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 methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for Juno 1 S.r.l. on 29 February 2024. The credit ratings remain as follows:

Class A (ISIN IT0005340614), EUR 29.1m outstanding: BBB+_SF

Class B (ISIN IT0005340622), EUR 26.0m outstanding: not rated

Class J (ISIN IT0005340630), EUR 1.9m outstanding: not rated

The review was conducted considering available servicer reports, payment reports and investor reports up to January 2024.

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 actions connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key Rating factors

Rating factors assessed during the monitoring review include realised profitability on closed positions, the timing of cumulative collections and the amount of recovery expenses, against Scope’s expectations. The rating also considered Italy´s macro-economic outlook, the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreement.

The transaction has significantly deleveraged since closing (current class A notes pool factor at 21.4%), reducing senior costs over time and creating a relevant cushion over the interest rate cap notional. On the flip side, current rating factors in uncertainty around realised profitability as the share of closed positions is very small relative to GBV (based on Scope´s analysis, only around 17% of the transaction’s initial GBV has been closed by the servicer). In addition, the servicer has revised the original business plan aggregate collection estimate downwards by 13.4%.

The methodologies applicable for the reviewed ratings (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. The update of Scope’s General Structured Finance Rating Methodology published on 6 March 2024 does not have an impact on the rating.
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

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