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 Yoda SPV S.r.l. on 28 September 2023. The credit ratings remain as follow:

Class A (ISIN IT0005429169), EUR 1,010.0m original balance, EUR 613.7m current balance: BBB_SF

Class B (ISIN IT0005429201), EUR 210.0m original balance, EUR 210.0m current balance: Not rated

Class J (ISIN IT0005429219), EUR 20.0m original balance, EUR 20.0m current balance: Not rated

The review was conducted considering available servicer reports, payment reports and investor reports up to July 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 gross and net collections amount to EUR 549.7m and EUR 529.0m, respectively. Total gross collections are split between judicial proceeds (50.0%), DPO proceeds (26.3%), credit sales proceeds (6.3%) and other sources of collections (17.4%). Aggregate net collections, which represent 97.8% of the original servicer’s expectations, have outpaced Scope’s timing expectations under the B case scenario.

Low recovery expenses (positive). Cumulative recovery expenses, at 3.8% of cumulative collections, are below Scope’s lifetime assumption of 10%.

Low profitability (negative). Total proceeds from assets sold after the portfolio cut-off date amounted to EUR 265m, which is 53% below the aggregated appraisal value of such assets, provided to Scope at closing. Gross collections from closed borrowers are 28.2% of cumulative collections and were mainly obtained through DPOs (47.6%), credit sales proceeds (21.4%), judicial proceeds (14.3%) and other sources of collections (16.7%). Based on Scope’s analysis, secured closed debtors account for around 9% of the transaction’s initial secured GBV. Profitability on these debtors, at 88%, 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, 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 Leonardo Scavo, Senior Specialist

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