Press Release

DBRS Morningstar Discontinues Ratings on Three UBI RMBS Transactions

RMBS

December 21, 2020

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on the notes issued in the context of three UBI RMBS transactions: Marche M6 S.r.l. (MM6), 24-7 Finance S.r.l. (24-7), and UBI SPV Group 2016 S.r.l. (UBI Group 2016). Prior to the discontinuations, the ratings were as follows:

-- MM6: Class A3 Notes at A (sf)
-- 24-7: Class A Notes at A (sf)
-- UBI Group 2016: Class A Notes at BBB (high) (sf)

The discontinuations reflect the full repayment of the notes on the respective final payment dates, following the repurchase of the respective portfolios by the originator and consequent unwinding of the transactions. The final payment dates were:

-- 10 December 2020 for MM6. The remaining balance of the Class A3 Notes prior to their full redemption was EUR 283,227,347.70;
-- 15 December 2020 for 24-7. The remaining balance on the Class A Notes prior to their full redemption was EUR 321,108,740.13;
-- 17 December 2020 for UBI Group 2016. The remaining balance on the Class A Notes prior to their full redemption was EUR 2,085,600,000.00

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.
ESG CONSIDERATIONS

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in euros unless otherwise noted.

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

In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include the respective final payment reports and additional information provided by the Issuers’ agents. The final payment reports were provided by:

-- Banca Finanziaria Internazionale S.p.A for MM6;
-- The Bank of New York Mellon SA/NV, Milan Branch for 24-7;
-- UBI Banca for UBI Group 2016.

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

For MM6 and 24-7, at the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

For UBI Group 2016, 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 these ratings 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 actions on these transactions were as follows:
-- MM6: 3 July 2020, when DBRS Morningstar downgraded its rating on the Class A3 Notes to A (sf) from AAA (sf), following a transaction amendment.
-- 24-7: 9 September 2020, when DBRS Morningstar confirmed its rating on the Class A Notes at A (sf).
-- UBI Group 2016: 13 July 2020, when DBRS Morningstar downgraded its rating on the Class A Notes to BBB (high) (sf) from A (low) (sf) following an amendment to the transaction, and removed the Under Review with Negative Implication status of the notes.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As this is a discontinued-repaid rating action, sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerepweb/statistics/defaults.xhtml.

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

Lead Analyst: Daniele Canestrari, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates

-- MM6: 16 July 2013
-- 24-7 Finance: 27 July 2011
-- UBI Group 2016: 11 August 2016

DBRS Ratings GmbH
Neue Mainzer Straße 75
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 these transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.

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

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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