Scope Ratings On Italian NPL Collections

Fewer DPOs, note sales pull down Q1 volumes

May 30, 2023

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Scopes’s report shows the performance of a static universe of Italian NPL securitisations originated pre-Covid and rated by Scope. The report is based on monthly servicing reports available to March 2023.

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March Italian NPL collections increased by 33% on the month but were 23% and 28% lower than March 2021 and 2022, respectively. Meanwhile, first quarter 2023 volumes were 16% below the average of the same period of the previous two years.

The quarterly difference is mainly attributable to much lower DPOs and note sales (-26% and -77%) relative to Q1 2021 and 2022. Note sales fell particularly sharply, as higher interest rates have triggered much lower bid prices, widening the gap to the reserve prices that sellers were willing to accept.

Earlier this month Scope published a Report focusing on a detailed analysis of the Performance of Italian NPL securitizations (inclusive of non-performing lease transactions) with at least one interest payment date as of 1 December 2022.

The performance of Italian NPL portfolios has been mixed. In terms of timing of collections (net of expenses), almost 22 out of 451 transactions exceeded servicers' projections by an average of 109%, while 23 fell short of business-plan expectations by a significantly lower delta (25%). In terms of profitability, 39 out of 452 transactions (87%) exceeded business-plan expectations in terms of specific Net Present Value Profitability Ratios (NPVPRs).