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 4 Italian NPL transactions on 14 February 2023. The credit ratings remain as follow:

Bela 2022 S.r.l.

Class A (ISIN IT0005493330), EUR 60.0 original balance, EUR 47.2m current balance: BBB_SF

Class B (ISIN IT0005493348), EUR 10.0m original balance, EUR 10.0m current balance: Not rated

Class J (ISIN IT0005493355), EUR 4.1m original balance, EUR 4.1m current balance: Not rated

Diana SPV S.r.l.

Class A (ISIN IT0005413155), EUR 235.0m original balance, EUR 103.6m current balance: BBB+_SF

Class B (ISIN IT0005413163), EUR 35.0m original balance, EUR 35.0m current balance: Not rated

Class J (ISIN IT0005413189), EUR 3.7m original balance, EUR 3.7m current balance: Not rated

Organa SPV Srl

Class A (ISIN IT0005492951), EUR 970.0m original balance, EUR 783.4m current balance: BBB_SF

Class B (ISIN IT0005492969), EUR 130.0m original balance, EUR 130.0m current balance: Not rated

Class J (ISIN IT0005492977), EUR 15.0m original balance, EUR 15.0m current balance: Not rated

Spring SPV S.r.l.

Class A (ISIN IT0005413197), EUR 320.0m original balance, EUR 150.4m current balance: BBB+_SF

Class B (ISIN IT0005413213), EUR 20.0m original balance, EUR 20.0m current balance: Not rated

Class J (ISIN IT0005413221), EUR 3.4m original balance, EUR 3.4m current balance: Not rated

The reviews were conducted considering available servicer reports, payment reports and investor reports up to January 2023 for Bela SPV S.r.l., up to December 2022 for Diana SPV S.r.l., up to October 2022 for Organa SPV S.r.l. and up to September 2022 for Spring SPV Sr.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.

Rating factors

Rating factors assessed during the monitoring review include realised profitability on closed positions, the timing of cumulative collections and the amount of recovery expenses, against Scope’s expectations. The ratings also consider the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreements. The review considered the risk of a slowdown of the Italian economy driven by persistent inflationary pressures combined with tighter monetary policy. Deteriorated liquidity conditions could reduce the servicers’ performance on collections.

Bela 2022 S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 19.6m and EUR 19.3m respectively. Total gross collections are split between judicial proceed (14%) and DPO (‘discounted pay-off’) proceeds (26%). The remaining share of collections (60%) refer to ad-interim proceeds that were already available at closing. Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 92.5% of original expectations.

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 24% of cumulative collections and were mainly obtained through DPO and ad-interim collections. Based on Scope calculations, closed secured debtors account for around 6% of the transaction’s initial secured gross book value. The profitability on these debtors, at 88.4%, is below Scope’s expectations under the B case scenario.

Diana SPV S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 159.8m and EUR 152.4m respectively. Total gross collections are split between judicial proceeds (56%), DPO proceeds (24%), credit sales (6%) indemnities (2%) and other type of collections (12%). Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 148% of original expectations.

Recovery costs (positive). Recovery costs are approximately 4.6% of gross collections to date, which is relatively low compared with transaction peers.

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 28% of cumulative collections and were mainly obtained through DPO and judicial collections. Based on Scope calculations, closed secured debtors account for around 11% of the transaction’s initial secured gross book value. The profitability on these debtors, at 81.8%, is below Scope’s expectations under the B case assumptions.

Organa SPV S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 240.9m and EUR 225.2m respectively. Total gross collections are split between other collections (44.7%), DPO proceeds (24.2%), judicial proceeds (23.9%), credit sales collections (7.2%) and indemnity proceeds (0.01%). Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 190.1% of original expectations. Faster than expected collections has led to a material amortisation of class A. As of October 2022, after six months from closing, the class A pool factor is 80.7%, reducing liability costs over the life of the transaction (interests and GACS fees).

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 14.9% of cumulative collections. Based on Scope calculations, closed secured debtors account for around 2.1% of the transaction’s initial secured gross book value. The profitability on these debtors, at 93.7%, is below Scope’s expectations under the B case scenario.

Spring SPV S.r.l.

Faster-than-expected cumulative collections (positive). Observed cumulative collections exceed both the business plan and Scope’s expectations under the class A analysis. The servicer’s cumulative collection ratio and NPV cumulative profitability ratio are 157.7% and 111.2% respectively. Faster than expected collections results in a material amortisation of class A. The current class A pool factor is 47.0% after two years and a half from closing, reducing liability costs over the life of the transaction (interests and GACS fees).

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 47.1% of cumulative collections and were mainly obtained through DPO (51.3%) and credit sales (27.5%) proceeds. Based on Scope calculations, closed secured debtors account for around 22.4% of the transaction’s initial secured gross book value. The profitability on these debtors, at 86.4%, is below Scope’s expectations under the B case scenario.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Non-Performing Loan ABS Methodology, 5 August 2022; Methodology for Counterparty Risk in Structured Finance, 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 Organa SPV S.r.l.
Leonardo Scavo, Senior Specialist for Bela 2022 S.r.l.
Davide Nesa, Director for Spring SPV S.r.l.
Rossella Ghidoni, Director for Diana 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 Spring SPV S.r.l. and Diana 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.

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