Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the cases of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macro-economic 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 rating’s 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 methodology/ies, 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 Ifis NPL 2021-1 SPV S.r.l. on 23 July 2024. Credit ratings remain as follows:

Class A (ISIN IT0005556391), EUR 417.7m: BBB+_SF

Class B (ISIN IT0005556409), EUR 90.0m: B_SF

Class J1 (ISIN IT0005439614), EUR 23.6m: not rated

Class J2 (ISIN IT0005556417), EUR 25.0m: not rated

IFIS NPL 2021-1 SPV S.r.l. is a static cash securitisation of an Italian NPL portfolio. As of April 2023 the portfolio, worth around EUR 1,905.8m by gross book value (‘GBV’), was composed of unsecured non-performing loans assisted by a wage garnishment order (‘ODA’ – 46% of GBV), unsecured non-performing loans for which a wage garnishment order was expected to be assigned (‘Pre-ODA’ – 39% of GBV) and extrajudicial repayment plans (15% of GBV).

The review was conducted considering available servicer reports, payment reports and investor reports 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 action connected with this monitoring note along with the associated ratings 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 share of non-paying borrowers, 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 amortised by 19% benefiting from faster-than-expected collections and lower-than-expected expenses, particularly in the ODA segment. Around 9% of the Pre-ODA receivables have successfully obtained a wage garnishment order. However, some of these receivables will only start paying upon expiration of previously issued ODAs in favour of third parties.

The methodologies applicable for the reviewed ratings (Non-Performing Loan ABS Rating Methodology, 3 August 2023; Counterparty Risk Methodology, 10 July 2024; 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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