Press Release

DBRS Morningstar Confirms Rating of Impresa TWO S.r.l.

Structured Credit
November 11, 2020

DBRS Ratings GmbH (DBRS Morningstar) confirmed its A (low) (sf) rating on the Class A Notes issued by Impresa TWO S.r.l. (the Issuer).

The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal on or before the final maturity date in December 2061.

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 2020 payment date;
-- One-year 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 (low) (sf) rating level;
-- No revolving termination events have occurred;
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

The transaction is a cash flow securitisation collateralised by a portfolio of mortgage and nonmortgage loans granted by Unicredit S.p.A. (Unicredit) to Italian small and medium-size enterprises (SME), entrepreneurs, artisans, and producer families. The transaction closed in November 2019 with an initial portfolio balance of EUR 11.1 billion and a 24-month revolving period, scheduled to end on the January 2022 payment date (excluded).

In May 2020, an amendment to the transaction was executed in the context of the pandemic, aimed at preserving the continuation of the revolving period, without triggering any purchase termination event. Under the amendment, temporary caps were introduced on the servicing fees due to the servicer and the Class A Notes interest payable on the payment dates from July 2020 to April 2021 (inclusive), as well as a reduced cash reserve target amount of EUR 70.0 million. For further details, please see the press release published on 3 June 2020.

As of the October 2020 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.5% and 0.7% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent amounted to 0.4%. Gross cumulative defaults amounted to 0.15% of the aggregate initial and subsequent portfolios initial balance, with cumulative recoveries of 6.8% to date.

Given the transaction is currently in its revolving period, DBRS Morningstar’s analysis continues to be based on a worst-case portfolio, which complies with the portfolio eligibility criteria limits. DBRS Morningstar updated its lifetime default rate assumption at the A (low) (sf) rating level to 40.8% from 41.3% at the initial rating. The weighted-average one-year base case PD has been maintained at 4.0%. The DBRS Morningstar recovery rate assumption at the A (low) (sf) rating level remains in line with the one at closing at 18.8%.

The subordination of the Class B Notes provides credit enhancement to the Class A Notes. As of the October 2020 payment date, credit enhancement to the Class A Notes has remained at 30.0% since the initial rating date, due to the inclusion of a revolving period in the transaction.

The transaction benefits from liquidity support provided by a cash reserve, available to cover senior expenses and interest payments on the Class A Notes. The reserve was funded to EUR 83.3 million on the first payment date using the remaining interest available funds. The reserve is currently at its temporary target balance of EUR 70.0 million, and starting from the July 2021 payment date, is expected to revert to its original target balance equal to 1.5% of the outstanding Class A Notes balance, subject to a floor of EUR 58.1 million.

Unicredit acts as the account bank for the transaction. Based on the DBRS Morningstar private rating of Unicredit, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, 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 structure of the transaction in its proprietary cash flow engine.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may increase in the coming months for many SME transactions, some meaningfully. The rating is based on additional analysis and, where appropriate, additional stresses to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of the October 2020 payment date, loans granted payment holidays amounted to 38.6% of the total outstanding collateral balance.

On 16 April 2020, the DBRS Morningstar Sovereign group released 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.

On 18 May 2020, DBRS Morningstar released its “European Structured Credit Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect” commentary, where DBRS Morningstar discussed the overall risk exposure of the SME sector to the coronavirus and provided a framework for identifying the transactions that are more at risk and likely to be affected by the fallout of the pandemic on the economy. For more details, please see: 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 the “Rating CLOs Backed by Loans to European SMEs” (30 September 2020). DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

DBRS Morningstar reviewed the legal documents provided in the context of the aforementioned amendment, executed on 29 May 2020. A review of any other 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 this rating include investor and servicer reports provided by Unicredit and loan-level data provided by the European DataWarehouse GmbH.

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 purpose 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.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

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 rates used: One year base case PD of 4.0%; a 10% and 20% increase on the base case PD..
-- Recovery rates used: Base case recovery rate of 18.8% at the A (low) (sf) rating level; a 10% and 20% decrease in the base case recovery rate.

DBRS Morningstar concludes that a hypothetical increase of base case PD by 20% or a hypothetical decrease of the base case recovery rate by 20%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf). A scenario combining both an increase in the base case PD by 10% and a decrease in the base case Recovery Rate by 10%, ceteris paribus, would likewise lead to a downgrade of the Class A Notes to BBB (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 U.S. regulations only.

Lead Analyst: Daniel Rakhamimov, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 11 November 2019

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Master European Structured Finance Surveillance Methodology (22 April 2020),
-- Rating CLOs Backed by Loans to European SMEs (30 September 2020) and SME Diversity Model v2.4.1.0,
-- Rating CLOs and CDOs of Large Corporate Credit (21 July 2020),
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (21 September 2020),
-- Cash Flow Assumptions for Corporate Credit Securitizations (21 July 2020),
-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
-- Operational Risk Assessment for European Structured Finance Originators (30 September 2020),
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020),
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020),

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