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 periodic 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 periodic review.

Periodic 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 periodic review on its website.

Scope completed the periodic review for Palatino SPV S.r.l. on 16 December 2024. The credit ratings remain as follows:

Class A (ISIN IT0005446528), EUR 135.0m original balance, EUR 55.6m current balance: BBB+_SF

Class B1 (ISIN IT0005446536), EUR 11.0m original balance, EUR 11.0m current balance: not rated

Class B2 (ISIN IT0005446551), EUR 12.4m original balance, EUR 12.4m current balance: not rated

Class J (ISIN IT0005446569), EUR 6.3m original balance, EUR 6.3m current balance: not rated

Scope’s analysis was based on servicer, investor and payment reporting as of December 2024 payment date.

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 periodic review include realised profitability on closed positions, the timing of cumulative collections and the amount of recovery expenses, against Scope’s expectations. Additionally, the review addressed the risk of a slowdown of the Italian economy driven by persistent inflationary pressures combined with tighter monetary policy, and the potential deterioration of borrowers’ affordability conditions which could impair servicers’ performance on collections. The ratings also consider the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreements.

The transaction has shown relatively stable performance since the last review cut-off in December 2023, continuing to exceed expectations in terms of timing, though with higher-than-expected property sale discounts compared to our original assumptions. Since the last two payment dates, the pace of collections slowed down. The amount of collections is lower (EUR 8.0m) versus the observed average of EUR 13.9m in the last seven interest payment dates (IPD). The recovery expenses are observed to be slightly higher in the last 12-months but still averages at 7.5% which is lower than our expectations.

The Class A notes have amortised faster than projected, reducing senior costs over time and creating a substantial cushion above the interest rate cap notional. To date, the Class A notes have amortised to 41.2% of their initial balance. The liquidity position of the Class A notes remains stable, with the liquidity reserve at the target level.

The methodologies applicable for the reviewed rating (Non-Performing Loan ABS Rating Methodology, 2 August 2024; 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 Shashank Thakur, Senior Analyst

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