Rating action

Scope Ratings GmbH (Scope) has taken the following rating action on the class A notes issued by Itaca SPV S.r.l.:

Class A (ISIN IT0005494221): EUR 12.2m: upgraded to A+_SF from BBB+_SF

Class B (ISIN IT0005494247): EUR 24.0m: not rated

Class J (ISIN IT0005494254): EUR 6.0m: not rated

Transaction overview

The transaction is a static cash securitisation of an Italian NPL portfolio with a gross book value (as total gross claim amount) of around EUR 1,128m at closing. The securitised pool was mostly composed of unsecured loans (69% of the portfolio’s gross-book-value (GBV)) and the remaining share representing senior secured loans. The transaction closed on 6 May 2022 and the legal maturity is July 2045.

The capital structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. The Euribor component for class A and class B notes is capped at certain levels until January 2035. The difference between the class B Euribor interests amount and the class B capped Euribor interests amount will be paid upon the full amortisation of class A notes. Class J notes pay a variable return. Interest rate risk on class A notes is partially hedged with an interest rate cap spread.

The transaction is serviced by doValue S.p.A. as special servicer, and by doNext S.p.A. as master servicer. Unicredit S.p.A. acts as account bank and cash manager, while Unicredit Bank Gmbh (formerly UniCredit Bank AG) is the interest rate cap counterparty and limited recourse loan 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 upgrade has been primarily driven by significant overperformance in terms of timing of collections relative to Scope’s initial assumptions, reflected in a fast amortisation of the class A notes and continued improvement of remaining gross collections to notes’ outstanding balance coverage ratios.

The class A notes’ current rating is four notches above the rating assigned at closing on 6 May 2022.

Key rating drivers

Key rating drivers remain aligned with those disclosed in Scope’s initial rating action release dated 6 May 2022. Additionally, Scope considers the current liquidity coverage a new negative key rating driver that constrains the class A notes’ rating. Class A notes’ estimated liquidity coverage is seven months, short of the minimum coverage expected for such types of instrument to support ratings of AA- or above. 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 January 2025 payment date, aggregate gross collections were EUR 165.3m, which represents 294% of the original business plan expectations. The breakdown of collections is as follows: discounted pay-off proceeds (‘DPOs’) (60%), judicial proceeds (24%), credit sales proceeds (5%) and other (11%).

The senior notes have deleveraged by approximately 90% resulting from the overperformance in collections relative to Scope and servicer expectations. Class A notes are strongly hedged and estimated coverage ratios have significantly improved compared to the last assessment. The profitability on secured closed borrowers is at 85% of Scope initial B case assumptions. Although Scope observes an improvement year-on-year, uncertainty around lifetime profitability is high. So far, Scope believes that low profitability has been partly driven by a significant share of collections coming from DPOs. Scope has not been able to perform full collateral sales analysis due to limited sales data information received during the review.
The servicer revised its original lifetime gross collections upward by 5% in its updated business plan.

Key data sources

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

Relevant changes to key transaction features

Relative to closing, the structure has strengthened significantly, reflected in an improvement of gross coverage ratio (computed as the quotient of expected recoveries and senior notes outstanding principal amount) to 1141% from 232% at B case. The servicer’s cumulative collection ratio is currently 308.5%, significantly above the 90% 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

An improvement in the liquidity coverage could positively impact the rating. A significant deterioration of expected collections to outstanding note balance coverage ratio could negatively impact the rating.

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 recoveries: zero notches.
   
• Extending the recovery by one year: zero 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:

• Lifetime recovery rate at B case is 27% (at closing it was 26%) over a weighted average life of 3.6 years (at closing it was 5.8 years).
   
• Recovery expenses: 12% of expected gross recoveries (10% 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. 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: Elom Kwamin, Analyst
Person responsible for approval of the Credit Rating: Benoit Vasseur, Managing Director
The Credit Rating was first released by Scope Ratings on 6 May 2022. The Credit Rating was last updated on 4 March 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
© 2025 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Innovation Lab GmbH and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.