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 model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for Grogu SPV S.r.l. on 4 July 2024. The credit ratings remain as follow:

Class A (ISIN IT0005473852), EUR 158.1m: BBB+_SF

Class B (ISIN IT0005473860), EUR 37.0m: not rated

Class J (ISIN IT0005473878), EUR 3.0m: not rated

The review was conducted considering available servicer reports, payment reports and investor reports up to April 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 action 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 and assets sold in auction, the timing of cumulative collections and the amount of recovery expenses, against Scope’s expectations. The rating also considered 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 agreement.

The class A notes have benefited from faster-than-expected collections and lower-than-expected expenses. As a result, the current class A notes outstanding balance stands at only 34%, with a significant cushion between the interest rate hedge cap notional (EUR 416m) and the outstanding class A balance (EUR 158m). Class A notes liquidity position remains stable, and the liquidity reserve is at its target level. As a negative factor, observed average discount on assets sold at auction and the profitability on closed positions are below Scope’s original expectations. Scope has also assessed the recent developments in Intrum AB's refinancing process with its creditors and does not currently foresee an impact on Italian operations. Scope will monitor further developments following a final agreement with creditors.

The methodologies applicable for the reviewed ratings (Non-Performing Loan ABS Rating Methodology, 3 August 2023; Counterparty Risk Methodology, 13 July 2023; General Structured Finance Rating Methodology, 6 March 2024) 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, Associate Director

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