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      Scope has completed a monitoring review for Hestia Financing S.à r.l.
      THURSDAY, 30/11/2023 - Scope Ratings GmbH
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      Scope has completed a monitoring review for Hestia Financing S.à r.l.

      No rating action has been taken on class A notes following the monitoring review.

      Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

      Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

      Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

      Scope completed the monitoring review for Hestia Financing S.à r.l. on 24 November 2023. The credit rating remains as follows:

      Class A notes (XS2409267254), EUR 286.2m outstanding: BBBSF

      Class Z notes (XS2409266876), EUR 1,721.7m outstanding: not rated


      Hestia Financing S.à r.l. is a Cypriot static cash securitisation of a portfolio of non-performing loans (NPLs) and real estate owned (REO) properties with a total adjusted pool value of EUR 2.06bn at closing (total adjusted exposure of non-performing loans and appraised value of REO properties). The portfolio was originated by Bank of Cyprus (originator) and is owned by Themis Portfolio Management Holdings Limited, a Cypriot Credit Acquiring Company (CyCAC), which was acquired by Oxalis Holdings S.à r.l (sponsor). The portfolio is serviced by Themis Portfolio Management Limited (Themis).

      The review was conducted based on available payment and servicer reports reflecting performance up to the October 2023 interest payment date.

      This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

      Key rating factors

      The portfolio has generated EUR 294m gross collections of which EUR 226m are cash collections and EUR 68m are REO sales. Current gross collections are equal to 322% of Scope’s B case scenario. The servicer has also repossessed EUR 84m worth of real estate assets in the last 12 months (October 2022-September 2023), increasing the open market value of currently managed REO to EUR 239m. Although the repossession pace has been relatively strong, the pace of collections and sales proceeds is 39% behind servicer’s initial expectations.

      REO sales discounts (positive)

      Observed REO sales discounts are better than Scope’s expectations, partly supported by broadly increasing property prices. However, recent interest rates hikes may have a potential negative impact on future market prices.

      Activated cash sweep event (positive)

      The structure features a cash sweep event triggering the fully sequential amortisation of class A notes, based on a target outstanding class A notional schedule. A cash sweep event has been triggered since the third IPD, as the outstanding balance of class A exceeded the notional schedule. Scope expects the notes will continue to benefit from the cash sweep, as the current balance of the notes (around 60% of the initial balance) remains well above (28%) the scheduled amortisation amount as of the last IPD.

      Interest rate risk underhedged (negative)

      Outstanding balance of class A notes is above the notional amount defined in the interest rate cap agreement. The hedging structure against Euribor only partially limits the exposure to interest rate risk for the class A notes.

      Volatility of expenses (negative)

      Expenses including all CyCAC and issuer expenses, and servicing fees amount to 25% of cumulative collection since issuance. However, the level of periodic expenses has been volatile, ranging between 16 to 51% of cumulative collections.

      The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 25 January 2023; Non-Performing Loan ABS Methodology, 3 August 2023; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
      This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
      Lead analyst Leonardo Scavo, Senior Specialist

      © 2023 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis 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.

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