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 BCC NPLs 2021 S.r.l. on 3 June 2024. The credit ratings remain as follows:

Class A: EUR 284.0m original balance, EUR 194.0m 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

The reviews were conducted considering available servicer reports, payment reports and investor report up to April 2024.

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.

Key Rating factors

Rating factors assessed during the monitoring review include realised profitability on closed positions, the timing of cumulative collections and the amount of recovery expenses, against Scope's expectations. The rating also considered Italy ́s macro-economic outlook, the issuers' exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreement.

The transaction continues to overperform in terms of timing, outpacing both servicer's and Scope's gross proceeds expectations, while the servicer has slightly revised original business plan aggregate collection estimates upwards by 0.4%. Actual recovery expenses at 8.6% of gross collections remain below Scope's assumption of 11% and Class A notes' liquidity position remains stable with the liquidity reserve at target (3% of Class A notes outstanding balance). Regarding realised profitability on asset sales, Scope could not conduct property sales analysis due to unavailability of data. Consequently, we increased our weighted average security-value-haircut base case assumption to 36% from 32%, relying on discount levels observed across peer transactions.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 6 March 2024; Non-Performing Loan ABS Rating Methodology, 3 August 2023; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
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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