Press Release

DBRS Morningstar Downgrades Class A Notes of Belvedere SPV S.r.l. to BB (sf), Assigns Negative Trend, and Removes from Under Review with Negative Implications

Nonperforming Loans
September 21, 2020

DBRS Ratings Limited (DBRS Morningstar) downgraded its rating on the Class A notes issued by Belvedere SPV S.r.l. (the Issuer) to BB (sf) from BBB (low) (sf) and assigned a Negative trend. At the same time, DBRS Morningstar removed the Under Review with Negative Implications status from the notes, which was assigned on 8 May 2020.

The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the Notes). The rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal. DBRS Morningstar does not rate the Class B or Class J Notes.

At issuance, the Notes were backed by a EUR 2.5 billion portfolio by gross book value (GBV) consisting of unsecured and secured nonperforming loans sold by Gemini SPV S.r.l., Sirius SPV S.r.l., Antares SPV S.r.l., SPV Project 1702 S.r.l., and Adige SPV S.r.l. (collectively, the Sellers) to Belvedere SPV S.r.l.

The receivables are serviced by Prelios Credit Servicing S.p.A. (Prelios) and Bayview Italia S.r.l. (Bayview), which act as the special servicers. Prelios also operates as the master servicer in the transaction. A backup servicer, Securitisation Services S.p.A., was appointed and will act as the servicer in case the special servicers’ appointments are terminated.

The rating downgrade follows a review of the transaction and is based on the following analytical considerations:
-- Transaction performance: assessment of portfolio recoveries as of 31 July 2020, focusing on: (1) a comparison between actual collections and the special servicers’ initial business plan forecasts; (2) the collection performance observed over the past six months, including the period following the outbreak of the Coronavirus Disease (COVID-19); and (3) a comparison between the current performance and DBRS Morningstar’s expectations.
-- Bayview’s updated business plan, received in April 2020, and the comparison with Bayview’s initial collection expectations, as well as the absence of Prelios’ updated business plan.
-- Portfolio characteristics: loan pool composition as of July 2020 and evolution of its core features since issuance.
-- Transaction liquidating structure: the order of priority entails a fully sequential amortisation of the notes – i.e., the Class B notes will begin to amortise following the full repayment of the Class A notes and the Class J notes will amortise following the repayment of the Class B notes.
-- Performance ratios and Underperformance Events: First Level and Second Level Underperformance Events may occur if the Cumulative Collection Ratio (CCR) and the PV Cumulative Profitability Ratio (PVCPR) are both lower than 90% and 70%, respectively. These events have not occurred on the June 2020 interest payment date, with the actual figures being a 23.0% CCR and a 245.8% PVCPR for Prelios and a 70.0% CCR and a 103.8% PVCPR for Bayview, according to the latest information from the special servicers.
-- Liquidity support: the transaction benefits from an amortising cash reserve providing liquidity to the structure covering against potential interest shortfall on the Class A notes and senior fees. The cash reserve target amount is equal to 4.0% of the Class A notes principal outstanding and is currently fully funded. However, DBRS Morningstar notes that in the absence of a Trigger Notice, the amortising mechanism for the reserve defined as Class J Notes Early Amortisation Amount, creates a leakage of funds towards the junior notes.

According to the latest investor report of June 2020, the principal amount outstanding of the Class A, Class B, and Class J notes was equal to EUR 283.0 million, EUR 70.0 million, and EUR 95.0 million, respectively. The balance of the Class A notes has amortised by approximately 11.6% since issuance. The current aggregated transaction balance is EUR 448.0 million.

As of June 2020, the transaction was performing below the special servicers’ initial expectations. The actual cumulative gross collections equal EUR 74.5 million, whereas special servicers’ initial business plans estimated cumulative gross collections of EUR 161.9 million for the same period. Therefore, as of June 2020, the transaction was underperforming by EUR 87.4 million (-54.0%) compared with initial expectations. By special servicer, the performance split would be as follows: Prelios is underperforming by EUR 63.0 million (-75.0%) compared with its initial expectations and Bayview is underperforming by EUR 24.4 million (-31.2%) compared with its initial expectations.

