Six out of the 16 Italian non-performing loan securitisations within the GACS scheme for which performance history is available show net cumulative collections around or below those anticipated by the business plan, according to an analysis by Debtwire. The result is overall an improvement compared to data presented in March in a report by Moody’s, which highlighted that only two out of seven securitisations had a cumulative net collection ratio over 100% of the servicers' business plans.

The results come from an analysis of surveillance data from Moody’s and DBRS, integrated with data from some servicers, presented on Tuesday at Debtwire’s Italian Restructuring Forum in Milan.

Creval's securitisations, the EUR 1.4bn Elrond closed in July 2017, and the EUR 1.6bn Aragorn, closed in June 2018, continue to have the lowest net collections ratios. On the other hand, the cumulative net profitability ratios for both deals are among the highest in the sector.

For the securitisations which had updates in March and April, the cumulative collection ratios showed improvement. UniCredit's Fino 1 Securitisation had a net collections ratio of 92.3% as at 30 April, up from 84.73% registered in Moody’s earlier report, while the gross cumulative collection of 96.2% was slightly more than the 95.59% reported by Moody’s. The profitability ratio was not publicly available.

Iccrea’s BBC NPLs 2018 collections ratio moved from 97.22% to 101% and Popolare Bari NPLs 2017 moved from 72.65% reported by Moody’s to 97% as at the last payment date on 30 March. The net collections ratio of Banco BPM’s Red Sea moved from 124.86% to 135% and the profitability ratio from 101% to 103%.

Since the start of the GACS scheme in 2016, Italian banks have closed 22 securitisations for a total volume of EUR 75.2bn, 15 of which for EUR 52.7bn were in 2018. Most only have data for their first payment dates.

Alessia Pirolo Head of NPL Coverage Debtwire

Alessia Pirolo is Head of NPL Coverage at Debtwire ABS. From a previous focus on Southern European Commercial Real Estate, she is now in charge to expand Debtwire's NPL coverage areas around the world. Before joining Debtwire, she covered U.S. and European commercial real estate for The Wall Street Journal, and the Commercial Observer. She holds a master’s degree from the Columbia University Graduate School of Journalism.