The current ratings on the class A are available here.

Aqui SPV S.r.l. is a static cash securitisation of a EUR 2,082m portfolio (as of closing) of non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by BPER Banca S.p.A. and its subsidiary companies Cassa di Risparmio di Saluzzo S.p.A and Cassa di Risparmio di Bra, S.p.A. The transaction closed on 7 November 2018.

The cumulative collection ratio stands at 111.9% of the business plan through the second interest payment date (31 October 2019). The profitability ratio is 99.4% through the same period. Scope’s review was based on available payment information, investor reports and servicer reports as of October 2019.

Aggregate gross collections since the cut-off date are EUR 118m – 76.4% of which is from open debtors (i.e., debtors for which the recovery process is still ongoing). This figure represents about 14.7% of Scope’s expected lifetime collections considered for the analysis of the class A notes. The amount and timing of collections are above Scope’s expectations assumed at closing.

The composition of gross proceeds are judicial proceeds (55.9%), DPO proceeds (27.2%), and ad-interim collections (15.3%) and other proceedings (1.6%). Collections sources for closed positions were DPO proceeds (62.8%), ad-interim collections, spontaneous payments and additional guarantees recovery (24.1%) and other sources (13.1%).

No interest subordination event has occurred, since both the cumulative collections ratio and the cumulative profitability ratio (111.9% and 99.4%, respectively) are above the 95% trigger level.

The transaction is exposed to i) BPER Banca S.p.A. and its subsidiary companies as originator and limited recourse loan provider; ii) Prelios Credit Servicing, as special and master servicer; iii) BNP Paribas Securities Services (Milan Branch) as the issuer’s account bank, agent bank, cash manager, and paying agent; iv) Securitisation Servicers, as back-up master servicer, noteholders’ representative, calculation agent and corporate servicer; v) Zenith Services S.p.A., as monitoring agent; and vi) JP Morgan AG as the cap counterparty. All counterparties continue to be supportive for the rating.

Scope will continue to monitor Aqui SPV S.r.l. on an ongoing basis.

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