.0m original balance, EUR 30.0m current balance: CCC_SF

Class J (ISIN IT0005356065), EUR 10.0m original balance, EUR 10.0m current balance: Not rated

POP NPLs 2020 S.r.l.:

Class A (ISIN IT0005431900), EUR 241.5m original balance, EUR 174.9m current balance: BBB_SF

Class B (ISIN IT0005431918), EUR 25.0m original balance, EUR 25.0m current balance: CC_SF

Class J (ISIN IT0005431926), EUR 10.0m original balance, EUR 10.0m current balance: Not rated

Buonconsiglio 4 S.r.l.:

Class A (ISIN IT0005473647), EUR 117.7m original balance, EUR 108.4m current balance: BBB_SF

Class B (ISIN IT0005473654), EUR 16.5m original balance, EUR 16.5m current balance: Not rated

Class J (ISIN IT0005473662), EUR 5.9m original balance, EUR 5.9m current balance: Not rated

The reviews were conducted considering available servicer reports, payment reports and investor reports up to the last payment dates (August 2022 for Olympia SPV S.r.l., July 2022 for Grogu SPV S.r.l., Buonconsiglio 4 S.r.l. and Futura 2019 S.r.l., June for Riviera NPL S.r.l., May 2022 for POP NPLs 2020 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 realised profitability on closed positions, as well as observed timing and amount of cumulative collections and the amount of recovery expenses, against Scope’s expectations. 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 agreements. 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.

Olympia SPV S.r.l.

Faster than expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 66.7m and EUR 64.9m, respectively. Total gross collections are split between discounted pay-off (‘DPO’) proceeds (72%) and judicial proceeds (28%). Aggregate net collections, which represent 226% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

Low recovery expenses (positive). Recovery expenses amount at 1.60% of cumulative gross collections, which is below Scope assumption of 9%.

Low share of closed GBV (negative). Based on Scope’s analysis, closed debtors account for around 0.7% of the transaction’s initial GBV, a share that is below the average of peer transactions rated by Scope.

Grogu SPV S.r.l.

Faster than expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 113.0m and EUR 109.4m, respectively. Total gross collections are split between judicial proceeds (40%), DPO proceeds (24%) and other sources of collections (36%). Aggregate net collections, which represent 204% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

Low profitability of closed positions (negative). Gross collections from closed borrowers are 27% of cumulative collections and were mainly obtained through DPOs (35%) and other sources of collections (56%). Based on Scope’s analysis, closed debtors account for around 3.4% of the transaction’s initial GBV. Profitability on these debtors, at 92%, is below Scope’s expectations under the B case scenario.

Futura 2019 S.r.l.

Faster than expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 122.3m and EUR 109.2m, respectively. Total gross collections are split between judicial proceeds (62%), DPO proceeds (17%), credit sales proceeds (6%) and other sources of collections (15%). Aggregate net collections, which represent 141% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

High recovery expenses (negative). Cumulative recovery expenses, at 10.8% of cumulative collections, are above Scope’s lifetime assumption.

Low profitability of closed positions (negative). Gross collections from closed borrowers are 62% of cumulative collections and were mainly obtained through judicial procedures (52%), DPO proceeds (22%), credit sales proceeds (10%) and other sources of collections (16%). Based on Scope’s analysis, closed debtors account for around 27% of the transaction’s initial GBV. Profitability on these debtors, at 78%, is materially below Scope’s expectations under the B case scenario.

Riviera NPL S.r.l.

Faster than expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 117.7m and EUR 112.8m, respectively. Total gross collections are split between judicial proceeds (37%), DPO proceeds (34%), credit sale proceeds (19%) and other sources of collections (20%). Aggregate net collections, which represent 67% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

Low profitability of closed positions (negative). Gross collections from closed borrowers are 37% of cumulative collections and were obtained through credit sales proceeds (51%), DPO proceeds (40%), judicial proceeds (7%) and other sources of collections (9%). Based on Scope’s analysis, closed debtors account for around 14% of the transaction’s initial GBV. Profitability on these debtors, at 84%, is below Scope’s expectations under the B case scenario.

POP NPLs 2020 S.r.l.

High profitability of secured positions (positive). Gross collections from closed borrowers are 27% of cumulative collections. Based on Scope’s analysis, secured closed debtors account for around 5% of the transaction’s initial secured GBV. Profitability on these debtors, at 107%, is above Scope’s expectations under the B case scenario.

Slower than average pace in closing positions (negative). The pace at which positions are closed is slower than peer transactions.

Buonconsiglio 4 S.r.l.

Faster than expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 13.4m and EUR 11.6m, respectively. Total gross collections are split between judicial proceeds (51%), DPO proceeds (29%) and other sources of collections (20%). Aggregate net collections, which represent 301% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the class A rating scenario.

High recovery expenses (negative). Cumulative recovery expenses, at 13.3% of cumulative collections, are above Scope’s lifetime assumption.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 17 December 2021; Non-Performing Loan ABS Methodology, 5 August 2022; Counterparty Risk Methodology, 14 July 2022) 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 analysts:
Vittorio Maniscalco, Specialist for POP NPLs 2020 S.r.l. and Buonconsiglio 4 S.r.l.
Leonardo Scavo, Senior Specialist for Riviera NPL S.r.l.
Rossella Ghidoni, Director for Olympia SPV S.r.l., Grogu SPV S.r.l., Futura 2019 S.r.l.

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