Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review of BCC NPLs 2019 S.r.l. on 26 July 2023 and considered available servicer reports, payment reports and investor reports up to January 2023. The credit ratings remain as follows:

Class A (ISIN IT0005394348), EUR 355.0m original balance, EUR 253.6m current balance: BB+_SF

Class B (ISIN IT0005394355), EUR 53.0m original balance, EUR 53.0m current balance: CCC_SF

Class J (ISIN IT0005394363), EUR 13.2m original balance, EUR 13.2m current balance: not rated

BCC NPLs 2019 S.r.l. is a static cash securitisation of a EUR 1,324m multi-originator Italian non-performing loans portfolio (as of closing) by gross-book value. The portfolio was originated by 68 Italian cooperative banks and serviced by doValue S.p.A. and doNext S.p.A. (formerly Italfondiario S.p.A.) as special and master servicer. The transaction closed on 18 December 2019 and has a final maturity of 31 January 2044.

This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating actions connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Rating factors

Rating factors assessed during the monitoring review include realised profitability on closed positions, the timing of cumulative collections and the amount of recovery expenses, against Scope’s expectations. Additionally, the review addressed the risk of a slowdown of the Italian economy driven by persistent inflationary pressures combined with tighter monetary policy, and the potential deterioration of borrowers’ affordability conditions which could impair servicers’ performance on collections. The ratings also consider the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedging agreements.

Faster-than-expected cumulative collections (positive). Aggregate gross and net collections amount to EUR 148.0m and EUR 139.9m respectively. Aggregate net collections have outpaced Scope’s timing assumptions. Based on the servicer business plan, aggregate net collections are 93.0% of original expectations.

Recovery expenses (positive). Recovery expenses are approximately 5.5% of gross collections to date, which is below Scope assumption of 9%.

Low profitability of secured closed positions (negative). Total gross collections from closed borrowers are 21.9% of cumulative collections and were mainly obtained through discounted pay-offs. Based on Scope’s calculations, closed secured debtors account for around 6.0% of the transaction’s initial secured gross book value. The profitability on these debtors, at 76.7%, is below Scope’s expectations under the B case assumptions at closing.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Non-Performing Loan ABS Methodology, 5 August 2022; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst: Elom Kwamin, Analyst.

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