Press Release

DBRS Morningstar Places ISEO SPV S.r.l. Rating of Under Review with Negative Implications

Nonperforming Loans
December 22, 2020

DBRS Ratings GmbH (DBRS Morningstar) placed the BBB (sf) rating of the Class A notes issued by ISEO SPV S.r.l. (the Issuer) Under Review with Negative Implications.

The Under Review with Negative Implications status was assigned based on the following analytical considerations:
-- Concerns about the liquidity pressure deriving from the disruption to short- and medium- to long-term recoveries and delays in the implementation of doValue S.p.A.’s (the servicer) strategy because of measures local governments have undertaken in response to the Coronavirus Disease (COVID-19).
-- Potential decrease in sale prices and liquidation values of nonperforming loan (NPL) collateral in the medium- to long-term because of the effects of the deteriorating macroeconomic conditions on the real estate market.
-- Analytical review of the following factors in order to determine its risk exposure to the medium- to long-term effects of the crisis, and specifically:

(1) Evolution of the loan pool composition since the 31 March 2019 cut-off date until September 2020 and whether any material change or a deterioration of its quality occurred. The borrower legal status split (individuals versus corporates) and the borrower type split (secured versus unsecured) has remained consistent as of September 2020. The consistency of the property type split (residential, industrial, retail, etc.) cannot be assessed with the information provided in the servicer reports or data tape.

(2) Transaction performance to date: as of September 2020, actual cumulative gross disposition proceeds (GDPs) were EUR 59.2 million whereas the initial business plan (BP) prepared by the servicer assumed cumulative GDPs of EUR 94.6 million for the same period. Therefore, as of September 2020, the transaction was underperforming compared with the servicer’s expectations by -37.4%.

(3) Occurrence of an interest subordination event: as of the latest interest payment date (31 July 2020) an interest subordination event had occurred, being the cumulative collection ratio (CCR) at 83.01% (threshold <90%) and the present value (PV) cumulative profitability ratio at 118.5% (threshold <90%).

(4) Available forms of liquidity support to mitigate temporary shortfalls on the payment of senior costs and interest on senior notes. As of the latest interest payment date (IPD), the cash reserve was fully funded at 4% of the Class A notes and the recovery expenses cash reserve was fully funded to EUR 250,000.

(5) Status of the servicing fee subordination mechanism: given the CCR was 83.01% on the latest IPD and according to the fee subordination mechanism, only 77.5% of the accrued servicing fee was considered as the servicer senior fee.

In its review, DBRS Morningstar will focus on the expected level of cash flow generation considering the servicer’s updated BP and comparison with the initial forecasts. An updated BP is not yet available as according to the transaction documents, the first update of the BP is due on 15 January 2021.

DBRS Morningstar typically endeavours to resolve the status of ratings Under Review with Negative Implications as soon as appropriate. If continued heightened market uncertainty and volatility persists, DBRS Morningstar may extend the Under Review status for a longer period of time.

The Coronavirus Disease (COVID-19) 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 NPL securitisations will continue to 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.

On 16 April 2020, DBRS Morningstar published a set of macroeconomic scenarios for the 2020-22 period in selected economies. These scenarios were last updated on 2 December 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).

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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

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 performance and loan-by-loan data provided by the servicer in its quartely servicer report, a data tape dated September 2020, an investor report and payment report dated July 2020, the original BP, and feedback provided by the servicer in relation to contingency plans following the spread of coronavirus.

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 8 May 2020, when DBRS Morningstar assigned a Negative Trend to the Class A notes.

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

Ratings are Under Review with Negative Implications designation. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. If continued heightened market uncertainty and volatility persists, DBRS Morningstar may extend the Under Review status for a longer period of time. 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:

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

Lead Analyst: Sebastiano Romano, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 16 December 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 European Non-Performing Loans Securitisations (13 May 2020),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (3 September 2020),
-- European RMBS Insight Methodology (2 April 2020)
-- European RMBS Insight: Italian Addendum (21 December 2020),
-- European CMBS Rating and Surveillance Methodology (13 December 2019),
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020),
-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
-- Derivative Criteria for European Structured Finance Transactions (24 September 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:

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