Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

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 PoP NPLs 2019 S.r.l. on 24 November 2021. The credit ratings remain as follow:

Class A (ISIN IT0005396061), EUR 131,199,592: BBB_SF

Class B (ISIN IT0005396079), EUR 25,000,000: CCC_SF

Class J (ISIN IT0005396087), EUR 5,000,000: not rated

PoP NPLs 2019 S.r.l. is a static cash securitisation of a EUR 826.7m portfolio (at closing) of Italian non-performing loans originated by 12 banks. The portfolio is serviced by Prelios Credit Solutions S.p.A. and Fire S.p.A. as special servicers and Prelios Credit Services S.p.A as master servicer. The transaction was closed on 23 December 2019 and the legal maturity is February 2045. Scope does not rate the class J note.

The review was conducted considering available servicer reports, payment reports and investor reports up to August 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 6 August 2021, aggregate gross collections were EUR 57.2m, which is 135.9% of the original business plan gross expectations up to that date (EUR 42.1m). Total gross collections are split between judicial proceeds (39.3%), discounted payoff proceeds (18.2%), and other types of collections that are not yet classified (42.5%).

Around 73% of the total gross collections come from open debtors (i.e. debtors for which the recovery process is still ongoing). The servicers have closed debtors for a total gross book value of 4.6% of the transaction’s initial gross book value: Prelios closed 2% of the portfolio’s gross book value under its management, while Fire closed a share of 7% of gross book value.

Class A has amortised by 24% since the issuance date. No interest subordination event for class B have occurred. The Net Cumulative Collection Ratio and the Net Present Value Cumulative Profitability Ratio stood at 127.4% and 138.9%, above the 90% threshold for the interest subordination event.

Profitability of closed debtors (i.e. positions for which the recovery procedure was closed) is below Scope’s expectation for the B case scenario. However, given that the resolved borrowers represent a limited portion of the transaction’s initial gross book value (4.6% of total GBV), the impact of profitability is currently not material for the transaction. Prelios has closed borrowers with a higher profitability than Fire, in comparison with Scope’s expectations for the B case scenario. Scope will closely monitor the evolution of resolved borrowers’ profitability over time.

The servicers sold a total number of 949 properties: Fire sold 160 properties while Prelios sold 789 properties. Majority of the properties that were sold by Prelios were residential, lands and commercial assets (47% and 23% and 16% respectively of the total number of properties sold by Prelios). Scope will continue to monitor property sales data and resulting discounts versus the original assets’ valuations that were provided by the originators at closing. The same analysis was not conducted on Fire sold properties due to the lack of detailed information at a property level.

All transaction counterparties continue to support the ratings.

CREDIT-POSITIVE (+)

Cumulative net collections timing. Aggregate net collections (net of recovery expenses) are EUR 52.3m and have outpaced Scope’s timing expectations under class A analysis.

Cumulative net collections against business plan. Aggregate net collections are higher than the original business plan net collections estimate by 27.0%. Prelios cumulative net collection ratio stands at 107%, and Fire cumulative net collection ratio stands at 163%.

CREDIT-NEGATIVE (-)

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

Recovery expenses. Recovery expenses amounted to 8.6% of gross collections, which is above the average of peer transactions monitored by Scope.

The methodologies applicable for the reviewed rating (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 Rossella Ghidoni, Director

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