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 2018-2 S.r.l. on 12 November 2024. The credit ratings remain as follow:

Class A (ISIN IT0005356925): EUR 293.6m outstanding: CCC_SF

Class B (ISIN IT0005356933): EUR 60.1m outstanding: C_SF

Class J (ISIN IT0005356941): EUR 20.0m outstanding: not rated

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

The transaction, which closed on 20 December 2018, has performed significantly worse than initially expected by Scope and by the servicer’s business plan. As of July 2024, the class A notes have amortized by 38.6% and based on the historical pace of collections Scope does not expect that the rated notes will be repaid in full by final legal maturity. The current cumulative collections ratio and the aggregate profitability ratio on closed positions stand, respectively, at 59.4% and 90.4% of initial servicer business plan expectations. The transaction has not shown signs of improvement since our previous review. In fact, year-on-year gross collections have dropped by 37.2%.
 
The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 6 March 2024; Non-Performing Loan ABS Rating Methodology, 2 August 2024; Counterparty Risk Methodology, 10 July 2024) 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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