Scope has reviewed the performance of Elrond NPL 2017 S.r.l. – Italian NPL

The performance of Elrond NPL 2017 S.r.l. continues to support the ratings assigned at closing. No rating action is warranted as a result.

Profitability on closed positions is above Scope’s initial expectations. The reported cumulative profitability ratio is 128%, while the 78% gross collection ratio qualified as an underperformance event since the 31 January 2018 payment date.

Scope has compared its own gross recovery projections to the observed performance of the transaction from closing and does not consider the underperformance event to be a material signal at this stage, which suggests there is no impact on the rated notes. Scope’s review is based on semi-annual business plan and investor reporting up to 31 January 2018 and monthly loan-level reporting up to 31 May 2018.

The transaction performance continues to rely on Cerved Credit Management SpA, the special servicer; Cerved Master Services SpA, the master servicer; BNP Paribas Securities Services (subsidiary of BNP Paribas SA, rated AA-/S-1 stable by Scope), account bank, paying agent and cash manager; and JP Morgan and Banca IMI (subsidiary of Intesa Sanpaolo SPA, rated A/S-2 stable by Scope). Italy’s continued economic recovery would also benefit the transaction.

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Elrond NPL 2017 is a static cash securitisation of secured and unsecured non-performing loans (NPL) extended to borrowers in Italy. The loans were originated by Credito Valtellinese SpA and Credito Siciliano S.p.A., which are subsidiaries of the Credito Valtellinese Banking Group, and are extended to companies and individuals. Credit enhancement on the Class A and Class B notes is 68.0% and 64.7%, respectively, as of the 31 January 2018 investors report. The transaction closed on 14 July 2017 and has a legal maturity of 31 July 2040.

Scope continuously monitors Elrond NPL 2017 S.r.l.

Ratings and research are freely available at www.scoperatings.com.

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