DBRS Morningstar Confirms Ratings of Eight Series under the Marzio Finance Securitisation Programme

DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings of eight series of notes issued by Marzio Finance S.r.l. (the Issuer) in the context of a securitisation programme (the Programme), as follows:

-- Series 1-2017: Class A Notes at AA (low) (sf)
-- Series 2-2018: Class A Notes at AA (sf)
-- Series 3-2018: Class A Notes at AA (low) (sf)
-- Series 4-2018: Class A Notes at AA (sf)
-- Series 4-2018: Class B Notes at A (high) (sf)
-- Series 5-2019: Class A Notes at AA (low) (sf)
-- Series 6-2019: Class A Notes at AA (low) (sf)
-- Series 7-2019: Class A Notes at AA (low) (sf)
-- Series 8-2020: Class A Notes at AA (low) (sf)

The ratings on the Class A Notes address the timely payment of interest and the ultimate payment of principal by the respective final maturity dates.

The rating on the Class B Notes addresses the ultimate payment of interest and principal by the final maturity date in accordance with the Issuer’s default definition provided in the transaction documents (i.e., the timely payment of interest only when they become the most-senior tranche).

The confirmations follow an annual review of the transactions and are based on the following analytical considerations:

-- Portfolio performances, in terms of delinquencies, defaults, and losses as of the December 2020 payment date (and December 2020 portfolio cut-off);
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels;
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

Marzio Finance S.r.l. is a EUR 10,000,000,000 Programme established in August 2017 and amended in November 2018 and March 2020, designed to follow the standard structure under the Italian securitisation law. The programme represents the issuance of notes under various series backed by pools of receivables related to salary and pension assignment loans as well as payment delegation loans granted by IBL – Istituto Bancario del Lavoro S.p.A. (IBL or the Originator) to Italian employees and pensioners.

Each series’ receivables are segregated from other series’ receivables that may be assigned to back issuances of further series. Cross-collateralisation or commingling of collections from different series are not permitted under the programme terms. The portfolios are serviced by IBL Servicing S.p.A. (fully owned by IBL) with IBL acting as sub-servicer and Zenith Service S.p.A. appointed as backup servicer. IBL also covers the role of collection account bank.

PORTFOLIO PERFORMANCE

The eight portfolios are performing within DBRS Morningstar’s initial expectations.

Delinquencies show a similar trend across all portfolios and have been generally stable over the past year. As of the December 2020 cut-off, the 60 to 90 days and 90+ days arrears were as follows:

-- Series 1-2017: 1.1% and 2.0%, respectively, from 0.8% and 1.2%, respectively, as of the December 2019 cut-off
-- Series 2-2018: 1.8% and 2.3%, respectively, from 1.3% and 1.7%, respectively, as of the December 2019 cut-off
-- Series 3-2018: 1.0% and 1.3%, respectively, from 0.5% and 0.8%, respectively, as of the December 2019 cut-off
-- Series 4-2018: 0.9% and 1.0%, respectively, from 0.3% and 0.6%, respectively, as of the December 2019 cut-off
-- Series 5-2019: 0.9% and 1.2%, respectively, from 0.3% and 0.6%, respectively, as of the December 2019 cut-off
-- Series 6-2019: 1.2% and 1.6%, respectively, from 0.5% and 0.5%, respectively, as of the December 2019 cut-off
-- Series 7-2019: 0.8% and 1.1%, respectively, from 0.3% and 0.2%, respectively, as of the December 2019 cut-off
-- Series 8-2020: 0.8% and 0.8%, respectively.

The gross cumulative defaults also show a uniform trend across the various series. The most recent ratios are listed below (as of the December 2020 cut-off):

-- Series 1-2017: 3.8%, increasing from 2.7% last year
-- Series 2-2018: 2.6%, increasing from 2.0% last year
-- Series 3-2018: 2.9%, increasing from 1.7% last year
-- Series 4-2018: 2.4%, increasing from 1.1% last year
-- Series 5-2019: 1.9%, increasing from 0.6% last year
-- Series 6-2019: 1.8%, increasing from 0.4% last year
-- Series 7-2019: 1.4%, increasing from 0.1% last year
-- Series 8-2020: 0.6%

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pools of receivables and has updated its base case PD and LGD assumptions as follows:

-- Series 1-2017, the base case PD and LGD are 7.0% and 0.5%, respectively
-- Series 2-2018, the base case PD and LGD are 7.3% and 0.1%, respectively
-- Series 3-2018, the base case PD and LGD are 7.0% and 0.3%, respectively
-- Series 4-2018, the base case PD and LGD are 7.3% and 0.2%, respectively
-- Series 5-2019, the base case PD and LGD are 7.3% and 3.4%, respectively
-- Series 6-2019, the base case PD and LGD are 7.3% and 1.4%, respectively
-- Series 7-2019, the base case PD and LGD are 7.3% and 5.1%, respectively
-- Series 8-2020, the base case PD and LGD are 7.4% and 6.6%, respectively

