13 April 2021 Structured Finance Lingering Covid-19 impacts keep volumes subdued Italian NPL collections: lingering Covid-19 impacts keep volumes subdued Italian NPL collections in February were 28% below pre-pandemic levels. Volumes are expected to remain subdued into the medium term as a third wave of Covid-19 Analysts led to yet another countrywide lockdown in March and April. Rossella Ghidoni February collections were 32% higher month-over-month, driven by increases in judicial +39 02 94758 746 collections and, in particular, note sales (1.4x and 11.45x, respectively). That said, the [email protected] increase came off a low base: January volumes represented the lowest monthly base Paula Lichtensztein since August. +49 30 27891 224 Note sales as a share of total proceeds were well above average, representing 12.6% of [email protected] monthly collections, a 60.4% increase with respect to the Covid average (April 2020 to Vittorio Maniscalco January 2021). Meanwhile, DPO collections continued the decline seen since December. +30 02 94758 456 In February, they represented 19.7% share of monthly collections, 19.2% lower than the [email protected] Covid average. Antonio Casado This report shows the performance of the Italian NPL securitisations rated by Scope on a +49 30 27891 228 deal-by-deal basis, based on monthly servicing reports available to February 2021. [email protected] Figure 1. Total gross proceeds (pre-Covid and during Covid) Team leader 300 David Bergman 250 +49 30 27891 135 [email protected] 200 Media 150 Keith Mullin [email protected] EUR (Mn) EUR 100 Related Research 50 Italian NPL collections: January 207 88 127 226 228 93 175 152 177 274 113 149 volumes plunge after December 0 boost March 2021 Jul-20 Apr-20 Oct-20 Jun-20 Jan-21 Feb-21 Nov-20 Dec-20 Aug-20 Sep-20 May-20 Better liquidity from growth of (pre-Covid) 6m Average 6m NPL platforms and regulatory action will drive note sales Source: Scope calculations on servicing reports February 2021 Scope Ratings GmbH Regus Porta Venezia Via Nino Bixio, 31 20129 Milano MI Phone +39 02 30315 814 [email protected] www.scoperatings.com Bloomberg: RESP SCOP 13 April 2021 1/8 Lingering Covid-19 impacts keep volumes subdued Figure 2. Variation in collection volumes (trailing six months vs. six months pre-Covid volume) Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 150% 101% 100% 72% 33% 50% 32% 31% 0% 1% - 11% 13% 15% - -50% 16% - 19% 19% 19% - - 21% - - - - 27% 27% 28% - - - 41% 41% 45% 46% - - - - 52% -100% - 77% - 88% - -150% Variation in Total Gross Variation in Judicial Gross Variation in DPOs Gross Variation in Notesale Gross Proceeds Proceeds Proceeds Proceeds Source: Scope calculations on servicing reports. 1 2 3 4 5 6 7 8 9 10 11 4Mori BCC NPLS Juno 1 Aqui SPV Bari NPL 2, BCC NPLS Maggese 2Worlds Red Sea Juno 2 Sardegna 2018 2 Maior S.r.l. S.r.l. S.r.l., 2018 S.r.l. S.r.l. S.r.l. SPV S.r.l. S.r.l. S.r.l. S.r.l. 12 13 14 15 16 17 18 19 20 21 22 ELROND Prisma POP NPLs Aragorn NPL Leviticus Riviera NPL POP NPLs Belvedere Marathon Siena NPL IBLA NPL 2017 SPV 2019 Sr.l. 2018 Srl SPV S.r.l. Srl CF 2018 NPL Srl SPV S.r.l. 2018 S.r.l. S.R.L S.r.l. S.r.l. Figure 3. Total gross proceeds (% variation) – February versus average of 6 months pre-Covid Increase in Total Proceeds Decrease in Total Proceeds % Average Drop % Average Increase Average Increase: +70.31% 100% Average Drop: -44.58% 80% 60% 40% 20% 0% -20% -40% -60% -80% -100% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 Source: Scope calculations on servicing reports. 13 April 2021 2/8 Lingering Covid-19 impacts keep volumes subdued Figure 4. Judicial gross proceeds (% variation) – February versus average 6 months pre-Covid Increase in Judicial Proceeds Decrease in Judicial Proceeds % Average Drop % Average Increase 80% Average Increase: +19.14% 60% Average Drop: -52.29% 40% 20% 0% -20% -40% -60% -80% -100% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Source: Scope calculations on servicing reports. 