The ratings remain as follows:

Class A (ISIN IT0005394348), EUR 341.4m outstanding: BBB+_SF

Class B (ISIN IT0005394355), EUR 53.0m outstanding: B-_SF

Class J (ISIN IT0005394363), EUR 13.2m outstanding: not rated

BCC NPLs 2019 S.r.l. is a cash securitisation of a static Italian non-performing loan (NPL) multi-originator portfolio of EUR 1,324m by gross book value. The portfolio was originated by 68 Italian cooperative banks, with doValue S.p.A. performing the role of special servicer and Italfondiario S.p.A. the role of master servicer. The transaction closed on 19 December 2019.

The review took place on 17 December 2020 and was based on the latest available investor and payment reports through the July 2020 payment date (the first since closing), as well as servicer reporting through the 31 October 2020 cut-off date. The review resulted in no action on both the Class A and Class B ratings. Scope does not rate Class J notes. This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found at www.scoperatings.com.

Key rating factors

Cumulative gross collections (EUR 20.7m) through the first payment date are 170.8% of Scope’s original expectations in the context of the Class A analysis. This amounts to 3.9% of Scope’s expected lifetime collections. Cumulative gross collections are 164.3% of our expectations in the case of the Class B analysis. 99.0% of all collections are from open debtors, i.e., debtors for which the recovery process is still ongoing. One borrower was closed by the first payment date for a reported net profitability 107.5% (150.3% net present value cumulative profitability ratio).

No Class B interest subordination triggers or servicer underperformance events have occurred, and the cash reserve is fully funded. All transaction counterparties continue to support the ratings.

CREDIT-POSITIVE (+)

Transaction performance: Transaction performance is above Scope’s expectations at closing, with gross collections at 170.8% of our estimate through the first payment date. Observed gross collections are 143.1% of the servicer’s original business plan through 30 June 2020.

Credit Enhancement: Credit enhancement for the Class A and Class B notes has increased to 75.2% (73.2% at closing) and 71.3% (69.2%), respectively.

CREDIT-NEGATIVE (-)

Italian economy: The Italian economy faces a deep recession fuelled by the Covid-19 pandemic and the recent November lock-down. Despite government support measures, increased collateral liquidity risk and weakened borrower liquidity conditions negatively affect recovery prospects.

The methodologies applicable for the reviewed rating (Non-Performing Loan ABS Rating Methodology, published on 9 September 2020; Methodology for Counterparty Risk in Structured Finance, published on 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst: Thomas Miller-Jones, Associate Director

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