The current ratings on the class A and class B are available here and here, respectively.

POP NPLs 2018 S.r.l. is a static cash securitisation of an Italian NPL portfolio worth (at closing) around EUR 1,578m by gross book value, and originated by 17 Italian banks. The transaction closed on 16 November 2018.

The cumulative collection ratio stands at 189% of the business plan as of the second interest payment date (31 October 2019). The profitability ratio is 119.7% at the same payment date. Scope’s review was based on available payment information, the investor and servicer reports as of October 2019, related to the first interest payment date.

Aggregate gross collections since the cut-off date are EUR 50m – 91% of which is from open debtors (i.e., debtors for which the recovery process is still ongoing). This figure represents about 7.9% of Scope’s expected lifetime collections considered for the analysis of the class A notes. The amount and timing of collections exceed Scope’s expectations assumed at closing; however the period of observation is only 6 months after closing, and most of the proceeds are ad-interim collections, already available at closing.

The sources of gross proceeds, for both open and closed positions, are judicial proceeds (20.6%), DPO proceeds (10.1%), ad-interim collections (67.8%), and other proceedings (1.6%). Collections sources for closed positions are ad-interim collections (75.5%), DPO proceeds (19.6%), and other sources (4.8%).

No interest subordination event has occurred. Both the cumulative collections ratio and the cumulative profitability ratio (157% and 129%, respectively) are well above the 90% trigger level.

Counterparty risk to which the transaction is exposed has not materially changed since closing.

Scope will continue to monitor POP NPLs 2018 S.r.l. on an ongoing basis.

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