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 28 October 2024. The credit ratings remain as follows:

Class A (ISIN IT0005275356), EUR 215.2m outstanding: CC_SF

Class B (ISIN IT0005275364), EUR 42.5m outstanding: C_SF

Class J (ISIN IT0005275372), EUR 20.0m outstanding: not rated

The review was conducted considering available servicer reports, payment reports and investor reports 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 evolution of transaction’s performance, 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 hedge protection.

Collections have lagged initial projections both in the business plan and by Scope. As of the July 2024 payment date, gross collections were 63% of the business plan projection, at EUR 390.2m. This has caused the class A notes to deleverage slower. 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 liquidity reserve remains at target.

The methodologies applicable for the reviewed ratings (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 Stefano Bracchi, Specialist

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