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 5 Italian NPL transactions on 27 March 2023. The credit ratings remain as follow:

Aporti S.r.l.

Class A (ISIN IT0005451254), EUR 64.7 original balance, EUR 51.1m current balance: BBB_SF
Class B (ISIN IT0005451262), EUR 9.5m original balance, EUR 9.5m current balance: not publicly rated
Class J (ISIN IT0005451270), EUR 4.0m original balance, EUR 4.0m current balance: not rated

Aurelia SPV S.r.l.

Class A (ISIN IT0005449902), EUR 342.0m original balance, EUR 232.4m current balance: BBB_SF
Class B (ISIN IT0005449910), EUR 40.0m original balance, EUR 40.0m current balance: not rated
Class J (ISIN IT0005449928), EUR 12.0m original balance, EUR 12.0m current balance: not rated

Itaca SPV S.r.l.

Class A (ISIN IT0005494221), EUR 125.0m original balance, EUR 86.7m current balance: BBB_SF
Class B (ISIN IT0005494247), EUR 24.0m original balance, EUR 24.0m current balance: not rated
Class J (ISIN IT0005494254), EUR 6.0m original balance, EUR 6.0m current balance: not rated

Juno 1 S.r.l.

Class A (ISIN IT0005340614), EUR 136.0m original balance, EUR 45.8m current balance: BBB+_SF
Class B (ISIN IT0005340622), EUR 26.0m original balance, EUR 26.0m current balance: not rated
Class J (ISIN IT0005340630), EUR 1.9m original balance, EUR 1.9m current balance: not rated

Palatino SPV S.r.l.

Class A (ISIN IT0005446528), EUR 135.0m original balance, EUR 97.4m current balance: BBB_SF
Class B1 (ISIN IT0005446536), EUR 11.0m original balance, EUR 11.0m current balance: not rated
Class B2 (ISIN IT0005446551), EUR 12.4m original balance, EUR 12.4m current balance: not rated
Class J (ISIN IT0005446569), EUR 6.3m original balance, EUR 6.3m current balance: not rated

The reviews were conducted considering available servicer reports, payment reports and investor reports up to January 2023 for Aporti S.r.l., Aurelia SPV S.r.l., Itaca SPV S.r.l. and Juno 1 S.r.l., up to December 2022 for Palatino 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.

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, further detailed below. Additionally, the review addressed the risk of a slowdown of the Italian economy driven by persistent inflationary pressures combined with tighter monetary policy, and the potential deterioration of liquidity conditions which could impair servicers’ performance on collections. 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.

Aporti S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 20.4m and EUR 19.4m respectively. Total gross collections are split between judicial proceeds (71.2%), DPO (‘discounted pay-off’) proceeds (25.1%), credit sales (3.4%) and other type of collections (0.3%). Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 234.1% of original expectations.

Recovery expenses (positive). Recovery expenses are approximately 4.7% of gross collections to date, which is below Scope assumption of 9%.

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 27.9% of cumulative collections and were mainly obtained through DPOs (62.2%), judicial collections (25.4%) and credit sales (12.4%). Based on Scope calculations, closed secured debtors account for around 4.9% of the transaction’s initial secured gross book value. The profitability on these debtors, at 70.2%, is below Scope’s expectations under the B case assumptions.

Aurelia SPV S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 140.8m and EUR 135.1m respectively. Total gross collections are split between judicial proceeds (41.8%), DPO proceeds (53.8%), credit sale proceeds (0.5%) and other (3.9%). Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 168% of original expectations.

Profitability of secured closed borrowers (positive). Total gross collections from closed borrowers represent 34.7% of cumulative collections and were mainly obtained through DPOs (86.1%). Based on Scope calculations, closed secured debtors account for around 6.8% of the transaction’s initial secured gross book value. Profitability on these borrowers, at 103.7%, is above Scope’s expectations under the B case scenario.

Recovery expenses (positive). Recovery expenses are approximately 4.1% of gross collections to date, which is below Scope assumption of 9%.

Itaca SPV S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 56.3m and EUR 55.6m respectively. Total gross collections are split between DPO proceeds (58.0%), judicial proceeds (8.5%), credit sales (2.6%), and other type of collections (30.9%). Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 767.5% of original expectations.

Recovery expenses (positive). Recovery expenses are approximately 1.1% of gross collections to date, which is below Scope assumption of 9%.

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 20.4% of cumulative collections and were mainly obtained through DPOs. Based on Scope calculations, closed secured debtors account for around 3.1% of the transaction’s initial secured gross book value. The profitability on these debtors, at 95.5%, is below Scope’s expectations under the B case assumptions at closing.

Juno 1 S.r.l.

Recovery expenses (positive). Recovery expenses are approximately 3.0% of gross collections to date, which is below Scope assumption of 9%.

Slower-than-expected cumulative collections (negative). Aggregate gross and net collections amount to EUR 121.4m and EUR 117.7m respectively. Total gross collections are split between judicial proceeds (66.5%), DPO proceeds (19.5%), credit sale proceeds (6.2%), indemnity proceeds (6.6%) and other types of collections (1.1%). Aggregate net collections are below Scope’s expectation at B case rating. Based on the servicer business plan, aggregate net collections are 88.8% of original expectations.

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers represent 34.0% of cumulative collections and were mainly obtained through judicial procedures (39.6%) and DPOs (31.3%). Based on Scope calculations, closed secured debtors account for around 16% of the transaction’s initial secured gross book value. The profitability on these debtors, at 68%, is below Scope’s expectations under the B case assumptions at closing.

Palatino SPV S.r.l.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 55.4m and EUR 52.0m respectively. Total gross collections are split between judicial proceeds (69.7%), DPO proceeds (23.0%), credit sale proceeds (5.7%) and other (1.6%). Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 147% of original expectations.

Profitability of secured closed borrowers (positive). Total gross collections from closed borrowers represent 41.1% of cumulative collections and were mainly obtained through DPOs (44.3%) and judicial proceeds (34.1%). Based on Scope calculations, closed secured debtors account for around 8.9% of the transaction’s initial secured gross book value. Profitability on these borrowers, at 126.4%, is above Scope’s expectations under the B case scenario.

Recovery expenses (positive). Recovery expenses are approximately 6.2% of gross collections to date, which is below Scope assumption of 9%.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Non-Performing Loan ABS Methodology; on 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:
Davide Nesa, Director for Aporti S.r.l.
Elom Kwamin, Specialist for Itaca SPV S.r.l.
Leonardo Scavo, Senior Specialist for Aurelia SPV S.r.l. and Palatino SPV S.r.l.
Rossella Ghidoni, Director for Juno 1 S.r.l.

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