CREDIT ENHANCEMENT

Overcollateralisation of the outstanding collateral portfolios provides credit enhancement to the rated notes issued under the Programme. For Series 4-2018 to Series 8-2020, the additional reserve also provides credit enhancement, but only in the case of Class A Notes. As of the December 2020 payment dates, credit enhancement levels were as follows:

-- For Class A Notes of Series 1-2017, 13.4% up from 9.8% as of the December 2019 payment date
-- For Class A Notes of Series 2-2018, 55.6% up from 34.1% as of the December 2019 payment date
-- For Class A Notes of Series 3-2018, 17.9% up from 14.8% as of the December 2019 payment date
-- For Class A Notes of Series 4-2018, 28.8% up from 24.4% as of the December 2019 payment date
-- For Class B Notes of Series 4-2018, 7.2% up from 5.9% as of the December 2019 payment date
-- For Class A Notes of Series 5-2019, 14.2% up from 12.1% as of the December 2019 payment date
-- For Class A Notes of Series 6-2019, 20.8% up from 9.0% as of the December 2019 payment date
-- For Class A Notes of Series 7-2019, 12.1% up from 10.2% as of the December 2019 payment date
-- For Class A Notes of Series 8-2020, 11.2% up from 9.8% at closing.

Credit enhancement levels differ substantially across the different series. This is mostly due to structural features (such as the additional reserve mentioned above), to different seasoning of the related portfolios, and to prepayments dynamics.

All series benefit from amortising liquidity reserves, available to cover senior fees and expenses, swap payments (if any), and interest payments on the Class A and Class B Notes (if issued under the relevant series). The liquidity reserves start amortising as soon as the rated notes are paid down for more than 50% of their initial balance, with various target and floor levels as specified below. The liquidity reserves of Series 2-2018 and Series 6-2019 are the only ones that already started to amortise, with the former having reached its floor level. As of the December 2020 payment date, all liquidity reserves were at their target levels.

-- Series 1-2017: the target during amortisation is the maximum between 3% of the rated notes outstanding balance and the floor (0.75% of the rated notes initial balance). The current balance is EUR 5,979,000.
-- Series 2-2018: the current target is the floor level (0.75% of the rated notes initial balance). The current balance is EUR 2,160,750.
-- Series 3-2018: the target during amortisation is the maximum between 5.2% of the rated notes outstanding balance and the floor (1.3% of the rated notes initial balance). The current balance is EUR 11,000,000.
-- Series 4-2018: the target during amortisation is the maximum between 2.0% of the rated notes outstanding balance and the floor (0.5% of the rated notes initial balance). The current balance is EUR 3,600,000.
-- Series 5-2019: the target during amortisation is the maximum between 2.0% of the rated notes outstanding balance and the floor (0.5% of the rated notes initial balance). The current balance is EUR 2,560,000.
-- Series 6-2019: the target during amortisation is the maximum between 2.0% of the rated notes outstanding balance and the floor (0.5% of the rated notes initial balance). The current balance is EUR 3,849,948.
-- Series 7-2019: the target during amortisation is the maximum between 2.0% of the rated notes outstanding balance and the floor (0.5% of the rated notes initial balance). The current balance is EUR 3,530,000.
-- Series 8-2020: the target during amortisation is the maximum between 1.5% of the rated notes outstanding balance and the floor (0.38% of the rated notes initial balance). The current balance is EUR 2,238,000.

The Series 4-2018, Series 5-2019, Series 6-2019, Series 7-2019, and Series 8-2020 also benefit from additional reserves, available to cover senior fees and expenses, swap payments (if any), interest payments on Class A and Class B Notes (if issued under the relevant series), to top up the liquidity reserve, and to repay principal on the Class A Notes (therefore providing actual credit enhancement). The additional reserves are designed to start amortising from the first payment date with various target and floor levels as specified below. The additional reserve of Series 6-2019 is the only one that has already reached its floor level. As of the December 2020 payment date, all additional reserves were at their target levels.

-- Series 4-2018: the target is the maximum between 1.5% of the portfolio outstanding balance and the floor (0.75% of the portfolio initial balance). The current balance is EUR 4,047,420.
-- Series 5-2018: the target is the maximum between 1.5% of the portfolio outstanding balance and the floor (0.75% of the portfolio initial balance). The current balance is EUR 3,228,356.
-- Series 6-2019: the current target is the floor level (0.75% of the portfolio initial balance). The current balance is EUR 4,550,000.
-- Series 7-2019: the target is the maximum between 1.5% of the portfolio outstanding balance and the floor (0.75% of the portfolio initial balance). The current balance is EUR 4,681,887.
-- Series 8-2020: the target is the maximum between 1.75% of the portfolio outstanding balance and the floor (0.88% of the portfolio initial balance). The current balance is EUR 5,120,392.

Each series also benefits from a management fees reserve available to offset prepayment losses related to capitalised fees that may be retained upon prepayment.

Cash trapping conditions are in place in order to trap excess spread in case the cumulative net default ratio rises above a certain threshold. Only in relation to the Series 4-2018, a Class B Notes performance trigger is in place with the purpose of deferring interest payments on Class B upon deterioration of the portfolio performance.

