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 review of the following notes issued by Credico Finance 18 Srl on 17 October 2022 and considered investor and payment reports available up the 12 October 2022. The credit ratings remain as follows:

Class A1 (IT0005391096), EUR 0.0m outstanding: withdrawn

Class A2 (IT0005391146): EUR 57.7m outstanding: AAA_SF

Class J (Floating Rate Notes): EUR 229.4m outstanding: not rated

Credico Finance 18 S.r.l. is a static cash securitisation of a EUR 438.3m portfolio (EUR 519.4m at closing) comprised of secured and unsecured loans issued to Italian small- and medium-sized enterprises (SMEs). The loans were originated by 14 Italian cooperative banks (BCCs), who also individually service their respective loans in the securitised portfolio. The transaction closed on 5 December 2019.

The review was conducted considering available investor reports up to the 12 October 2022. 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

Since the full repayment of Class A1 in January 2021, Class A2 is the most senior tranche outstanding, receiving all portfolio principal repayments. The tranche’s credit enhancement has increased to 83.3% from 46.4% since closing. This credit enhancement build-up is mainly driven by structural deleveraging due to portfolio amortisation (55.3%) since closing. An EUR 11.6m non-amortising reserve fund also serves as a form of credit enhancement, in addition to providing liquidity coverage for senior fees and interest. 

Asset performance has generally been good considering the stressed macro-economic environment during the Covid-19 pandemic, followed by the pick-up in inflation and interest rates as well as the Ukraine war. Total delinquencies as of the October 2022 are at 3.6%, a slight increase from the 3.1% one year ago. Late-stage arrears are low at 0.9%. Strong liquidity coverage and considerable credit enhancement protect the rated notes in the event of any further macro-economic stresses that may impact underlying borrowers. The BCCs have repurchased 1.52% of the portfolio since closing. Cumulative defaults are low at 0.05%. All transaction counterparties continue to support the ratings.

CREDIT-POSITIVE (+)

Substantial credit enhancement: Class A2 has credit enhancement of 83.3% from a combination of subordination and a non-amortising reserve fund.

Liquidity coverage: The non-amortising reserve fund covers approximately 2.8 years of stressed senior fees, interest based on the latest investor report and the 3-month Euribor at 1.288% (7 October 2022).

CREDIT-NEGATIVE (-)

Italian economy: The Italian economy is expected to continue its post-Covid recovery, which is however challenged with the high inflation environment, rising interest rates and the war in Eastern Europe. Despite the uncertainty, the high level of credit enhancement provides a strong protection even against a deep recession scenario in Italy.

The methodologies applicable for the reviewed ratings and/or rating Outlooks (General Structured Finance Rating Methodology, 17 December 2021; the SME ABS Rating Methodology, 16 May 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 analyst Vittorio Maniscalco, Specialist

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 this transaction. 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.

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