Scope assigns AAA(SF) to Series 11-2023 Class A of IBL’s Marzio Finance S.r.l. – Italian CQS ABS
      TUESDAY, 30/05/2023 - Scope Ratings GmbH
      Download PDF

      Scope assigns AAA(SF) to Series 11-2023 Class A of IBL’s Marzio Finance S.r.l. – Italian CQS ABS

      Scope Ratings GmbH (Scope) has assigned a final rating to the Series 11-2023 Class A notes issued by Marzio Finance S.r.l., a static cash securitisation of a EUR 308.9m portfolio of payroll-deductible loans extended by IBL Banca to individuals in Italy.

      Rating action

      Scope has today assigned the following rating:

      Series 11-2023 Class A (ISIN IT0005547853), EUR 263.3m: definitive rating of AAASF

      Series 11-2023 Class J (ISIN IT0005547861), EUR 53.9: not rated

      The latest information on the rating, including rating reports and related methodologies, are available on this LINK.

      Transaction overview

      Marzio Finance S.r.l. has established a EUR 10bn securitisation programme of notes backed by Italian payroll-deductible loans (CQS) extended to borrowers in Italy and originated by IBL – Istituto Bancario del Lavoro S.p.A. (IBL Banca, rated BBB by Scope). CQS loans are collateralised by the debtor’s salary or pension and, in most cases, by any accrued severance amount (‘Trattamento di Fine Rapporto’). Instalments cannot exceed 20% of the borrower’s net monthly salary or pension for CQS loans and 50% for Delegazione di Pagamento (DP) loans.

      The programme permits the issuance of several series of notes. Each series is structured as an independent transaction, with no cross-collateralisation, for the purpose of financing the purchase of a static portfolio of receivables originated by IBL Banca. The capital structure, cash reserve level and notes’ interest rates may differ among the different series. Series 11-2023 is the eleventh issuance under the programme.

      The portfolio of Series 11-2023 is composed of CQS (83.6%) and DP (16.4%) loans extended either to employees working for the public administration (17.1%), the central state administration (26.5%) or the private sector (12.2%), or to pensioners (44.2%). The portfolio is highly granular and has a weighted average seasoning of 2.3 years. All the underlying loans are insured against life events, whilst 58.6% are insured against employment events. Net Insurance Life S.p.A., Cardif Assurance Vie S.A. and CNP Vita Assicurazioni S.p.A. are the top three insurance companies covering life events, while Net Insurance S.p.A., Cardif Assurances Risques Divers SA and Axa France Iard SA are the top three insurance companies covering employment events. The regional concentration is as follows: north (26.8%), centre (30.8%) and south (42.3%).

      Rating rationale

      The rating reflects: i) the legal and financial structure of the transaction; ii) the quality of the underlying collateral; iii) insurance protection against life and employment events; iv) the ability of IBL Banca as originator, servicer (via IBL S.p.A.), master servicer (via IBL Servicing S.p.A.), calculation agent, and collection account bank; v) the ability of Zenith Service S.p.A. in its role as back-up servicer and back-up calculation agent; and vi) the counterparty exposure to Citibank N.A., Milan and London Branch as transaction bank and principal paying agent.

      The rating is mainly driven by i) the securitised portfolio’s characteristics and its expected performance; and ii) the expected performance of the pool of insurance companies covering life or employment events. The rating also considers Scope’s positive assessment of the servicer’s abilities and incentives.

      Series 11-2023 Class A is supported by 17.4% of credit enhancement and benefits from the structural protection provided by sequential principal amortisation including the liquidity reserve and an additional reserve that also provide liquidity protection to the class A notes.

      IBL Banca performs several key roles, including originator, servicer, calculation agent and collection account bank. The operational risk is mitigated by the appointment of Zenith Service S.p.A. as back-up servicer and back-up calculation agent.

      Key rating drivers

      Experienced originator (positive). IBL Banca is one of the most experienced CQS loan originators in Italy and has shown above-average performance for its loan book.1

      Underlying asset type with low historical losses (positive). CQS loans generally incur lower losses than standard unsecured consumer loans, primarily because the loans are fully insured and instalments are withheld by the borrower’s employer and paid directly to the lender.1

      Liquidity and credit protection (positive). A fully funded liquidity reserve (EUR 2.0m at closing) will provide liquidity protection to the class A during the life of the transaction. An additional reserve (EUR 5.4m at closing) will provide liquidity support and ongoing credit protection to the class A. Both reserves, if available, can be utilised to repay the class A note at maturity.2

      Static portfolio (positive). The portfolio will start amortising immediately after closing, reducing the risk of performance volatility compared to revolving transactions.1

      Excess spread (positive). Scope expects positive excess spread (0.7%) also after stressing weighted average portfolio yield and the on-going fees and paying the interest on Class A.2

      Public sector concentration (negative). A large portion of the portfolio is exposed to public entities that pay salaries or pensions to borrowers (87.8%). These borrowers normally have lower default rates than those in the private sector. However, such a high concentration can increase vulnerability to a sovereign default. Scope’s analysis considers this risk by incorporating a sovereign stress event.1

      Insurance company concentration (negative). The top two life insurance companies account for 43.9% of the total portfolio while the top two insurance companies covering employment events account for 52.3% of the non-retired pool. A failure by the insurers to honour obligations would negatively impact the portfolio recovery rate. Scope has considered this risk in its analysis.1

      Commingling risk (negative). Commingling risk is mitigated by: i) a daily sweep of collections to the issuer’s account; and ii) instructions to borrowers to redirect payments to the issuer’s account in the event of a servicer disruption. However, as most employers pay by bank transfer, the redirection of payments may take longer than for a standard unsecured loan portfolio.2

      Rating-change drivers

      Significant deterioration in the credit profile of the insurance companies (downside) would lead to lower rating-conditional recovery rate assumptions, which may negatively impact the ratings. 

