Press Release

DBRS Morningstar Downgrades Rating of Belvedere SPV S.r.l.; Trend Remains Negative

Nonperforming Loans
September 21, 2021

DBRS Ratings GmbH (DBRS Morningstar) downgraded its rating on the Class A notes issued by Belvedere SPV S.r.l. (the Issuer) to BB (low) (sf) from BB (sf) and maintained a Negative trend.

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

At issuance, the Notes were backed by a EUR 2.5 billion portfolio by gross book value (GBV) consisting of unsecured and secured nonperforming loans sold by Gemini SPV S.r.l., Sirius SPV S.r.l., Antares SPV S.r.l., SPV Project 1702 S.r.l., and Adige SPV S.r.l. (collectively, the Sellers) to Belvedere SPV S.r.l.

The receivables are serviced by Prelios Credit Servicing S.p.A. (Prelios) and Bayview Italia S.r.l. (Bayview), which act as the special servicers. Prelios also operates as the master servicer in the transaction. A backup servicer, Securitisation Services S.p.A., was appointed and will act as the servicer in case the special servicers’ appointments are terminated.

The rating downgrade follows a review of the transaction and is based on the following analytical considerations:
-- Transaction performance: assessment of portfolio recoveries as of 31 May 2021, focusing on: (1) a comparison between actual collections and the Servicers’ initial business plan forecast; (2) the collection performance observed over the past months, 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.
-- Bayview’s updated business plan, received in May 2021 as of December 2020, and the comparison with Bayview’s initial collection expectations, as well as the absence of Prelios’ updated business plan.
-- Portfolio characteristics: loan pool composition 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.
-- Performance ratios and Underperformance Events: First Level and Second Level Underperformance Events may occur if the Cumulative Collection Ratio (CCR) and the PV Cumulative Profitability Ratio (PVCPR) are both lower than 90% and 75%, respectively. These events have not occurred on the June 2021 interest payment date, with the actual figures being a 25.1% CCR and a 103.8% PVCPR for Prelios and a 53.2% CCR and a 95.7% PVCPR for Bayview, according to the latest information from the special servicers.
-- 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 is equal to 4.0% of the Class A notes principal outstanding and is currently fully funded. However, DBRS Morningstar notes that, in the absence of a trigger notice, the amortising mechanism for the reserve defined as the Class J Notes Early Amortisation Amount creates a leakage of funds towards the junior notes.

According to the latest payment report from June 2021, the outstanding principal amounts of the Class A, Class B, and Class J notes were equal to EUR 262.1 million, EUR 70.0 million, and EUR 95.0 million, respectively. The balance of the Class A notes has amortised by approximately 18.1% since issuance. The current aggregated transaction balance is EUR 427.1 million.

As of May 2021, the transaction was performing below the Servicers’ initial expectations. The actual cumulative gross collections equalled EUR 110.0 million whereas the Servicer’s initial business plan estimated cumulative gross collections of EUR 257.3 million for the same period. Therefore, as of May 2021, the transaction was underperforming by EUR 147.3 million (-57.3%) compared with initial expectations. By special servicer, the performance split would be as follows: Prelios is underperforming by EUR 87.5 million (-73.7%) compared with its initial expectations and Bayview is underperforming by EUR 59.8 million (-43.2%) compared with its initial expectations.

Bayview’s underperformance started in the first half of 2020 as opposed to Prelios’ underperformance, which has been evident since the closing of the transaction. According to Prelios, its underperformance is mainly attributable to a relevant delay in the onboarding operations and to a lower-than-expected credit quality, which particularly affects the unsecured exposures.

At issuance, DBRS Morningstar estimated cumulative gross collections for the same period of EUR 157.5 million at the BBB (low) (sf) stressed scenario. Therefore, as of May 2021 the transaction was performing below DBRS Morningstar’s stressed expectations.

In May 2021, Bayview provided DBRS Morningstar with a revised business plan. In this updated business plan, Bayview assumed lower recoveries compared with initial expectations. The total cumulative gross collections from the updated business plan account for EUR 271.3 million, which is 11.1% lower compared with the EUR 305.1 million expected in the initial business plan. The updated business plan from Prelios has not yet been released by the monitoring agent as it does not have the required approvals. Consequently, DBRS Morningstar has not been able to incorporate Prelios’ most up-to-date view of the transaction’s expected performance in its analysis.

The special servicers’ total expected collections are now accounting for EUR 499.8 million. The updated DBRS Morningstar BB (low) (sf) rating stress assumes a haircut of 16.0% to the special servicers’ latest business plans, considering total expected collections.

The final maturity date of the transaction is in December 2038.

DBRS Morningstar analysed the transaction structure using Intex DealMaker.

The coronavirus and the resulting isolation measures have caused an immediate economic contraction, leading in some cases increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that negative effects may continue in the coming months for many nonperforming loan (NPL) transactions. In particular, the deterioration of macroeconomic conditions could negatively affect recoveries from NPLs and the related real estate collaterals. The rating is based on additional analysis 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 residential property prices, albeit partial credit to house price increases from 2023 onwards is given in non-investment-grade scenarios.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 8 September 2021. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries: and

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” (8 February 2021).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at:

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.

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 the Issuer and/or its agents, which comprise, in addition to the information received at issuance, the updated business plan from the Bayview received in May 2021 as of December 2020; the investor report as of June 2021; the semiannual Servicers reports as of May 2021; and the Monthly Loan by Loan Report as of May 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 21 September 2020, when DBRS Morningstar downgraded the rating on the Class A notes to BB (sf), assigned a Negative trend, and removed the Under Review with Negative Implications status on the rating.

The lead analyst responsibilities for this transaction have been transferred to Clarice Baiocchi.

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 419.8 million at the BB (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: Clarice Baiocchi, Senior Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 21 December 2018

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
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The rating methodologies used in the analysis of this transaction can be found at:

-- Rating European Nonperforming Loans Securitisations (19 May 2021),
-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
-- Master European Structured Finance Surveillance Methodology (8 February 2021),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (3 September 2020),
-- European RMBS Insight Methodology (3 June 2021),
-- 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 (16 September 2021),
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021),
-- 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