Rating action

Scope Ratings GmbH has taken the following rating action on the instrument issued by Sirio SPV S.r.l.:

Class A (ISIN IT0005431074), EUR 34,979,768: upgraded to A-_SF from BBB_SF

Class B (ISIN IT0005431116), EUR 35,000,000: not rated

Class J (ISIN IT0005431124), EUR 9,870,000: not rated

Transaction overview

The transaction is a static cash securitisation of an Italian NPL portfolio worth around EUR 1,228m by gross-book value (’GBV’). The portfolio was originated by Unione di Banche Italiane S.p.A. (now merged in Intesa Sanpaolo S.p.A) and is serviced by Prelios Credit Servicing S.p.A.

The issuer acquired the portfolio at the transfer date of 4 December 2020, and it is entitled to receive all the portfolio collections received since the cut-off date of 31 December 2019. The pool was composed of senior secured (53.7%), unsecured (38.7%) and junior secured loans (7.6%), accordingly to Scope calculation. The borrowers were mainly corporates (93%). Secured loans were backed by residential and non-residential properties (35.3% and 64.7% of the total first-lien property value, respectively) that were rather concentrated in the north of Italy (51.6%) followed by central (25.2%), and southern (23.2%) regions. Asset information reflects aggregation by loans and Scope’s pool adjustments related to collections and sold properties since the cut-off date.

The structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. Class A will pay a floating rate indexed to six-month Euribor, plus a margin of 0.5%, whilst class B will pay a floating rate indexed to six-month Euribor, plus a margin of 9.5%.

Relevant changes to the key transaction features

Class A coverage has significantly strengthened since closing. The gross coverage ratio (calculated as the ratio between expected recoveries and senior notes outstanding principal amount) has increased to 366.5%, up from 163.4% under the B case.

The servicer’s cumulative collection ratio is currently 181.2%, well above the 90% threshold that would trigger a subordination of mezzanine notes interest payments.

There have not been relevant 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 key rating drivers, ii) a review of its key 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 relative to Scope’s initial assumptions. Five years post-closing, Class A notes have amortised by 87.9%. This amortisation pace has been materially faster than Scope’s initial projections. As a result, Scope now assumes lower senior costs relative to expectations at closing, reflecting the reduced time horizon for interest and senior expenses.

Key rating drivers

The key rating drivers have evolved since the rating action release dated 16 December 2020. Scope does not consider the material portion of legal proceedings in initial stages a negative rating driver since the recovery timing so far have been significantly ahead its initial expectations. Scope added a new rating driver related to the unlikely event of class B interest subordination, as explained below. Other drivers remain unchanged.

Unlikely class B interest subordination event (negative). Over the first year since closing, the servicer’s cumulative collection ratio (CCR) rose above 200% and has remained stable. This is primarily due to the original business plan being heavily backloaded, while actual collections were frontloaded. The initial plan projected a weighted average life of 5.8 years, compared to a range between 3 to 4 years in subsequent updates. These faster-than-expected collections have made a breach of the Class B subordination trigger (90%) highly unlikely for the foreseeable future, even if the servicer underperforms its recovery expectations. As a result, part of the available collections is diverted from Class A principal repayments to cover Class B interest payments.

None of the key rating drivers are ESG related.

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.

Updates to these assumptions and other parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics

As of the last collection date, aggregate gross collections were EUR 331m, which represents 74.0% of the current servicer business plan expectations. The breakdown of collections is as follows: judicial proceeds represent 55.3%, discounted pay-off proceeds contribute 32.8%, credit sales proceeds make up for the remaining 0.5% and other proceeds 11.4% (including collections available at closing and indemnifications).

The latest update to the servicer’s business plan shows gross recoveries 4.4% below the initial expectations, along with a reduction in the portfolio’s weighted average life from 5.8 years to 3.7 years, mainly due to the first revision. This indicates a more front-loaded recovery profile than originally anticipated.

Key data sources

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

Rating-change drivers

The rating may change in the event of i) changes to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources; ii) significant changes to the transaction’s collateral and structural features; and/or iii) a change in Scope’s view regarding the transaction’s key rating drivers.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit rating to the assumed parameters and, all else being equal, does not reflect expected or likely scenarios.

• 10% haircut to gross recoveries: one notch
   
• One-year increase of recovery lag: one notch

Quantitative analysis

The following key quantitative parameters have changed since closing:

• Lifetime recovery rate at B case has been revised to 31.4% from 30.5%, based on a weighted average life of 4.0 years, previously 6.3 years.
   
• Recovery expenses have been revised to 12.0% from 10.0%.
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Rating Methodology.

Rating driver references
1. Transaction reporting (Confidential)

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 2.2 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; Counterparty Risk Methodology, 30 June 2025; General Structured Finance Rating Methodology, 13 February 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Version 2.2), 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 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 is 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 16 December 2020.

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. 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.

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. Public Ratings are generally accessible to the public. Subscription Ratings and Private Ratings are confidential and may not be shared with any unauthorised third party.