Rating action

Scope Ratings GmbH (Scope) has taken the following rating actions on the notes issued by Aqui SPV S.r.l.:

Class A (ISIN IT0005351330): EUR 228.3m: downgraded to CCC_SF from B-_SF

Class B (ISIN IT0005351348): EUR 62.9m: not rated

Class J (ISIN IT0005351355): EUR 10.9m: not rated

Transaction overview

Aqui SPV S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 2,082 million by gross book value (GBV) at closing. The portfolio was originated by BPER Banca S.p.A, Cassa di Risparmio di BRA S.p.A and Cassa di Risparmio di Saluzzo S.p.A. (currently both merged in BPER Banca S.p.A) and is serviced by Prelios Credit Services S.p.A. as master and special servicer. The transaction closed on 7 November 2018 and its final maturity is in October 2038.

The structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. Class B interest payments ranking senior to class A principal are capped at 7% and will be fully deferred if certain special servicer performance triggers are breached. Class J principal and interest are subordinated to the repayment of the senior and mezzanine notes.

The transaction is serviced by Prelios Credit Servicing,S.p.A., BNP Paribas SA acts as account bank and paying agent, while JP Morgan SE is the interest rate cap provider.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s initial key rating drivers, ii) a review of its key model assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

The rating downgrade has been primarily driven by significant underperformance in terms of profitability and timing relative to Scope’s initial assumptions, reflected in a continued deterioration of remaining gross collections to notes outstanding balance coverage ratios.

The Class A current rating is seven notches below the ratings assigned at closing on 7 November 2018.

Key rating drivers

Scope has changed its assessment of some of the key rating drivers disclosed in our initial rating action release dated 7 November 2018 . We do no longer consider portfolio servicing (i.e. servicer outperforming its business plan), real estate recovery and hedging structure as positive rating drivers. The transaction is performing significantly below the servicer’s business plan and properties have been sold at higher discounts than initially expected. The slower than expected amortisation of the notes has amplified the mismatch between the hedge notional schedule and the outstanding class A notes balance. The rest of the rating drivers disclosed at closing are still applicable. None of the key rating drivers are ESG related.

Key model assumptions

• Rating-conditional lifetime gross recovery rates
   
• Rating-conditional recovery timing vectors

Updates to the key assumption levels and to other relevant CFM parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics

As of the last collection date, aggregate gross collections were EUR 443.9m (net of indemnities on the portfolio “sample”), which represents 67.4% of the original business plan expectations. The breakdown of collections is as follows: judicial proceeds (50.0%), discounted pay-off proceeds (25.6%), credit sales proceeds (16.2%), indemnity payments (7.1%), and other (1.1%).

The most recent business plan update projects gross recoveries to be 19.3% lower than initially expected, along with an increase in the collections’ weighted average life from 4.3 to 4.9 years. The net present value cumulative profitability ratio, computed for closed positions, stands at 101.0%, while the cumulative collection ratio stands at 66.9%.

Key data sources

Scope’s review was based on servicer, investor and payment reporting as of October 2024 payment date. Scope also considered the macro-economic and NPL sector context reflected in the 2025 structured finance outlook.

Relevant changes to key transaction features

Class A coverage has significantly deteriorated over time. The gross coverage ratio (calculated as the quotient of expected recoveries and senior notes outstanding principal amount) reduced to 83.2% from 170% at B case.

The servicer’s cumulative collection ratio is currently 66.9%, below the 95% subordination threshold of mezzanine notes interest payment.

There have not been changes to the transaction’s counterparties, and no significant changes to Scope’s assessment of counterparty risk.

Rating-change drivers

A sharp and sustained improvement of collateral performance metrics could positively impact the ratings. A further deterioration of the expected Class A coverage ratios, a drawdown of the liquidity reserve, or the occurrence of an interest payment shortfall could negatively impact the ratings.

Sensitivity analysis

The following analysis has the sole purpose of illustrating the sensitivity of the credit ratings to CFM parameters, all else equal, and is not indicative of expected or likely scenarios.

Class A notes:

• 10% haircut to gross recoveries: minus two notches
   
• Extending the recovery by one year: minus two notches

Quantitative analysis

This section provides non-exhaustive list of relevant CFM parameters, and how they compare to those applied at the initial/previous rating assignment:

• Expected lifetime recovery rate of 31.2% (at closing it was 44.4%) over a weighted average life of 4.5 years (at closing 4.9).
   
• Recovery expenses: 8% of expected gross recoveries (9% at closing).
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Rating Methodology.

Stress testing
Stress testing was performed by applying Credit-Rating-adjusted recovery rate assumptions.

Cash flow analysis
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Version 2.0 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

Methodology
The methodologies used for this Credit Rating, (Non-Performing Loan ABS Rating Methodology, 2 August 2024; Counterparty Risk Methodology, 10 July 2024; General Structured Finance Rating Methodology, 13 February 2025), are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Version 2.0), available in Scope Ratings’ list of models, published under https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at https://scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating are based. Following that review, the Credit Rating was not amended before being issued.

Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead analyst: Davide Nesa, Senior Director
Person responsible for approval of the Credit Rating: Paula Lichtensztein, Senior Representative
The Credit Rating was first released by Scope Ratings on 7 November 2018. The Credit Rating was last updated on 8 April 2024.

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.

Conditions of use / exclusion of liability
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