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 for Summer SPV S.r.l. on 27 September 2023. The credit ratings remain as follow:

Class A (ISIN IT0005432445), EUR 85.4m original balance, EUR 50.5m current balance: BBB_SF

Class B (ISIN IT0005432452), EUR 10.0m original balance, EUR 10.0m current balance: Not rated

Class J (ISIN IT0005432460), EUR 1.0m original balance, EUR 1.0m current balance: Not rated

The reviews were conducted considering available servicer reports, payment reports and investor reports up to April 2023.

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. 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 borrowers’ affordability 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.

Faster than expected cumulative collections (positive). Aggregate net collections represent 335.3% of the original servicer’s expectation and have also strongly outpaced Scope’s timing expectations. Aggregate gross and net collections amount to EUR 47.6m and EUR 43.8m, respectively. Total gross collections are split between DPO proceeds (65.0%), judicial proceeds (32.3%) and other sources of collections (2.7%).

Recovery expenses (positive). Cumulative recovery expenses, at 8.1% of cumulative collections, are slightly below Scope’s lifetime assumption of 9%.

Low profitability of closed positions (negative). Profitability on secured closed debtors, at 93%, is below Scope’s expectations under the B case scenario. Gross collections from closed borrowers are 53.6% of cumulative collections and were mainly obtained through DPOs (78.4%), judicial proceeds (16.7%) and other sources of collections (4.9%).

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Non-Performing Loan ABS Methodology, 3 August 2023; Counterparty Risk Methodology, 13 July 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 Stefano Bracchi, Associate Analyst

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