1 2 3 4 5 6 7 8 9 10 11 4Mori BCC NPLS Juno 1 Aqui SPV Bari NPL 2, BCC NPLS Maggese 2Worlds Red Sea Juno 2 Sardegna 2018 2 Maior S.r.l. S.r.l. S.r.l., 2018 S.r.l. S.r.l. S.r.l. SPV S.r.l. S.r.l. S.r.l. S.r.l. 12 13 14 15 16 17 18 19 20 21 22 Aragorn ELROND Prisma POP NPLs Leviticus Riviera NPL POP NPLs Belvedere Marathon Siena NPL IBLA NPL 2018 NPL 2017 SPV 2019 Sr.l. SPV S.r.l. Srl CF 2018 NPL Srl SPV S.r.l. 2018 S.r.l. S.R.L Srl S.r.l. S.r.l. Figure 5. DPO proceeds (% variation) – February versus average 6 months pre-Covid Increase in DPO Proceeds Decrease in DPO Proceeds % Average Drop % Average Increase 100% Average Increase: +16.34% 80% Average Drop: -54.17% 60% 40% 20% 0% -20% -40% -60% -80% -100% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Source: Scope calculations on servicing reports. 13 April 2021 3/8 Lingering Covid-19 impacts keep volumes subdued Figure 6. Share of February 2021 note sales in total gross proceeds Feb-21 Average (Apr 20 - Feb 21) 60% 50% 40% 30% 20% 10% 0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Source: Scope calculations on servicing reports. 1 2 3 4 5 6 7 8 9 10 11 4Mori Aqui SPV Bari NPL 2, BCC NPLS BCC NPLS Maggese 2Worlds Red Sea Juno 2 Juno 1 S.r.l. Maior Sardegna S.r.l. S.r.l. S.r.l., 2018 S.r.l. 2018 2 S.r.l. S.r.l. S.r.l. SPV S.r.l. S.r.l. 12 13 14 15 16 17 18 19 20 21 22 Prisma POP NPLs Aragorn NPL Leviticus Riviera NPL ELROND NPL POP NPLs Belveder Marathon Siena NPL IBLA SPV 2019 Sr.l. 2018 Srl SPV S.r.l. Srl CF 2017 S.r.l. 2018 e NPL Srl SPV S.r.l. 2018 S.r.l. S.R.L S.r.l. Figure 7. Share of collections per recovery strategy 80% Judicial / Total (%)(gross 70% 67.77% proceeds) 60% DPOs / Total (%)(gross proceeds) 50% Notesales / Total (%)(gross 40% proceeds) Average: Judicial / 30% Total (%) 20% 19.68% Average: DPOs / Total (%) 12.55% 10% Average: Notesales 0% / Total (%) Jul-20 Oct-20 Apr-20 Jun-20 Jan-21 Mar-20 Feb-21 Aug-20 Sep-20 Nov-20 Dec-20 May-20 (6m Avg.) (6m Pre-Covid Source: Scope calculations on servicing reports. 13 April 2021 4/8 Lingering Covid-19 impacts keep volumes subdued Figure 8. Judicial and extra-judicial proceeds Judicial total proceeds DPOs total proceeds Note sales total proceeds 140 120 100 80 60 EUR (Mn) EUR 40 20 0 Jul-20 Apr-20 Oct-20 Jun-20 Jan-21 Mar-20 Feb-21 Aug-20 Sep-20 Nov-20 Dec-20 May-20 (6m Avg.) (6m Pre-Covid Source: Scope calculations on servicing reports. Footnotes: Figure 1: 6m Average (pre-Covid) refers to the average volumes registered from Sep-19 to Feb-20. Figure 2: The % variation is computed comparing collections between Apr 2020 and Feb 2021 with average volumes registered pre-Covid (i.e. the six months from Sep- 19 to Feb-20). Based on their closing dates, the average was computed only for the period Dec-19-Feb-20 for transactions nos.19,12 and for the period Oct-19-Feb-20 for transaction no. 22. The variation in total gross proceeds was computed on a set of 22 transactions, while the variation in judicial, extra-judicial and note sale proceeds was computed on a set of 20 transactions (excluding transactions nos. 21, 22), based on the availability of collections per type of recovery strategy. Figure 3: The variations in total proceeds (%) were computed comparing February 2021 collections with average volumes pre-Covid (i.e. the six months from Sep-19 to Feb-20). Based on their closing dates, the average was computed only for the period Dec-19-Feb-20 for transactions nos. 12 and 19. The average drop was computed only considering those transactions with a negative variation, while the average increase was computed only considering transactions with a positive variation. Figure 4: The chart refers to a sample of 20 transactions out of the 22, since monthly collections by recovery strategy were not available for transactions nos. 21, 22. The variation in judicial proceeds (%) was computed comparing February 2021 collections with average pre-Covid volumes (i.e. the six months from Sep-19 to Feb-20). Based on their closing dates, the average was computed only for the period Dec-19-Feb-20 for transactions nos. 12 and 19. The average drop was computed only for transactions showing a negative variation, while the average increase was computed only considering those transactions with a positive variation.