Rating action

Scope Ratings GmbH (Scope) has taken the following rating action on the class A notes issued by Bela 2022 S.r.l.:

Class A (ISIN IT0005493330): EUR 29.8m: downgraded to B_SF from BB-_SF

Class B (ISIN IT0005493348): EUR 10.0m: not rated

Class J (ISIN IT0005493355): EUR 4.1m: not rated

Transaction overview

The transaction is a static cash securitisation of an Italian non-performing loan (NPL) portfolio with a gross book value of around EUR 475m at closing. The securitised pool consisted of senior secured loans representing 43.3% of the portfolio’s gross book value, while unsecured and junior secured loans accounted for 56.1%. The transaction closed on 13 April 2022 and the legal maturity is January 2043.

The transaction structure comprises three classes of notes with fully sequential principal amortisation: senior class A, mezzanine class B, and junior class J. Class A will pay a floating rate indexed to six-month Euribor, plus a margin of 2.5%. Class B will pay a floating rate indexed to six-month Euribor, plus a margin of 7.5%. The Euribor component of class B interest is subordinated to repayment of class A notes. Class J principal and interest are subordinated to the repayment of the senior and mezzanine notes.

The transaction is serviced by Cerved Credit Management S.p.A. as special servicer, with Cerved Master Services S.p.A. acting as the master servicer. Intesa Sanpaolo S.p.A. serves as the account bank and interest rate cap counterparty, while illimity Bank S.p.A. acts as limited recourse loan provider.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s initial key rating drivers, ii) a review of its key model assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

The rating downgrade has been primarily driven by the slower pace of collections compared to Scope’s initial assumptions, resulting in the slow amortisation of class A notes and the deterioration on its coverage ratio, calculated as remaining gross collections over notes’ outstanding balance.

The class A notes’ current rating is six notches below the rating assigned at closing.

Key rating drivers

Key rating drivers have evolved since Scope’s initial rating action release dated 19 April 2022. Scope no longer considers the high share of drive-by and recent valuations, high volume of collections since cut-off date and material portion of proceedings in advanced stages as positive rating drivers as these have not been supported by transaction performance.

Scope has made the additions listed below to the transaction’s key rating drivers. Other drivers remain unchanged.

Borrower concentration risk (negative). The top 10 borrowers represent a substantial share of Scope’s recovery proceeds.

None of the key rating drivers are ESG related.

Key analytical assumptions:

• Rating-conditional lifetime gross recovery rates.
   
• Rating-conditional recovery timing vectors.

The analytical assumptions incorporate the transaction’s historical performance and peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including (a) the servicer’s recovery strategies, (b) Scope’s macroeconomic expectations, and (c) the credit committee’s outlook for the asset class over the transaction’s remaining lifetime.

Details on these assumptions and other parameters are provided under the section ‘Quantitative analysis’ below.

Key performance metrics

As of the July 2025 payment date, aggregate gross collections totaled EUR 39.4 million, representing 72.1% of the original business plan expectations. The breakdown of collections is as follows: judicial proceeds (31.3%), discounted pay-off proceeds (24.6%), credit sales proceeds (13.4%), and other sources (30.7%). Scope has not received an updated business plan since closing.

The reported cumulative collection ratio and net present value profitability ratio stand at 72.4% and 86.1%, respectively, both well above the subordination threshold for mezzanine note interest payments.

The senior notes have deleveraged by approximately 49.1%, significantly underperforming both Scope and servicer’s timing expectations. Based on Scope’s analysis, average property sale discounts stand at 57%, while profitability on secured closed borrowers is at 73.4% of Scope’s initial B case assumptions.

Key data sources

Scope’s review was based on servicer, investor and payment reporting as of July 2025 payment date. Scope also considered the macro-economic and NPL sector context reflected in Scope’s 2025 structured finance outlook.

Relevant changes to key transaction features

Since closing, the transaction structure has weakened significantly, as evidenced by a decrease in the gross coverage ratio—calculated as the ratio of expected recoveries to the outstanding principal of the senior notes—to 121%, down from 163% under the B case scenario.

There have not been changes to the transaction’s counterparties, and no significant changes to Scope’s assessment of counterparty risk.

Rating-change drivers

A change to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transaction’s key rating drivers could impact the ratings.

The sensitivity analysis below provides an indication of the resilience of the credit rating against deviations in key analytical assumptions.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit rating to the assumed parameters and, all else being equal, and is not indicative of expected or likely scenarios.

• 10% haircut to recoveries: two notches.
   
• Extending recoveries by one year: zero notches.

Quantitative analysis

This section provides non-exhaustive list of relevant quantitative parameters, and how they compare to those applied at the initial rating assignment:

• Lifetime recovery rate at B case is 15.9% (20.6% at closing) over a weighted average life of 3.9 years (4.8 years at closing).
   
• Recovery expenses: 9% of expected gross recoveries (unchanged since closing).
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Methodology.

Stress testing
Stress testing was performed by applying Credit-Rating-adjusted recovery rate assumptions.

Cash flow analysis
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Master Waterfall Version 1.1 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

Methodology
The methodologies used for this Credit Rating, (Non-Performing Loan ABS Rating Methodology, 1 August 2025; General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Master Waterfall Version 1.1), available in Scope Ratings’ list of models, published under scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA):registers.esma.europa.eu/cerep-publication/. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating are based. Following that review, the Credit Rating was not amended before being issued.

Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead Analyst: Elom Kwamin, Senior Analyst 
Person responsible for approval of the Credit Rating: Antonio Casado, Managing Director
The Credit Rating was first released by Scope Ratings on 19 April 2022. The Credit Rating was last updated on 9 October 2024.

Potential conflicts
See scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties.

Conditions of use / exclusion of liability
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