Bayview’s underperformance started in the first half of 2020 as opposed to Prelios’ underperformance, which has been evident since the closing of the transaction. According to Prelios, its underperformance is mainly attributable to a relevant delay in the onboarding operations and to a lower-than-expected credit quality, which particularly affects the unsecured exposures.

At issuance, DBRS Morningstar estimated cumulative gross collections for the same period of EUR 93.5 million at the BBB (low) (sf) stressed scenario. Therefore, as of June 2020, the transaction is performing below DBRS Morningstar’s initial stressed expectations.

In April 2020, Bayview provided DBRS Morningstar with a revised business plan. In this updated business plan, Bayview assumed lower recoveries compared with initial expectations. The total cumulative gross collections from the updated business plan account for EUR 287.1 million, which is 5.9% lower compared with the EUR 305.1 million expected in the initial business plan. According to Bayview, the modifications included in the updated business plan envisage an additional timing adjustment of collections as a result of the impact of the coronavirus, updated real estate valuations, lower-than-expected clearing prices for the assets in the judicial auctions until the ReoCo was implemented, and a deeper portfolio knowledge that revealed a lower-than-expected credit quality, especially in the unsecured exposures.

The updated business plan from Prelios has not yet been released by the monitoring agent as it does not have the required approvals. Consequently, DBRS Morningstar has not been able to incorporate Prelios’ most up-to-date view of the transaction’s expected performance in its analysis.

Without including actual collections, the special servicers’ expected future collections from July 2020 are now accounting for EUR 378.1 million (EUR 371.7 million in the initial business plan). The updated DBRS Morningstar BB (sf) rating stress assumes a haircut of 10.0% to the special servicers’ latest business plans, considering future expected collections.

The final maturity date of the transaction is December 2038.

DBRS Morningstar analysed the transaction structure using Intex DealMaker.

The coronavirus and the resulting isolation measures have resulted in a sharp economic contraction, increases in unemployment rates, and reduced investment activities. DBRS Morningstar anticipates that collections in European nonperforming loan (NPL) securitisations will be disrupted in the coming months and that the deteriorating macroeconomic conditions could negatively affect recoveries from NPLs and the related real estate collateral. The rating is based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar assumed reduced collections for the next two quarters and incorporated its revised expectation of a moderate medium-term decline in residential property prices; however, partial credit to house price increases from 2023 onwards is given in noninvestment grade scenarios.

On 16 April 2020, DBRS Morningstar published a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 10 September 2020. For details, see the following commentaries: and The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

For more information on DBRS Morningstar considerations for European NPL transactions and Coronavirus Disease (COVID-19), please see the following commentaries: and

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Master European Structured Finance Surveillance Methodology” (22 April 2020).

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 the legal documents have remained unchanged 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 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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for these ratings include the Issuer and/or its agents, which comprise the updated business plan from Bayview received in April 2020 and the original business plan from Prelios in the absence of an updated one, updated data tapes as of July 2020, detailed servicer reports as of July 2020, the ReoCo report as of September 2020, and the investor report as of June 2020.

DBRS Morningstar did not rely upon third-party due diligence in order 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.

The last rating action on this transaction took place on 6 August 2020, when DBRS Morningstar maintained the Under Review with Negative Implications status on the Class A notes.

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

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

-- Recovery Rates Used: Cumulative base case recovery amount of approximately EUR 414.9 million at the BB (sf) stress level, a 5% and 10% decrease in the 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 B (high) (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 (high) (sf).

Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS Morningstar’s outlooks and ratings are monitored.

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 U.S. regulations only.

Lead Analyst: Alessio Pignataro, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 21 December 2018

DBRS Ratings Limited
20 Fenchurch Street
31st Floor
United Kingdom
Tel. +44 (0) 20 7855 6600
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 (13 May 2020)
-- Master European Structured Finance Surveillance Methodology (22 April 2020)
--- Rating European Consumer and Commercial Asset-Backed Securitisations (3 September 2020)
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (14 July 2020)
-- European CMBS Rating and Surveillance Methodology (13 December 2019)
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020)
-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
-- Derivative Criteria for European Structured Finance Transactions (26 September 2019)
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019)

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