      Decline in the pool’s overall performance (downside) versus Scope’s initial expectations or a significant rating downgrade of Italy could also have a negative effect.

      Quantitative analysis and assumptions

      Scope’s cash flow analysis considered the portfolio’s characteristics and the main structural features. Scope applied its large homogenous portfolio approximation approach when analysing the collateral pool and projecting cash flows over their amortisation period. The cash flow analysis used the probability distribution of the portfolio’s default rate, following an inverse Gaussian distribution, to calculate the expected loss of each rated tranche. The analysis also provides the expected weighted average life of each tranche. Scope has considered the amortisation of assets and liabilities and changes in the pool’s composition.

      Scope assumed a default timing reflecting a constant default intensity and a stressed portfolio weighted average yield of 4.8%.

      For the analysis of class A notes, Scope assumed a mean default rate of 7.0%, a coefficient of variation of 40%, and a rating-conditional recovery rate of 49.6%.

      The rating-conditional recovery rate assumptions were calculated by taking the weighted average of two recovery rates: i) an 80% recovery rate in a scenario where the insurance company does not default; and ii) a 12.0% recovery rate in the event of insurance default after applying a rating-conditional haircut of 40%. The weights applied to each recovery rate reflect the default probability of the pool of insurance companies, assuming a 20% asset correlation between insurers. For the class A notes specifically, Scope has assumed that the pool of insurance companies will default with a probability of 44.7%.

      Scope has considered Italian sovereign risk by incorporating the impact of a distressed scenario under the following assumptions: i) 50% of the portfolio’s public sector borrowers are fully suspended for two years; and ii) 25% of the public sector borrowers default.

      Scope has analysed default and recovery vintage data from 2008 to 2022, reflecting the performance of the loan book originated by IBL Banca since 2008, which Scope considers a representative sample of the portfolio being securitised.

      Sensitivity analysis

      Scope tested the resilience of the rating against deviations of the main input parameters: the mean-default rate and the recovery rate. This analysis has the sole purpose of illustrating the sensitivity of the rating to input assumptions and is not indicative of expected or likely scenarios.

      For the Series 11-2023 Class A, the following shows how the quantitative results change when the portfolio’s expected mean default rate is increased by 50% and the portfolio’s expected recovery rate is reduced by 50%, respectively:

      • sensitivity to default rate, one notch
      • sensitivity to recovery rate, three notches

      The output of these sensitivities considers the probability of missing at least one coupon payment relative to the observed expected loss.

      Rating driver references
      1. Loan-by-loan data tape of the securitised pool and originator’s historical data (confidential)
      2. Transaction documentation (confidential)

      Stress testing
      Stress testing was considered in the quantitative analysis by considering scenarios that stress factors, like defaults and Credit-Rating-adjusted recoveries, contributing to sensitivity of Credit Ratings and consider the likelihood of severe collateral losses or impaired cash flows. The impact on the rated instruments is weighted by the assumptions of the likelihood of the events in such scenarios occurring.

      Cash flow analysis
      Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow SF EL Model Version 1.1 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

      The methodologies used for this Credit Rating (Consumer and Auto ABS Rating Methodology, 3 March 2023; General Structured Finance Rating Methodology, 25 January 2023; Counterparty Risk Methodology, 14 July 2022), are available on
      The models used for this Credit Rating are (Cash Flow SF EL Model Version 1.1, Portofolio Model Version 1.0), available in Scope Ratings’ list of models, published under
      Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on

      Solicitation, key sources and quality of information
      The Rated Entity and its Related Third Parties participated in the Credit Rating process.
      The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
      Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
      Scope Ratings has received a third-party asset due diligence assessment. The external due diligence assessment was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
      Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating is based. Following that review, the Credit Rating was not amended before being issued.

      Regulatory disclosures
      The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
      Lead analyst: Martin Hartmann, Director.
      Person responsible for approval of the Credit Rating: Olivier Toutain, Executive Director.
      The Credit Rating was first released by Scope Ratings on 30 May 2023.
      Potential conflicts
      See under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings.

      Conditions of use / exclusion of liability
      © 2023 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.

      Related news

      Show all
      Scope has completed the monitoring review of Yoda SPV S.r.l. - Italian NPL ABS

      3/10/2023 Monitoring note

      Scope has completed the monitoring review of Yoda SPV S.r.l. ...

      Italian NPL collections: slump in DPOs and note sales drives August volumes to three-year low

      2/10/2023 Research

      Italian NPL collections: slump in DPOs and note sales drives ...

      Scope assigns B+ rating to notes issued by SPIRE SA acting in respect of its Series 2023-295

      29/9/2023 Rating announcement

      Scope assigns B+ rating to notes issued by SPIRE SA acting in ...

      Scope assigns BBB to Muzinich Luxembourg Funding Sarl - Compartment Pan III 1K Notes

      29/9/2023 Rating announcement

      Scope assigns BBB to Muzinich Luxembourg Funding Sarl - ...

      Scope assigns AAA(SF) to tranche A of Santander UK's synthetic securitisation programme

      29/9/2023 Rating announcement

      Scope assigns AAA(SF) to tranche A of Santander UK's ...

      Scope has completed the monitoring review of Summer SPV S.r.l. - Italian NPL ABS

      29/9/2023 Monitoring note

      Scope has completed the monitoring review of Summer SPV ...