Scope Ratings reviews its ratings either yearly, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations. Monitoring reviews are unrelated to the calendar that outlines public finance rating actions.

Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodologies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for Ibla S.r.l. on 31 August 2021. The credit ratings remain as follows:

Class A (ISIN IT0005342891), EUR 57.9m: BBB_SF

Class B (ISIN IT0005342909), EUR 9.0m: B_SF

Class J (ISIN IT0005342917), EUR 3.5m: not rated

The review was conducted based on available servicer reports, payment reports and investor reports through the 30 April 2021 payment date. This monitoring note does not constitute a rating action, nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Ibla S.r.l. is a static cash securitisation of a EUR 349m portfolio (at closing) of Italian non-performing loans originated by Banca Agricola Popolare di Ragusa S.C.p.A. and serviced by Italfondiario S.p.A. The transaction closed on 6 September 2018 and the legal maturity is 30 April 2037. Scope does not rate the class J notes.

Key rating factors

Scope’s Cash Flow Model results continue to support the assigned ratings despite Covid related impacts. Aggregate gross collections (EUR 42.4m) have underperformed original business plan expectations by 21.4%, but the structure continues to benefit from strong credit enhancement levels relative to transaction peers. The outstanding class A notional balance represents 17.4% of the outstanding portfolio as a percentage of GBV, while the combined class A and class B notes are 20.1%. Recovery expenses amounted to 16.1% of gross collections (including servicing fees), which is higher than Scope’s ‘B’ scenario lifetime expectation of approximately 12.0%.

Class B interest was subordinated to Class A principal as of the latest payment date due to the Net Cumulative Collection Ratio (76.2%) falling below 85%. This feature is captured in Scope’s Cash Flow Model. The Class B interest priority can revert back if the observed ratio rises above the 85% threshold.

All transaction counterparties continue to support the ratings.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 14 December 2020; Non-Performing Loan ABS Rating Methodology, 6 August 2021; Methodology for Counterparty Risk in Structured Finance, 13 July 2021) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst: Thomas Miller-Jones, Associate Director

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