BCC NPLS 2018 S.r.l. performance continues to support the ratings of class A and class B.
No rating action following Scope’s annual performance review of BCC NPLS 2018 S.r.l.
Current ratings on the transaction are available here.
BCC NPLS 2018 S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) that were extended to companies and individuals in Italy. The loans were originated by 21 Italian cooperative banks coordinated by Iccrea S.p.A. and two banks belonging to ICCREA Banca S.p.A. The transaction closed on 10 July 2018.
The transaction exhibits a fair performance, showing a profitability ratio of 101% and a cumulative collection ratio of 98.5%. Scope’s review was based on available payment information and servicer reporting as of 1 July 2019.
Aggregate gross collections since the cut-off date have amounted to EUR 41.1m (of which 62% related to not fully resolved debtors, i.e. debtors for which the recovery process was ongoing), which represents around 9.3% of Scope’s expected lifetime collections considered for the analysis of class A notes. The amount and timing of collections have outpaced so far Scope’s expectations.
The reported net profitability on fully resolved debtors (i.e., positions for which the recovery procedure was accomplished) was below the servicer’s expectation. The underachievement is mainly resulting from note sales connected to fully resolved borrowers, which show lower recoveries than expected in the business plan’s (BP) initial forecast. Scope will continue to monitor the future development of recoveries coming from note sales. However, only a limited number of borrowers have been closed so far.
Cumulative collections fall behind the BP forecast in terms of gross values and of net collections after all fees (respectively 94% and 96%). However, Scope acknowledges that one-fifths of the actual collections (20%) are related to ad-interim (collections from the cut-off-date until the transaction’s closing date, owned by the SPV) and cash-in-court proceedings. The amount of ad-interim proceeds received during the first two collection periods excluding the same type of proceeds reported before closing is quite low and indicates a delay of cash in court proceedings. In addition, the special servicer has updated the BP based on the September 2018 cut-off date, reducing future expected collections by 3.7%. Scope will continue to monitor BP future reviews, analysing the underlying rationale.
Open debtors (i.e. debtors for which the recovery process was ongoing) present collections related to cash-in-court and ad-interim proceeds for 31%; 42% derive from judicial procedures (i.e., foreclosure and bankruptcies procedures), whilst the remainder 27% mostly relates to DPOs (discounted payoff procedures). Fully resolved debtors present collections from note sales (79%), DPOs (20%) and judicial proceeds (1%).
Regarding the auction processes, Scope observes that the assets have been sold with sales prices below the last auctions’ base prices (weighted average of 94%).
No interest subordination event has occurred, since both the Cumulative Collections Ratio and the NPV Cumulative Profitability Ratio (101% and 98.5%, respectively) are above the trigger level of 90%.
The transaction is exposed to i) BNP Paribas Securities Services, Milan Branch (the parent company, BNP Paribas SA, is rated AA-/S-1+ by Scope) as account bank, paying agent cash manager and agent bank; ii) Zenith Service S.p.A. as monitoring agent; iii) Securitisation Services S.p.A, which acts, inter alia, as back-up master servicer, corporate services provider, representative of the noteholders, and calculation agent, iv) J.P. Morgan AG as the interest rate cap provider; and v) Prelios Credit Servicing S.p.A. as servicer. There have not been material changes to counterparty risk.
Scope will continue to monitor BCC NPLS 2018 S.r.l. on an ongoing basis.
Ratings and research are freely available at www.scoperatings.com.