Press Release

DBRS Morningstar Assigns BBB (sf) Rating to ISEO SPV S.r.l.

Nonperforming Loans
December 16, 2019

DBRS Ratings Limited (DBRS Morningstar) assigned a BBB (sf) rating to the EUR 335,000,000 Class A notes issued by ISEO SPV S.r.l.

As of the 31 March 2019 economic effective date, the notes were backed by a EUR 857.6 million portfolio by gross book value (GBV) of Italian secured and unsecured nonperforming loans. The majority of loans in the portfolio (approximately 83.9% by GBV) defaulted after 2011, in particular between 2017 and 2018 (40.6% of GBV). The receivables are serviced by doValue S.p.A. (doValue or the special servicer). Italfondiario S.p.A. acts as master servicer. A backup servicer, Securitisation Services S.p.A., was also appointed and will act as a servicer in case of termination of doValue.

The portfolio is a mixture of secured (95.5% by GBV) and unsecured (4.5% by GBV) nonperforming debt obligations, and approximatively 96.2% of the secured loans by GBV benefits from a first-ranking lien. At economic effective date, the portfolio was mainly represented by individual exposures (99.5% by GBV), and the properties securing the loans in the portfolio mainly comprised residential properties (88.7% by updated real estate value). The secured collateral was highly concentrated in Northern regions of Italy (52.3% by real estate value) with Lombardy representing 37.1% by real estate value. The securitised nonperforming portfolio was originated by Unione di Banche Italiane S.p.A. (the seller).

The securitisation includes the possibility to implement a ReoCo structure.

The transaction benefits from approximately EUR 26.4 million of recoveries collected between the economic effective date of 31 March 2019 and the transfer date of 4 December 2019, which will be distributed in accordance with the priority of payments on the first interest payment date.

DBRS Morningstar based its rating on its analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of doValue, the availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses, and the transaction’s legal and structural features. DBRS Morningstar’s BBB (sf) rating stress assumes a haircut of approximately 17.9% to the special servicer’s initial business plan for the portfolio.

DBRS Morningstar analysed the transaction structure using Intex DealMaker.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Rating European Non-Performing Loans Securitisations”.

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

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 the ratings include the seller and the special servicer.

DBRS Morningstar did not rely upon third-party due diligence to conduct its analysis. DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the information available to it for the purposes of providing the rating was of satisfactory quality.

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

The rating concerns a newly issued financial instrument.

This is the first DBRS Morningstar rating on this financial instrument.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies are available on

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):

-- Recovery Rates Used: Cumulative base case recovery amount of approximately EUR 424 million at the BBB (sf) stress level, a 5% and 10% decrease of the cumulative base case recovery rate.

-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to BB (low) (sf).
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 10%, ceteris paribus, would lead to a downgrade of the Class A notes to CCC (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 Limited are subject to EU and US regulations only.

Lead Analyst: Mirco Iacobucci, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 16 December 2019

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

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

-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- European CMBS Rating and Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

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

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