Current ratings on the transaction are available here.

4Mori Sardegna 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 Sardegna S.p.A. The transaction closed on 22 June 2018.

The transaction exhibits a good performance, showing a profitability ratio of 142% and a cumulative collection ratio of 127%. 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 20.8m (of which 77% related to not fully resolved debtors, i.e. debtors for which the recovery process was ongoing), which represents around 6% 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 reported net profitability on fully resolved debtors (i.e., positions for which the recovery procedure was accomplished) was above the servicer’s expectation. However, only a limited number of borrowers have been closed so far.

Cumulative collections fall behind the business plan (BP) initial forecast in terms of gross values and exceed the BP in terms of net collections after all fees (respectively 97% and 129%). However, Scope acknowledges that around three-fourths of the actual collections (76%) 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 (i.e. debtors for which the recovery process was ongoing) present collections related to cash-in-court and ad-interim proceeds for 89%; 5% derive from judicial procedures (i.e., foreclosure and bankruptcies procedures), whilst the remainder 6% mostly relates to DPOs (discounted payoff procedures). Fully resolved debtors present collections from cash-in-court or ad-interim proceeds (36%), note sales (28%) DPOs (25%) and indemnification proceeds (11%).

Regarding the auction processes, Scope observes that the assets have been sold with sales prices below the last auctions’ base prices (weighted average of 86%).

No interest subordination event has occurred, since both the Cumulative Collections Ratio and the NPV Cumulative Profitability Ratio (127% and 142%, respectively) are above the trigger level of 90%.

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 back-up master servicer, corporate services provider, representative of the noteholders, and calculation agent, iv) Banca IMI S.p.A. as the interest rate cap provider; and v) Prelios Credit Servicing S.p.A. as servicer. There have not been material changes to counterparty risk.

Scope will continue to monitor 4Mori Sardegna S.r.l. on an ongoing basis.

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