Press Release

DBRS Morningstar Downgrades Class A Notes of ISEO SPV S.r.l. to BBB (low) (sf), Assigns Negative Trend, and Removes from Under Review with Negative Implications

Nonperforming Loans
March 02, 2021

DBRS Ratings GmbH (DBRS Morningstar) downgraded its rating on the Class A notes issued by ISEO SPV S.r.l. (the Issuer) to BBB (low) (sf) from BBB (sf) and assigned a Negative trend. At the same time, DBRS Morningstar removed the Under Review with Negative Implications status from the Class A notes, which was assigned on 22 December 2020.

The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the Notes). The rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal. DBRS Morningstar does not rate the Class B or Class J notes.

As of the 31 March 2019 economic effective date, the Notes were backed by a EUR 858 million portfolio by gross book value consisting of unsecured and secured nonperforming loans (NPLs) originated by Unione di Banche Italiane S.p.A.

Since the 4 December 2019 transfer date, the receivables have been serviced by doValue S.p.A. (the Servicer) with Italfondiario S.p.A acting as the master servicer. A backup servicer, Banca Finanziaria Internazionale S.p.A (formerly, Securitisation Services S.p.A.), was appointed.

The downgrade follows a review of the transaction and is based on the following analytical considerations:
-- Transaction performance: an assessment of portfolio recoveries as of 31 December 2020, focusing on: (1) a comparison between actual collections and the Servicer´s initial business plan forecast; (2) the collection performance observed since issuance, including the period following the outbreak of the Coronavirus Disease (COVID-19); and (3) a comparison between the current performance and DBRS Morningstar’s initial expectations.
-- The Servicer’s updated business plan: a review of the updated business plan, received by DBRS Morningstar in January 2021, and a comparison with the initial business plan expectations.
-- Portfolio characteristics: the loan pool composition as of December 2020 and evolution of its core features since issuance.
-- Transaction liquidating structure: the order of priority entails a fully sequential amortisation of the Notes (i.e., the Class B notes will begin to amortise following the full repayment of the Class A notes and the Class J notes will amortise following the repayment of the Class B notes). Additionally, interest payments on the Class B notes become subordinated to principal payments on the Class A notes if the cumulative gross collection ratio or the net present value cumulative profitability ratio are lower than 90%. These triggers were breached on the January 2021 interest payment date, with the actual figures being 75.0% and 110.8%, respectively, according to the Servicer.
-- Liquidity support: the transaction benefits from an amortising cash reserve providing liquidity to the structure covering against potential interest shortfall on the Class A notes and senior fees. The cash reserve target amount, which is equal to 4.0% of the Class A notes principal outstanding balance, is currently fully funded.

According to the latest payment report of January 2021, the outstanding principal amounts of the Class A, Class B, and Class J notes were equal to EUR 268.6 million, EUR 25.0 million, and EUR 13.4 million, respectively. The balance of the Class A notes has amortised by approximately 19.8% since issuance. The current aggregated transaction balance is EUR 307.1 million.

As of December 2020, the transaction was performing below the Servicer’s initial expectations. The actual cumulative gross collections equaled EUR 76.4 million, whereas the Servicer’s initial business plan estimated cumulative gross collections of EUR 100.5 million for the same period. Therefore, as of December 2020, the transaction was underperforming by EUR 24.0 million (23.9%) compared with initial expectations.

At issuance, DBRS Morningstar estimated cumulative gross collections for the same period of EUR 76.2 million at the BBB (sf) stressed scenario. Therefore, as of December 2020, the transaction is fairly aligned with DBRS Morningstar’s initial stressed expectations.

In January 2021, the Servicer provided DBRS Morningstar with a revised business plan. In this updated business plan, the Servicer assumed lower recoveries compared with initial expectations. The total cumulative gross collections from the updated business plan account for EUR 468.5 million, which is 9.4% lower compared with the EUR 517.2 million expected in the initial business plan. According to the Servicer, the main drivers for this reduction are the effects of the pandemic, such as court closures and payment holidays or moratoria.

Without including actual collections, the Servicer’s expected future collections from January 2021 are now accounting for EUR 393.2 million (EUR 416.7 million in the initial business plan). Hence, the Servicer’s expectation for collection on the remaining portfolio was revised downwards. The updated DBRS Morningstar BBB (low) (sf) rating stress assumes a haircut of 11.5% to the Servicer’s latest business plan, considering future expected collections.

The final maturity date of the transaction is in July 2039.

DBRS Morningstar analysed the transaction structure using Intex DealMaker.

The coronavirus 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. For this transaction, DBRS Morningstar incorporated its expectation of a moderate medium-term decline in property prices; however, partial credit to house price increases from 2023 onwards is given in noninvestment grade scenarios. The Negative trend reflects the ongoing uncertainty amid the coronavirus.

On 16 April 2020, DBRS Morningstar published 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: 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 can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings 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).

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

A review of the 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 these ratings include the Issuer and/or its agents, which comprise, in addition to the information received at issuance, the updated business plan from the Servicer received in January 2021, updated servicer reports and data tape as of December 2020, and the investor report as of January 2021.

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 22 December 2020, when DBRS Morningstar placed the Class A notes rating Under Review with Negative Implications.

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

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

-- Recovery Rates Used: Cumulative base case recovery amount of approximately EUR 348.1 million at the BBB (low) (sf) stress level, a 5% and 10% decrease in the base case recovery rate.
-- DBRS Morningstar concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to B (low) (sf).
-- DBRS Morningstar concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A notes to CCC (sf).

Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS Morningstar’s outlooks and ratings are monitored.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Alberto Cruces de la Rosa, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 16 December 2019

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

-- Rating European Non-Performing Loans Securitisations (13 May 2020),
-- Master European Structured Finance Surveillance Methodology (22 April 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 (26 February 2021),
-- 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),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021),

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