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 has completed a monitoring review of BCC NPLs 2021 S.r.l. on 1 August 2023 and considered available servicer reports, payment reports and investor reports up to April 2023. The credit ratings remain as follows:

Class A: EUR 284.0m original balance, EUR 252.4m current balance: BBB_SF

Class B: EUR 39.5m original balance, EUR 39.5m current balance: CCC_SF

Class J: EUR 13.0m original balance, EUR 13.0m current balance: not rated

BCC NPLs 2021 S.r.l. is a static cash securitisation of a EUR 1,312m portfolio (as of closing) by gross book value, of which EUR 1,147m and EUR 165m are allocated to Italian non-performing loans and leases respectively. The NPL portfolio was originated by 74 cooperative banks belonging to the Iccrea Cooperative Banking Group, Banca Ifis S.p.A., Guber Banca S.p.A and Cassa di Risparmio di Asti S.p.A. The transaction closed on 29 November 2021 and has a final maturity of 30 April 2046.

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 actions connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Rating factors

Rating factors in the monitoring review include realised profitability on closed positions, the timing of cumulative collections and the amount of recovery expenses, assessed against Scope’s expectations. Additionally, the review addressed the risk of a slowdown of the Italian economy driven by persistent inflationary pressures combined with tighter monetary policy, and the potential deterioration of borrowers’ affordability conditions that could impair servicers’ performance on collections. The ratings also consider the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreements.

Observed performance (positive). Observed performance so far has exceeded Scope's expectations, but we note that given the very short transaction history, we still consider performance metrics to be anecdotal. As an example, aggregate gross collections of EUR 67.1m have outpaced Scope’s timing assumptions. Observed profitability on closed positions is 20.8% above Scope's B case assumptions, while total collections from closed positions only represent 5.6% of aggregate gross collections. Scope will continue to review performance metrics closely.

Slow class A amortisation (negative). The pace of class A yearly amortisation is below the average of peer transactions monitored by Scope.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023, Non-Performing Loan ABS Methodology, 5 August 2022, Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
Non-Performing Loan ABS Methodology update has no impact on the current ratings.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Elom Kwamin, Analyst.

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