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 Capella Financing S.à r.l. on 14 March 2024. The credit rating remains as follows:

Class A (XS2590244807), EUR 123.8m outstanding: BBB_SF

Class B (XS2590245101), EUR 114.5m outstanding: not rated

Class Z (XS2590247735), EUR 442.7m outstanding: not rated

The review was conducted based on available payment and servicer reports reflecting performance up to the January 2024 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

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

The transaction has significantly deleveraged in a relative short timeframe (current class A notes pool factor at 54%), reducing future senior and liability costs. However, current rating factors in uncertainty around realised profitability as the share of closed positions and sold REO is small relative to GBV (based on Scope´s analysis, less than 2% 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 8.5%.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; 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

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