Citibank NA, Milan Branch acts as the account bank for all series issued under the Programme. Based on the private rating of the account bank, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transactions’ structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

Crédit Agricole CIB, Milan Branch is the swap counterparty for Series 3-2018 and Series 4-2018, which are the only two series whose Class A Notes pay a floating interest rate. The DBRS Morningstar private rating of Crédit Agricole CIB, Milan Branch is consistent with the first and second rating thresholds, as defined in DBRS Morningstar’s “Derivative Criteria for European Structured Finance Transactions” methodology. The swap documents are compliant with the same methodology.

DBRS Morningstar analysed the transactions’ structures in Intex DealMaker.

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 continue to increase in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus.

For these transactions, DBRS Morningstar conducted additional sensitivity analysis to determine that the transactions benefit from sufficient liquidity support to withstand potential payment holidays in the portfolio.

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 28 January 2021. For details, see the following commentaries:
https://www.dbrsmorningstar.com/research/372843/dbrs-morningstar-releases-updated-global-macroeconomic-scenarios 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 8 May 2020, DBRS Morningstar published a commentary outlining how the coronavirus is likely to affect the DBRS Morningstar-rated ABS transactions in Europe, for more details please see https://www.dbrsmorningstar.com/research/360734/european-abs-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 the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

A review of the transactions’ legal documents was not conducted as the legal documents have remained unchanged since the most recent rating actions.

Other methodologies referenced in these transactions 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 investor and servicer reports provided by IBL 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 ratings, 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:
-- Series 1-2017: 25 September 2020, when DBRS Morningstar confirmed its AA (low) (sf) rating on the Class A Notes.
-- Series 2-2018: 29 January 2020, when DBRS Morningstar upgraded the rating of the Class A Notes to AA (sf) from AA (low) (sf).
-- Series 3-2018: 20 May 2020, when DBRS Morningstar confirmed its AA (low) (sf) rating on the Class A Notes
-- Series 4-2018: 18 November 2020, when DBRS Morningstar confirmed its ratings on the Class A and Class B Notes at AA (sf) and A (high) (sf), respectively.
-- Series 5-2019: 2 April 2020, when DBRS Morningstar confirmed its AA (low) (sf) rating on the Class A Notes.
-- Series 6-2019: 31 July 2020, when DBRS Morningstar confirmed its AA (low) (sf) rating on the Class A Notes.
-- Series 7-2019: 25 September 2020, when DBRS Morningstar confirmed its AA (low) (sf) rating on the Class A Notes.
-- Series 8-2020: this is the first rating action since the initial rating date on 16 March 2020, when DBRS Morningstar assigned the rating of AA (low) (sf) to the Class A Notes.

The lead analyst responsibilities for Series 8-2020 have been transferred to Daniele Canestrari.

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

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

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pools based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.

-- For Series 1-2017, the base case PD and LGD of the current pool of loans are 7.0% and 0.5%, respectively
-- For Series 2-2018, the base case PD and LGD of the current pool of loans are 7.3% and 0.1%, respectively
-- For Series 3-2018, the base case PD and LGD of the current pool of loans are 7.0% and 0.3%, respectively
-- For Series 4-2018, the base case PD and LGD of the current pool of loans are 7.3% and 0.2%, respectively
-- For Series 5-2019, the base case PD and LGD of the current pool of loans are 7.3% and 3.4%, respectively
-- For Series 6-2019, the base case PD and LGD of the current pool of loans are 7.3% and 1.4%, respectively
-- For Series 7-2019, the base case PD and LGD of the current pool of loans are 7.3% and 5.1%, respectively
-- For Series 8-2020, the base case PD and LGD of the current pool of loans are 7.4% and 6.6%, respectively

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. Taking the Class A Notes of Series 1-2017 as an example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to A (high) (sf).

Series 1-2017 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Series 2-2018 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Series 3-2018 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Series 4-2018 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Series 4-2018 – Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Series 5-2019 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Series 6-2019 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Series 7-2019 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Series 8-2020 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

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/cerep-web/statistics/defaults.xhtml.

DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

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

Series 1-2017 Initial Rating Date: 28 September 2017
Series 2-2018 Initial Rating Date: 29 January 2018
Series 3-2018 Initial Rating Date: 24 May 2018
Series 4-2018 Initial Rating Date: 21 November 2018
Series 5-2019 Initial Rating Date: 5 April 2019
Series 6-2019 Initial Rating Date: 31 July 2019
Series 7-2019 Initial Rating Date: 9 October 2019
Series 8-2020 Initial Rating Date: 16 March 2020

The rating methodologies used in the analysis of these transactions can be found at: https://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.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (3 September 2020), https://www.dbrsmorningstar.com/research/366294/rating-european-consumer-and-commercial-asset-backed-securitisations.
-- Rating European Structured Finance Transactions Methodology (21 July 2020),
https://www.dbrsmorningstar.com/research/364305/rating-european-structured-finance-transactions-methodology.
-- 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.
-- Derivative Criteria for European Structured Finance Transactions (24 September 2020),
https://www.dbrsmorningstar.com/research/367092/derivative-criteria-for-european-structured-finance-transactions.

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].