Scope provides update on 2Worlds S.r.l. after indemnities settled – Italian NPL ABS

The agreement reached with the originator to repurchase certain positions and settle for a lump sum indemnity amount, will not in itself result in a rating action or withdrawal of the current class A and B notes ratings.

2Worlds S.r.l. is a static cash securitisation of secured and unsecured non-performing loans (NPLs) extended to companies and individuals in Italy. The loans were originated by Banco di Desio e della Brianza S.p.A. (‘Originator’) and Banca Popolare di Spoleto S.p.A (currently merged with Originator). The issuer acquired the portfolio on the transfer date, 12 June 2018, but is entitled to all portfolio collections received since 31 December 2017 (the portfolio cut-off date). The transaction closed on 25 June 2018 and the legal maturity is in January 2037.

2Worlds S.r.l. intends to sign two agreements with the Originator to settle certain indemnity requests. The two agreements provide for the repurchase of certain positions (EUR 22.4m of gross book value as of 31 March 2023) by the Originator and the payment of a lump sum from the Originator to indemnify the issuer for some other positions (EUR 33.8m of gross book value as of 31 March 2023).

Scope has not addressed other non-credit related effects that may be relevant for investors and/or counterparties when assessing the impact of said agreements.

This announcement does not constitute a rating action nor 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 on www.scoperatings.com.