Rating action

Scope Ratings GmbH (Scope) has taken the following rating action on the notes issued by Belvedere S.r.l.:

Class A (ISIN IT0005357360), EUR 215.0m: downgraded to C_SF from CCC_SF

Class B (ISIN IT0005357386), EUR 70.0m: not rated

Class J (ISIN IT0005357394), EUR 95.0m: not rated

Transaction overview

The transaction is a static cash securitisation of an Italian non-performing loan (NPL) portfolio worth around EUR 2,541m by gross book value. The portfolio was initially purchased from various Italian banks by several special purpose vehicles managed by Bayview Italia S.r.l and then sold to the issuer, Belvedere SPV S.r.l. The transaction closed on December 2018, and the legal maturity of the notes is in December 2038.

The capital structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. Class B interest payments rank junior to class A principal. Class J principal and interest are subordinated to the repayment of the senior and mezzanine notes.

The transaction is currently serviced by Guber Banca S.p.A. as special servicer, with Prelios Credit Servicing S.p.A. acting as the master servicer. BNP Paribas SA serves as the account bank, while JP Morgan SE and BNP Paribas SA act as interest rate cap counterparties.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s initial key rating drivers, ii) a review of its key model assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

The downgrade is primarily driven by the low coverage ratio on the class A notes and the depletion of the cash reserve, which has not been replenished. These factors increase the risk of a shortfall in class A interest payments if collections continue to follow the recent trend.

Weaker-than-expected collection timing relative to Scope’s original assumptions and higher-than-anticipated discounts on sold assets have further contributed to the slow amortisation of the class A notes and persistently low profitability.

Scope has not yet received an updated business plan from the servicer. While a reversal in the current collections trend may be possible if the servicer can extract additional value from the remaining portfolio, the risk of default remains elevated.

The class A notes’ current rating is ten notches below the rating assigned at closing.

Key rating drivers

Scope has changed its assessment of some of the key rating drivers disclosed in the initial rating action release dated 21 December 2018. Scope no longer considers the initial credit enhancement level and the class A turbo amortisation feature as positive rating drivers, as they have not proven effective in providing structural protection to the Class A notes. The slow amortisation of the notes has progressively widened the mismatch between the hedge notional schedule and the outstanding balance of class A notes. The other key rating drivers remain unchanged.

Key analytical assumptions:

• Rating-conditional lifetime gross recovery rates.
   
• Rating-conditional recovery timing vectors.

The analytical assumptions incorporate the transaction’s historical performance and peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including (a) the servicer’s recovery strategies, (b) Scope’s macroeconomic expectations, and (c) the credit committee’s outlook for the asset class over the transaction’s remaining lifetime.

Details on these assumptions and other parameters are provided under the section ‘Quantitative analysis’ below.

Key performance metrics

As of the June 2025 payment date, aggregate gross collections totaled EUR 222.2 million, representing 46% of the original business plan expectations. The breakdown of collections is as follows: judicial proceeds (74%), discounted pay-off proceeds (19%), credit sales proceeds (2%), and other sources (5%).

The senior notes have deleveraged by approximately 32.8%, performing significantly behind initial timing expectations at closing. Class A coverage has deteriorated over time. The gross coverage ratio reduced to 57.6% from 89.0% at the B case for class A notes.

Profitability continues to underperform. Average observed property sale discounts have been last reported at around 50.0%. In addition, the profitability on secured closed positions is at approximately 77.3% of original assumptions, reflecting weaker-than-expected asset performance.

Actual legal expenses represent 10.9% of gross proceeds to date.

Key data sources

Scope’s review was based on servicer, investor and payment reporting as of June 2025 payment date. Scope also considered the macro-economic and NPL sector context reflected in Scope’s 2025 structured finance outlook.

Relevant changes to key transaction features

In December 2024, Guber Banca S.p.A. has replaced Bayview Italia 106 S.p.A. and Prelios Credit Servicing S.p.A. as special servicer. Other transaction’s counterparties are unchanged, and no significant changes to Scope’s assessment of counterparty risk.

Rating-change drivers

A change to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transaction’s key rating drivers could impact the ratings.

Sensitivity analysis

No sensitivity analysis was performed, as the rating is at the lowest level, reflecting a very high likelihood of default. The rating reflects a qualitative assessment of expected recoveries in the event of default.

Quantitative analysis

This section provides non-exhaustive list of relevant quantitative parameters, and how they compare to those applied at the initial rating assignment:

• Lifetime recovery rate at B case is 16.5% (23% at closing) over a weighted average life of 5.7 years (6.0 years at closing).
   
• Recovery expenses: 10% of expected gross recoveries (9% at closing).
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Methodology.

Stress testing
Stress testing was performed by applying Credit-Rating-adjusted recovery rate assumptions.

Cash flow analysis
The cash flow model was not used for the assessment.

Methodology
The methodologies used for this Credit Rating (Non-Performing Loan ABS Rating Methodology, 1 August 2025; Counterparty Risk Methodology, 30 June 2025; General Structured Finance Rating Methodology, 13 February 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): registers.esma.europa.eu/cerep-publication. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating are based. Following that review, the Credit Rating was not amended before being issued.

Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead analyst: Leonardo Scavo, Associate Director
Person responsible for approval of the Credit Rating: Paula Lichtensztein, Senior Representative
The Credit Rating was first released by Scope Ratings on 21 December 2018. The Credit Rating was last updated on 9 October 2023.

Potential conflicts
See scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties.

Conditions of use / exclusion of liability
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