Rating action

Scope Ratings GmbH (Scope) has taken the following rating actions on the instruments issued by BCC NPLs 2018 S.r.l.:

Class A (ISIN IT0005338717), EUR 146.8m: downgraded to C_SF from CCC_SF

Class B (ISIN IT0005338741), EUR 31.4m: affirmed at C_SF

Class J (ISIN IT0005338758), EUR 10.5m: not rated

Transaction overview

The transaction is a static cash securitisation of secured and unsecured non-performing loans that were extended to companies and individuals in Italy. The loans were originated by 21 Italian cooperative banks coordinated by Iccrea S.p.A. and by two banks belonging to Iccrea Banca S.p.A. The transaction closed on 10 July 2018 and the legal maturity is in June 2038.

The structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. The class B interest ranks senior to class A principal at closing but will be subordinated if the cumulative amounts collected are around 10% below the level indicated in the servicer’s business plan or the present value cumulative profitability ratio falls below 90%. Class J principal and interest are subordinated to the repayment of the senior and mezzanine notes.

The transaction was serviced at closing by Prelios Credit Servicing S.p.A. acting as master and special servicer. BNP Paribas Securities Services, Milan Branch serves as the account bank, J.P. Morgan AG acts as interest rate cap counterparty, while ICCREA Banca S.p.A. acts as limited recourse loan provider.

 Relevant changes to the key transaction features

Relative to closing, the structure has materially weakened, as reflected in the deterioration of the gross coverage ratio (calculated as expected recoveries over the senior notes’ outstanding principal). As of the June 2025 payment date, the ratio has declined to 38.1% (from 151.7% at closing) based on our calculations using the latest updated business plan.

In April 2023 Prelios Credit Servicing S.p.A. was replaced in its roles of master servicer and special servicer with Master Gardant S.p.A. and Special Gardant S.p.A., respectively. There have been no material changes to Scope’s assessment of counterparty risk.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key 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 gross coverage ratio under both the updated business plan and our B-case scenario. Based on both Scope’s projections and those of the servicer, the remaining funds are insufficient to fully repay the senior notes. In addition, slower-than-expected collection timing relative to our original assumptions has contributed to the slow amortisation of the Class A notes and the persistently low profitability of the transaction.

Key rating drivers

The key rating drivers remain aligned with those disclosed on the rating action release dated 26 February 2024.

None of the key rating drivers are ESG related.

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.

Updates to these assumptions and other parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics¹

As of the June 2025 payment date, the senior notes have deleveraged by approximately 47.9%, with aggregate gross collections amounting to EUR 206 million, representing 48.3% of the original business plan expectations. The composition of collections reflects a high reliance on judicial proceeds (56.7%), followed by discounted pay-off proceeds (21.4%), note sales proceeds (21.1%), and other sources (0.8%).

The reported cumulative net collection ratio currently stands at 50.9%. Due to the continued underperformance, mezzanine note subordination has been triggered, as the threshold for mezzanine note interest payments is set at 90%.

The most recent Business Plan update projects gross recoveries to be 37.8% below initial expectations, together with an increase in the portfolio’s weighted average life to 4.5 years from 3.9 years. The revision reflects weaker-than-expected asset performance and longer-than-expected judicial processes, as highlighted in the servicer review.

Actual recovery expenses represent 6.9% 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.

Rating-change drivers

A change to the key quantitative assumptions based on observed performance or new data sources, significant changes to the key transaction´s features, and a change in Scope’s credit views regarding the 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 30% (78% at closing) over a weighted average life of 4.9 years (5.8 years at closing).
   
• Recovery expenses: 8.3% of expected gross recoveries (6.8% at closing).
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Methodology.

Rating driver references
1. Transaction reporting (Confidential)

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 these Credit Ratings (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 these Credit Ratings: 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 these Credit Ratings 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 Ratings and it has no impact on the Credit Ratings.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Ratings and the principal grounds on which the Credit Ratings are based. Following that review, the Credit Ratings were not amended before being issued.

Regulatory disclosures
These Credit Ratings are issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Ratings are UK-endorsed.
Lead analyst: Stefano Bracchi, Specialist
Person responsible for approval of the Credit Ratings: Olivier Toutain, Executive Director
The Credit Ratings were first released by Scope Ratings on 10 July 2018. The Credit Ratings were last updated on 26 February 2024.

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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