Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually. Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for BCC NPLs 2020 S.r.l. on 17 November 2021. Credit ratings remain as follows:

Class A (ISIN IT0005428245), EUR 487,705,002 outstanding amount: BBB_SF

Class B (ISIN IT0005428286), EUR 41,000,000 outstanding amount: CC_SF

Class J (ISIN IT0005428294), EUR 24,000,000 outstanding amount: not rated

BCC NPLs 2020 S.r.l. is a static cash securitisation of secured and unsecured non-performing loans extended to companies and individuals in Italy worth EUR 2,347 million by gross book value (GBV). The portfolio was originated by 90 Italian banks, with doValue S.p.A. performing the role of special servicer and Italfondiario S.p.A. the role of master servicer. The transaction closed on 30 November 2020.

The review was conducted based on available payment information and investor and servicer reporting as of 31 July 2021 payment date. This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

As of 30 June 2021, aggregate gross collections were EUR 47.4m, which represents 188% of the original business plan expectations of EUR 25.2m. Around 94% of gross collections (EUR 44.5m) come from open debtors (i.e.: debtors for which the recovery process is still ongoing). Total available gross collections are split between judicial proceeds (41.8%) discounted pay-off proceeds (25.2%), credit sale proceeds (8.6%) and other types of collection (24.4%).

In terms of net collections (gross collections reduced by the amount of recovery expenses), aggregate net collections amount to EUR 46.2m, which represents 193% of the original net expectations.

Around 6% of gross collections (EUR 2.8m) come from closed debtors, whose GBV represents around 0.4% of the transaction’s initial GBV. Gross profitability on closed debtors is above the servicers’ expectation in the initial business plan, standing at 137.3%. Gross collections from closed debtors are split between credit sale proceeds (43.4%) and DPO proceeds (56.6%).

Interests on class B are subordinated to payment of class A principal if the net cumulative collection ratio falls below 90% of the servicers’ business plan target or the NPV profitability ratio falls below 90%. As per last investor report dated July 2021, no class B interest subordination occurred as the net cumulative collection ratio and the NPV profitability ratio stands at 193% and 168%, respectively.

All transaction counterparties continue to support the ratings.

CREDIT-POSITIVE (+)

Cumulative collections. Observed cumulative net collections are 193% of the original servicer’s business plan expectations as of 30 June 2021, (i.e.: one collection period since closing). The timing of collections has also outpaced Scope’s expectation at closing.

Closed debtors’ profitability. The gross profitability ratio for closed positions, at 137.3%, is above the level in the initial business plan.

CREDIT-NEGATIVE (-)

Italian economy. The Italian economy faced a weak economic growth rate in the first half of 2021 fueled by the Covid-19 pandemic. Despite governmental support measures, increased collateral liquidity risk and weakened borrower liquidity positions could negatively affect the recovery prospects.

Material portion of legal proceedings in initial stages or not yet started. Around 62% of the portfolio’s outstanding GBV is in the initial legal phase or is yet to have proceedings initiated. This results in a longer expected time for collections than for loans in more advanced phases.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, published on 14 December 2020; Non-Performing Loan ABS Methodology, published on 6 August 2021; Methodology for Counterparty Risk in Structured Finance, published on 13 July 2021) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Leonardo Scavo, Senior Analyst

© 2021 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.