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 review of Eridano II S.r.l. on 27 July 2023. The credit rating remains as follows:

Class A notes (IT0005422719), EUR 120.2m outstanding: AAA_SF

Class B notes (IT0005422727), EUR 25.4m outstanding: A+_SF

The review was conducted based on available quarterly investor reports reflecting performance up to June 2023 payment date.

Eridano II SPV S.r.l. is a EUR 162.7m (EUR 362.8m at closing) cash securitisation backed by payroll-deductible loans (CQS) extended to borrowers in Italy. It consists of loans originated by Vivibanca S.p.A. and loans acquired by the issuer from Legion CQ S.r.l. 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.

The portfolio as of June 2023 is composed of CQS (91.5%) and Delegazione di Pagamento (8.5%) loans. These loans are extended to employees working for public administrations (30.5%), para-public administrations (3.5%) and the private sector (15.4%), as well as to pensioners (50.6%). All the underlying loans are insured against life and employment events. Credit Life, Metlife and Net Insurance Life are the top three insurance companies covering life events, while Great American International Insurance, Net Insurance and HDI Assicurazioni are the top three covering employment events. The borrowers come from northern and central Italy (90.6%) and southern Italy (9.4%).

The transaction structure comprises three classes of notes: class A, class B and class C. The securitised portfolio was purchased above par and a portion of the difference between the purchase price and the outstanding principal balance of the portfolio (the additional purchase price component) has been funded with the over-issuance of the class C notes.

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

The key rating drivers continue to be aligned with those disclosed on our rating action release Scope affirms class A and upgrades class B notes issued by Eridano II SPV S.r.l. – Italian CQS ABS dated September 2022.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Counterparty Risk Methodology, 13 July 2023; Consumer and Auto ABS Rating Methodology, 3 March 2023) 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 Shashank Thakur, Senior Analyst

Potential conflicts
See www.scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures 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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