Current ratings on the transaction are available here.

2Worlds S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) that were extended to companies and individuals in Italy. The loans were originated by Banco di Desio e della Brianza S.p.A. and Banca Popolare di Spoleto S.p.A. The transaction closed on 25 June 2018.

The transaction exhibits a relatively good performance, showing a profitability ratio of 123% and a cumulative collection ratio of 106%. Scope’s review was based on available payment information and investor and servicer reporting as of 31 January 2019.

Aggregate gross collections since the cut-off date have amounted to EUR 49.5m (of which 90% related to open debtors, debtors for which the recovery process was ongoing), which represents around 11% of Scope’s expected lifetime collections considered for the analysis of class A notes. The amount and timing of collections have outpaced so far Scope’s expectations.

The average recovery rate on closed positions (i.e., positions for which the full recovery procedure was accomplished) was above Scope’s base case expectation. However, only a limited number of borrowers have been closed (31). Closed positions since the cut-off date represent less than 1% of the portfolio’s gross book value.

Cumulative collections exceed the business plan (BP) initial forecast, both in terms of gross and net values (respectively 102% and 106%). However, Scope acknowledges that around half of the actual collections (45%) are related to ad-interim (collections from the cut-off-date until the transaction’s closing date, owned by the SPV) and cash-in-court proceedings.

Open debtors present collections related to cash-in-court and ad-interim proceeds for 44%; 34% derive from judicial procedures (i.e., foreclosure and bankruptcies procedures), whilst the remainder 22% mostly relates to DPOs (discounted payoff procedures). Closed debtors present collections from notesales (36%), DPOs (33%) and cash-in-court or ad-interim proceeds (31%).

Regarding the auction processes, Scope observes that the assets have been sold with sales prices above the last auctions’ base prices (weighted average of 104%).

No interest subordination event has occurred, since both the Cumulative Collections Ratio and the NPV Cumulative Profitability Ratio (106% and 123%, respectively) are above the trigger level of 85%.

At the moment the issuer has received some indemnity amounts as a result of the ongoing due diligence performed by the Special Servicer, considering the representations and warranties provided at closing by the originators.

The transaction is exposed to i) BNP Paribas Securities Services, Milan Branch (the parent company, BNP Paribas SA, is rated AA-/S-1+ by Scope) as account bank, principal paying agent and cash manager; ii) Zenith Service S.p.A. as monitoring agent; iii) Securitisation Services S.p.A, which acts, inter alia, as calculation agent and representative of the noteholders, iv) Banca IMI S.p.A. as the interest rate cap provider; and v) Cerved Credit Management S.p.A. and Cerved Master Services S.p.A. as special and master servicers. There have not been material changes to counterparty risk.

Scope will continue to monitor 2Worlds S.r.l. on an ongoing basis.

Ratings and research are freely available at www.scoperatings.com.