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 Juno 2 S.r.l. on 4 September 2024. The credit ratings remain as follow:

Class A (ISIN IT0005363731), EUR 45.9m outstanding: BBB-_SF

Class B (ISIN IT0005363749), EUR 48m outstanding: Not rated

Class J (ISIN IT0005363756), EUR 12.7m outstanding: Not rated

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

As of July 2024 payment date, aggregate gross collections stood at EUR 227.7m, representing 70.7% of the latest updated business plan. The transaction has shown a relatively stable performance since the last review conducted on 28 September 2023.

Class A notes liquidity position remains stable and the liquidity reserve at target, 4.0% of Class A notes outstanding balance.

The borrower concentration remains among the highest among peer transactions. The top 10 and 100 largest borrowers account for 27.1% and 76.6% of the remaining collections under Scope analysis. Despite the transaction’s underperformance compared to the initial business plan, the deferral trigger of the mezzanine coupon has not been triggered, so funds continue be diverted from Class A principal repayment.
 
The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; Non-Performing Loan ABS Rating Methodology, 2 August 2024; Counterparty Risk Methodology, 10 July 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 Davide Nesa, Senior Director
 
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