Rating action

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

Class A (ISIN IT0005468365), EUR 60.7m: upgraded to A_SF from BBB+_SF

Class B (ISIN IT0005468373), EUR 26.1m: not rated

Class J (ISIN IT0005468381), EUR 2.9m: not rated

Transaction overview

The transaction is a static cash securitisation of a EUR 2,168m portfolio by gross book value of Italian non-performing loans, as of closing date, originated by Unicredit S.p.A. The transaction closed on 25 November 2021 and the notes have a final maturity on 31 July 2044.

The capital structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. Class A pays a floating rate indexed to six-month Euribor, plus a margin of 1.5%, class B pays a floating rate indexed to six-month Euribor, plus a margin of 9.5% and class J pays a variable return. Interest rate risk on class A notes is partially hedged with an interest rate cap spread. Class J principal and interest are subordinated to the repayment of the senior and mezzanine notes.

The transaction is currently serviced by doValue S.p.A. as special servicer, with doNext S.p.A. (formerly Italfondiario S.p.A.) acting as the master servicer. Unicredit S.p.A. serves as the account bank, while Unicredit Bank Gmbh (formerly Unicredit Bank A.G.) acts as the interest rate cap counterparty.

Relevant changes to the key transaction features

Relative to closing, the structure has strengthened, reflected in an improvement in gross coverage ratio (computed as the quotient of expected recoveries and senior notes outstanding principal amount) to 393.8% from 205.1% at B case. The servicer’s cumulative collection ratio is currently 150.0%, significantly above the 90% subordination threshold of mezzanine notes interest payment.

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

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 collections outperforming Scope’s initial expectations, resulting in faster-than-anticipated amortisation of the class A notes and a continued improvement in coverage ratios of remaining gross collections to the outstanding balance of the notes.

Key rating drivers

Scope has changed its assessment of some of the key rating drivers disclosed in the initial rating action release dated 25 November 2021. Scope no longer considers the significant portion of unsecured loans as a negative rating driver, given that this portion of the portfolio has materially outperformed Scope’s initial expectations. Scope has made additions to the transactions key rating drivers below. The other key rating drivers remain unchanged.

Unlikely class B interest subordination event (negative): Servicer has reported cumulative collection ratio of 150%, significantly exceeding the 90% threshold that would trigger interest subordination for class B notes. Consequently, Scope anticipates continued interest payments to the mezzanine notes over the short to medium term. This results in a portion of available collections being redirected from principal repayments on the Class A notes to cover interest payments on the Class B notes.

Key analytical assumptions:

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

The analytical assumptions incorporate the transaction’s historical performance and peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including (a) the servicer’s recovery strategies, (b) Scope’s macroeconomic expectations, and (c) the credit committee’s outlook for the asset class over the transaction’s remaining lifetime.

Details on these assumptions and other parameters are provided under the section ‘Quantitative analysis’ below.

Key performance metrics

As of the July 2025 payment date, aggregate gross collections totaled EUR 288.2 million, representing 51.7% of the original business plan expectations. The breakdown of collections is as follows: discounted pay-off proceeds (57.5%), judicial proceeds (34.0%), credit sales proceeds (8.3%), and other sources (0.2%).

The senior notes have deleveraged by approximately 76.7%, resulting from the outperformance 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 gross coverage ratio improved to 393.8% from 298.4% at the B case for class A notes.

Profitability remains stable compared to the last assessment. Estimated profitability on secured closed positions is approximately 88.8% of original assumptions under the B case. Average observed property sale discounts have been last reported at around 46.0%.

Actual legal expenses represent 8.6% of gross proceeds to date.

Key data sources

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

Rating-change drivers

A change to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transaction’s key rating drivers could impact the ratings.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit rating to the assumed parameters and, all else being equal, is not reflect 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 outlines a list of key quantitative parameters that have changed since closing:

• Lifetime recovery rate at B case has been revised to 25.8% from 24.7% at closing, based on a weighted average life of 4.0 years, previously 6.4 years.
   
• Recovery expenses have been updated to 14% of expected gross recoveries from 9% at closing.
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance 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 2.1 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, 1 August 2025; General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Version 2.1), available in Scope Ratings’ list of models, published under 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 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 scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): registers.esma.europa.eu/cerep-publication/. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at 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 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 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, Senior Analyst
Person responsible for approval of the Credit Rating: Paula Lichtensztein, Senior Representative
The Credit Rating was first released by Scope Ratings on 25 November 2021. The Credit Rating was last updated on 19 December 2024.

Potential conflicts
See 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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