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 for IFIS NPL 2021-1 SPV S.r.l. on 16 December 2022. Credit ratings remain as follows:

Class Ax (ISIN IT0005439150), EUR 89,513,778.27: rated A-_SF

Class Ay (ISIN IT0005439176), EUR 116,265,022.34: rated A-_SF

Class B (ISIN IT0005439606), EUR 74,400,000: rated B+_SF

Class J (ISIN IT0005439614), EUR 23,600,000: not rated

IFIS NPL 2021-1 SPV S.r.l. is a static cash securitisation of an Italian NPL portfolio with a gross book value of around EUR 1,323m at closing (19 March 2021). The securitised pool is mostly composed of unsecured loans (at closing, 69.3% of gross book value) for which servicer’s core strategy is the wage garnishment (ODA). The portfolio was sold by Ifis NPL Investing S.p.A., part of Banca Ifis Group, and it is being serviced by Ifis NPL Servicing S.p.A. as special and master servicer.

The review was conducted based on available payment, investor report information and servicer reporting as of the 29 July 2022 interest 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 the 29 July 2022 interest payment date, aggregate gross collections were EUR 169.2m, which represents 92.8% of the original business plan expectations of EUR 182.2m. Total available gross collections are split between judicial collections (among which wage garnishment collections, 94.1%) and other type of proceeds (5.9%) that mainly refer to extra-judicial collections.

In terms of net collections (gross collections reduced by the amount of recovery expenses and servicing fees), aggregate net collections amount to EUR 161.7m, which represents 96.6% of the servicer’s original net expectations.

Around 15% of gross collections (EUR 24.9m) come from closed debtors. Based on Scope’s analysis, gross profitability on closed debtors, for which servicer’s strategy is the wage garnishment, is around 100% of the servicers’ expectations in the initial business plan. Gross collections from closed debtors are split between judicial proceeds (67.7%, including wage garnishment collections) and other type of proceeds (32.3%) that mainly refer to extra-judicial collections.

About two thousand borrowers were regularly paying prior to the transaction’s closing date but stop paying after the notes were issued. For ca. 57% of these borrowers, the servicer has started extra-judicial or judicial actions following the expire of the old ODAs. For around half of the borrowers with still a valid and existing ODA, missed payments were mainly due to i) delayed payments from the pension institute/employers, ii) temporary events, such as furloughs (“cassa integrazione”), iii) credit events of employers, iv) employers’ rejection of the payment delegation. For these cases the servicer started judicial or extra-judicial actions.

Interest payments on class B are subordinated to payment of class Ax and Ay principals if the gross cumulative collection ratio falls below 100% of the servicers’ business plan target or the present value (PV) profitability ratio falls below 100%. In the last two interest payment dates the class B interest subordination event occurred. In July 2022 the gross cumulative collection ratio and the PV profitability ratio stood at 93% and 107%, respectively. In January 2022 the two ratios stood at 96% and 111% respectively.

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

CREDIT-POSITIVE (+)

Cumulative collections timing. Aggregate collections have outpaced Scope’s timing expectations for class Ax, Ay, and B notes.

Recovery rate of closed borrowers. The recovery rate of closed borrowers for which the servicer issued a wage garnishment order was about 100% of their gross book value.

CREDIT-NEGATIVE (-)

Non-payers. The share of non-paying unsecured borrowers (in terms of gross book value) is 3% higher than Scope’s assumptions at closing for the current period.

The methodologies applicable for the reviewed rating (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 analyst: Rossella Ghidoni, Director.
Person responsible for the approval of the monitoring note: David Bergman

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 Scope Group's Executive Board, 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.

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