Rating action

Scope Ratings GmbH (Scope) has taken the following rating actions on the instruments issued by BCC NPLs 2020 S.r.l.:

Class A (ISIN IT0005428245), EUR 235.1m: downgraded to BB_SF from BBB-_SF

Class B (ISIN IT0005428286), EUR 41.0m: affirmed at CC_SF

Class J (ISIN IT0005428294), EUR 24.0m: not rated

Transaction overview

The transaction is a static cash securitisation of secured and unsecured non-performing loans that were extended to companies and individuals in Italy. The portfolio was originated by 88 cooperative banks (‘BCCs’) belonging to the Iccrea Cooperative Banking Group, Banca Ifis S.p.A. and Banca Popolare Valconca S.p.A. The transaction closed on 30 November 2020 and the legal maturity is in January 2045.

At transaction closing date, the securitised pool was composed of senior secured (59.8%), unsecured (32.7%) and junior secured loans (7.6%). Borrowers were mainly corporates (83.4%). Secured loans were backed by residential and non-residential properties (31.6% and 68.4% of the total first-lien property value, respectively) that were rather concentrated in the north (42.8%) and the center of Italy (40.6%).

The 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 0.25%, whilst class B will pay a floating rate indexed to six-month Euribor, plus a margin of 8.0%. Class J principal and interest are subordinated to the repayment of the senior and mezzanine notes.

The master servicer is doNext S.p.A. and the special servicer is doValue S.p.A.. BNP Paribas SA acts as account bank and paying agent, while JP Morgan AG and Banco Santander SA are the interest rate cap providers.

Relevant changes to the key transaction features

Class A notes’ coverage has worsened since closing. The gross coverage ratio (defined as expected gross recoveries divided by senior notes’ outstanding principal) has dropped to 151.4%, from 163.5% at closing, under the B case.

The servicer’s cumulative collection ratio is currently 94.2%, still above the 90% threshold that would trigger subordination of mezzanine notes’ interest payments.

There have been no material changes to the transaction’s counterparties, and no significant changes to Scope’s counterparty risk assessment.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key 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 downgrade is primarily driven by higher-than-anticipated discounts on sold assets and lower-than-expected profitability on secured closed debtors that have contributed to the slow amortisation of the Class A notes, also highlighted in the slower-than-expected collection timing relative to servicer’s original assumptions.

The Class A current rating reflects the updated quantitative analysis base case results.

Key rating drivers

The key rating drivers remain aligned with those disclosed on the rating action release dated 30 November 2020, except for (i) seasoned unsecured and junior secured portfolio which is no longer considered a negative driver, given the observed recoveries for unsecured and junior secured exposures have exceeded initial expectations. Moreover, (ii) High share of drive-by valuations that is no longer considered a positive driver, as higher-than-expected discounts have been observed for assets sold at auction.

A key rating driver was added to the list:

Higher-than-expected observed discount on auctioned properties (negative)¹. Actual discounts observed on auctioned properties have exceeded those modelled at closing, indicating weaker portfolio quality than initially anticipated.

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.

Updates to these assumptions and other parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics¹

As of the June 2025 payment date, the senior notes have deleveraged by approximately 54.8%, with aggregate gross collections amounting to EUR 378 million, representing 96.4% of the original business plan expectations. The composition of collections reflects a high reliance on judicial proceeds (50.2%), followed by discounted pay-off proceeds (35.5%) and note sales proceeds (14.3%).

The reported cumulative net collection ratio currently stands at 94.2%. despite the underperformance, mezzanine note subordination has not been triggered, as the threshold for mezzanine note interest payments is set at 90%.

The most recent Business Plan update projects gross recoveries to be 11.6% below initial expectations, together with an increase in the portfolio’s weighted average life to 6.0 years from 5.7 years. The revision reflects weaker-than-expected asset performance and longer-than-expected judicial processes, as highlighted in the servicer review.

Actual recovery expenses represent 7.0% of gross proceeds to date.

Key data sources

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

Rating-change drivers

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

Sensitivity analysis

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

• 10% haircut to gross recoveries: two notches
   
• One-year increase of recovery lag: zero notches

Quantitative analysis

The following key quantitative parameters have changed since closing:

• Lifetime recovery rate at B case is 31.8% (36.2% at closing) over a weighted average life of 4.8 years (6.8 years at closing).
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Methodology.

Rating driver references
1. Transaction reporting (Confidential)

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 Version 2.2 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 these Credit Ratings, (Non-Performing Loan ABS Rating Methodology, 1 August 2025; Counterparty Risk Methodology, 30 June 2025; General Structured Finance Rating Methodology, 13 February 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for these Credit Ratings is (Cash Flow Model Version 2.2), 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 Ratings: 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 these Credit Ratings 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 Ratings and it has no impact on the Credit Ratings.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Ratings and the principal grounds on which the Credit Ratings are based. Following that review, the Credit Ratings were not amended before being issued.

Regulatory disclosures
These Credit Ratings are issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Ratings are UK-endorsed.
Lead analyst: Stefano Bracchi, Specialist
Person responsible for approval of the Credit Ratings: Olivier Toutain, Executive Director
The Credit Ratings were first released by Scope Ratings on 30 November 2020. The Credit Ratings were last updated on 23 June 2023.

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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