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 Sirio NPL S.r.l. on 19 April 2024. The credit ratings remain as follow:

Class A (ISIN IT0005431074), EUR 91.2m current balance: BBB_SF

Class B (ISIN IT0005431116), EUR 35.0m current balance: not rated

Class J (ISIN IT0005431124), EUR 9.9m current balance: not rated

The reviews were conducted considering available servicer reports, payment reports and investor reports up to March 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.

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 agreements.

The transaction has shown a relatively stable performance since the last review conduct on 23 June 2023 continuing recording a better timing, but with lower property sales discount compared to Scope original assumption. The Class A notes amortised faster than expected reducing senior costs over time and creating a cushion over the interest rate cap notional, additionally actual recovery expenses continue to remain below Scope assumptions. Class A notes liquidity position remains stable and the liquidity reserve at target, 4.0% of Class A notes outstanding balance. Indemnities requests and still not worked out remain a relevant amount compared to the average of other NPL transactions, and the Class A outstanding.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; Non-Performing Loan ABS Rating 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 Davide Nesa, Director

Potential Conflict
See www.scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest related to the issuance of Credit Ratings. 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.

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