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 Elrond NPL 2017 S.r.l. on 9 February 2024. The credit ratings remain as follow:

Class A (ISIN IT0005275356), EUR 216.0m outstanding: CC_SF

Class B (ISIN IT0005275364), EUR 26.1m outstanding: C_SF

Class J (ISIN IT0005275372), EUR 2.9m outstanding: not rated

The reviews were conducted considering available servicer reports, payment reports and investor report up to January 2024.

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.

Key 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. The rating also considers Italy´s macro-economic outlook, the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreements.

The transaction has shown a relatively stable performance since the last review conducted on 4 April 2023. The timing of collections is still behind servicer’s original assumptions and profitability on closed secured debtors remains below Scope’s original expectations for B case scenario. Since closing, the servicer has revised original business plan aggregate collection estimates downwards by 31.3%. Class A notes amortised slower than expected; current senior notes amount is 46.5% of the original notes amount. The structure does not envisage a Class B interest subordination trigger, making Class A structurally weaker relative to other senior notes of peer transactions.

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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