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 Aragorn NPL 2018 S.r.l. on 28 October 2024. The credit ratings remain as follows:

Class A (ISIN IT0005336992), EUR 261.7m outstanding: CCC_SF

Class B (ISIN IT0005337008), EUR 66.8m outstanding: C_SF

Class J (ISIN IT0005337016), EUR 10.0m 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 only 66% of the business plan projection, at EUR 356.2m. This has caused the class A notes to deleverage slower. Since July 2020, the cumulative collection ratio is below the 90% threshold for class B interest subordination to class A principal repayment. The slow collections also prompted the replacement of the two original special servicers, with Fire S.p.A. taking over the role from 30 June 2024.

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

Potential conflicts
See www.scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties. A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, a related third party to this transaction. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.

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