Press Release

DBRS Morningstar Confirms Rating of Brera Sec. S.r.l. (SME)

Structured Credit
December 13, 2019

DBRS Ratings GmbH (DBRS Morningstar) confirmed the rating of the Class A Notes issued by Brera Sec. S.r.l. (SME) at A (high) (sf).

The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date falling in October 2070.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the October 2019 payment date;
-- Base case probability of default (PD) and updated default and recovery rates on the remaining receivables;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the A (high) (sf) rating level.

Brera Sec S.r.l (SME) is a cash flow securitisation collateralised by a portfolio of performing loans granted to small and medium-size enterprises (SME), entrepreneurs, artisans, and producer families based in Italy. Intesa Sanpaolo S.p.A. (Intesa Sanpaolo), Banco di Napoli S.p.A. (Banco di Napoli), Cassa di Risparmio di Bologna S.p.A. (CR Bologna) and Banca CR Firenze S.p.A. (CR Firenze) granted the loans. The transaction follows the standard Italian structure under the Italian Securitisation Law and closed in December 2018.

With effect from November 2018, Banco di Napoli was merged into Intesa Sanpaolo, while CR Bologna and CR Firenze were incorporated in February 2019. As a result of the incorporations, Intesa Sanpaolo is now the only servicer in the transaction.

The portfolio is performing within DBRS Morningstar’s initial expectations. As of September 2019, loans that were two to three months in arrears represented 0.2% of the outstanding portfolio balance, while the 90+ delinquency ratio was 0.7%. The gross cumulative default ratio stood at 0.3% of the initial portfolio balance.

DBRS Morningstar maintained its base case PD at 5.2% and 1.9% for mortgage and nonmortgage loans, respectively. Based on the current portfolio composition, DBRS Morningstar conducted a loan-by-loan analysis of the outstanding pool of receivables and updated its default rate and recovery rate assumptions to 34.5% and 39.0%, respectively, at the A (high) (sf) rating level.

Credit enhancement available to the Class A Notes increases as the transaction continues to deleverage. Overcollateralisation of the outstanding collateral portfolio provides credit enhancement and does not include the cash reserve. As of the October 2019 payment date, credit enhancement to the Class A Notes was 44.7%, up from 29.0% at the closing date.

The transaction structure benefits from an amortising cash reserve, which provides liquidity support and is available to cover shortfalls on senior fees, expenses, and interest on the Class A Notes. The reserve is currently at its target level of EUR 45.3 million, which accounts for 2.0% of the Class A Notes outstanding balance.

Intesa Sanpaolo acts as the account bank for the transaction. Based on the account bank reference rating of Intesa Sanpaolo at A (low), one notch below its DBRS Morningstar Long-Term Critical Obligations Rating of “A”, the downgrade provisions outlined in the transaction documents, and structural mitigants, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in its proprietary Excel-based cash flow engine.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Rating CLOs Backed by Loans to European SMEs” methodology.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as DBRS Morningstar has not received any new legal documents since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on at:

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for this rating include payment and investor reports provided by Securitisation Services S.p.A., servicer reports provided by Intesa Sanpaolo and loan-level data provided by the European DataWarehouse GmbH.

DBRS Morningstar did not rely upon third-party due diligence to conduct its analysis.

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the initial rating date on 14 December 2018, when DBRS Morningstar assigned its A (high) (sf) rating to the Class A Notes.

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- PD used: base case PD of 5.2% for mortgage loans and 1.9% for nonmortgage loans, a 10% and 20% increase on the base case PD.
-- Recovery rates used: base case recovery rate of 39.0% at the A (high) (sf) stress level, a 10% and 20% decrease in the base case recovery rate. Note that the percentage decreases in the recovery rate are assumed for the other stress recovery rate levels.

DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Class A Notes at A (high) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would also lead to a confirmation of the Class A Notes at A (high) (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Daniele Canestrari, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 14 December 2018

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main - Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs Backed by Loans to European SMEs
-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses for European Structured Finance Transactions
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at [email protected].