DBRS Morningstar Places Four Ratings of Three Italian RMBS Transactions Under Review, Following Release of European RMBS Insight: Italian Addendum

DBRS Ratings GmbH (DBRS Morningstar) placed the following ratings of three Italian RMBS transactions Under Review:

2018 Popolare Bari RMBS S.r.l.:
-- Class B notes rated AA (low) (sf), Under Review with Negative Implications

Fucino RMBS S.r.l.:
-- Class A Notes rated AA (low) (sf), Under Review with Negative Implications
-- Class B Notes rated A (low) (sf), Under Review with Negative Implications

Valsabbina SPV 1 S.r.l. (RMBS):
-- Class A Notes rated AA (sf), Under Review with Positive Implications

DBRS Morningstar also rates the Class A notes issued by 2018 Popolare Bari RMBS S,r.l., that it did not place Under Review.

The ratings on the Class A notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date of each transaction.

The ratings on the Class B notes address the ultimate payment of interest and principal on or before the final maturity date of each transaction.

KEY RATING DRIVERS AND CONSIDERATIONS

On 21 December 2020, DBRS Morningstar finalised its “European RMBS Insight: Italian Addendum” (the Italian Addendum) and corresponding European RMBS Insight Model (the Model). The Italian Addendum and the Model supersede the Italian Residential Mortgage Addendum of the “Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda” published on 21 September 2020.

The Italian Addendum and Model present the criteria used to estimate defaults and losses for which Italian residential mortgage-backed securities (RMBS) and covered bonds ratings are assigned and/or monitored. The distressed sale discount, market value decline (MVD), and foreclosure cost assumptions, which are part of the Italian Addendum, will also be used for rating Italian small and medium-size enterprise (SME) and nonperforming loan transactions. Considering the framework, DBRS Morningstar placed the aforementioned tranches Under Review as they are more affected by the changes introduced by the Italian Addendum.

These ratings are Under Review. Generally, the conditions that lead to the assignment of ratings Under Review are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this methodological change will be available when resolution of the Under Review placements are completed.

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 2 December 2020. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/370672/global-macroeconomic-scenarios-december-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

On 5 May 2020, DBRS Morningstar published a commentary outlining how the coronavirus crisis is likely to affect DBRS Morningstar-rated RMBS transactions in Europe. For more details, please see: https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect and https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap.

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.

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 methodologies applicable to the ratings are the “Master European Structured Finance Surveillance Methodology” (22 April 2020) and the “European RMBS Insight: Italian Addendum” (21 December 2020).

DBRS Morningstar is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

Other methodologies referenced in these transactions are listed at the end of this press release.

These may be found at: http://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 source of data and information used for these rating actions includes investor reports provided by Banca Finanziaria Internazionale S.p.A. and Centotrenta Servicing S.p.A,, servicer reports provided byBanca Popolare di Bari S.p.A., Banca del Fucino S.p.A. and Banca Valsabbina S.C.p.A., loan-level data provided by the European DataWarehouse GmbH, and the potential impact of the material methodology updates.

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

At the time of the initial rating for each transaction, DBRS Morningstar was supplied with third-party assessments for the three transactions. However, this did not impact the rating analysis in any case.

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 action on 2018 Popolare Bari RMBS S.r.l. took place on 12 June 2020, when DBRS Morningstar confirmed its AA (high) (sf) and AA (low) (sf) ratings on the Class A and B Notes, respectively.

The last rating action on Fucino RMBS S.r.l. took place on 15 April 2020, when DBRS Morningstar confirmed its AA (low) (sf) and A (low) (sf) ratings on the Class A and B Notes, respectively.

The last rating action on Valsabbina SPV 1 S.r.l. (RMBS) took place on 24 July 2020, when DBRS Morningstar confirmed its AA (sf) rating on the Class A Notes.

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

Ratings are Under Review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. 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: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml

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

Lead Analyst:
2018 Popolare Bari RMBS S.r.l. and Fucino RMBS S.r.l.: Daniele Canestrari, Senior Analyst
Valsabbina SPV 1 S.r.l. (RMBS): Shalva Beshia, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates:
2018 Popolare Bari RMBS S.r.l: 14 June 2018
Fucino RMBS S.r.l.: 15 April 2019
Valsabbina SPV 1 S.r.l. (RMBS): 31 January 2012

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (22 April 2020), https://www.dbrsmorningstar.com/research/359884/master-european-structured-finance-surveillance-methodology

-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
https://www.dbrsmorningstar.com/research/350234/legal-criteria-for-european-structured-finance-transactions

-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020), https://www.dbrsmorningstar.com/research/370270/operational-risk-assessment-for-european-structured-finance-servicers

-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020),
https://www.dbrsmorningstar.com/research/367292/interest-rate-stresses-for-european-structured-finance-transactions

-- European RMBS Insight Methodology (2 April 2020) and European RMBS Insight Model v 5.0.0.0,
https://www.dbrsmorningstar.com/research/359192/european-rmbs-insight-methodology

-- European RMBS Insight: Italian Addendum (21 December 2020),
https://www.dbrsmorningstar.com/research/369177/european-rmbs-insight-italian-addendum-request-for-comment

-- Derivative Criteria for European Structured Finance Transactions (24 September 2020),
https://www.dbrsmorningstar.com/research/367092/derivative-criteria-for-european-structured-finance-transactions

-- Rating European Structured Finance Transactions Methodology (21 July 2020),
https://www.dbrsmorningstar.com/research/364305/rating-european-structured-finance-transactions-methodology y

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

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