The current ratings on the class A are available here.

Belvedere SPV S.r.l. is a static cash securitisation of a EUR 2,541m portfolio (as of closing) of non-performing loans (NPLs) extended to companies and individuals in Italy. The portfolio was initially purchased from various Italian banks by several special purpose vehicles managed by Bayview Italia S.r.l and then sold through this transaction to the issuer, Belvedere SPV S.r.l. The transaction closed on 21 December 2018.

The cumulative collection ratios per servicer stand at 147.6% (Bayview) and 30.7% (Prelios) of the business plan through the second interest payment date (31 December 2019). The profitability ratios are 92.2% (Bayview) and 268.7% (Prelios) through the same period. Scope’s review was based on available payment information, investor reports and servicer reports as of January 2020.

According to Prelios Credit Servicing S.p.A. the low cumulative collection ratio achieved on its part of the portfolio is due to a longer than initially assumed onboarding process. This was only completed in September 2019, nine months after the closing date.

Aggregate gross collections since the cut-off date are EUR 54.1m – which is almost all from open debtors (i.e., debtors for which the recovery process is still ongoing). A portion of the collections was retained by the sellers and deducted from the purchase price. In addition, a portion of the proceeds from notesales will be only distributed after six months have elapsed since its sale, i.e. will be available at the next IPD.

The composition of available gross proceeds for the first two collection periods are judicial proceeds (74%), DPO proceeds (9%), notesales proceeds (8.8%), ad-interim collections (7.1%) and other types of collections (1.1%).

The ReoCo awarded nine properties since its implementation in June 2019 at an aggregated price below Scope’s expectation. The exit plan foresees future sale prices in excess of Scope’s expectation and the business plan, which may reflect positively on the recoveries.

The transaction is exposed to i) Bayview Global Opportunities Fund S.C.S. SICAV-RAIF, regarding representations and warranties; ii) Prelios Credit Servicing S.p.A. as master servicer and special servicer; iii) Bayview Italia S.r.l. as special servicer; iv) Securitisation Services S.p.A. as back-up master servicer, noteholders’ representative, and calculation agent; v) BNP Paribas Securities Services as account bank, paying agent, cash manager and agent bank; vi) Zenith Service S.p.A. as monitoring agent and corporate servicer; and vii) JP Morgan AG and BNP Paribas as the interest rate cap providers. All counterparties continue to be supportive for the rating.

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

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