DBRS Morningstar Takes Rating Actions Across Seven Italian RMBS Transactions

DBRS Ratings GmbH (DBRS Morningstar) took the following rating actions on several classes of notes issued in the context of seven Italian RMBS transactions:

Fucino RMBS S.r.l. (Fucino)
-- Class A Notes upgraded to AAA (sf) from AA (low) (sf)
-- Class B Notes upgraded to AA (sf) from A (low) (sf)

2017 Popolare Bari RMBS S.r.l. (2017 PB)
-- Class A Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class B Notes confirmed at AA (low) (sf)

2018 Popolare Bari RMBS S.r.l. (2018 PB)
-- Class A Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class B Notes confirmed at AA (low) (sf)

2019 Popolare Bari RMBS S.r.l. (2019 PB)
-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes upgraded to AA (high) (sf) from AA (sf)
-- Class B Notes confirmed at A (high) (sf)

CR VOLTERRA 2 SPV S.r.l. (Volterra)
-- Class A (2013) Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class A (2016) Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class M (2016) Notes upgraded to AA (sf) from A (high) (sf)

Valconca SPV S.r.l. (RMBS) (Valconca)
-- Class A Notes upgraded to AA (sf) from A (high) (sf)

Lanterna Mortgage S.r.l. (Lanterna)
-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes confirmed at AAA (sf)

The ratings on all Class A Notes address the timely payment of interest and the ultimate payment of principal by the respective final maturity dates, except for the Class A2 Notes of 2019 PB where the rating addresses the ultimate payment of interest and the ultimate payment of principal by the final maturity date.

The ratings on all other classes of notes address the ultimate payment of interest and the ultimate payment of principal by the respective final maturity dates.

The rating actions 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 respective latest payment dates;
-- 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; and
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

PORTFOLIO PERFORMANCE
The seven portfolios are currently performing within DBRS Morningstar’s initial expectations.

As of the latest cut-off dates, the 90+-day arrears and gross cumulative default ratios were as follows:

-- Fucino: 0.04% and 0.00%, respectively
-- 2017 PB: 0.46% and 2.62%, respectively
-- 2018 PB: 0.31% and 1.43%, respectively
-- 2019 PB: 0.46% and 0.69%, respectively
-- Volterra: 0.81% and 3.56%, respectively
-- Valconca: 0.00% and 5.72%, respectively
-- Lanterna: 0.20% and 0.32%, respectively

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

-- Fucino: 9.4% and 10.9%, respectively
-- 2017 PB: 10.6% and 10.9%, respectively
-- 2018 PB: 10.5% and 11.0%, respectively
-- 2019 PB: 12.4% and 12.7%, respectively
-- Volterra: 10.3% and 16.0%, respectively
-- Valconca: 12.2% and 12.3%, respectively
-- Lanterna: 17.4% and 14.8%, respectively

Changes in PD and LGD assumptions compared with the previous annual review, when present, are typically driven by portfolio deleveraging and/or changes in the pool compositions.

CREDIT ENHANCEMENT
Credit enhancement to the rated notes is provided by the overcollateralisation of the outstanding portfolio balance.

As of the latest payment dates, credit enhancement levels were as follows:
-- Fucino – Class A Notes: 30.3%, up from 23.6% as of the latest annual review in February 2021
-- Fucino – Class B Notes: 23.7%, up from 18.1% as of the latest annual review in February 2021
-- 2017 PB – Class A Notes: 47.6%, up from 38.9% as of the latest annual review in March 2021
-- 2017 PB – Class B Notes: 31.8%, up from 25.6% as of the latest annual review in March 2021
-- 2018 PB – Class A Notes: 33.9%, up from 28.3% as of the latest annual review in March 2021
-- 2018 PB – Class B Notes: 23.7%, up from 19.5% as of the latest annual review in March 2021
-- 2019 PB – Class A1 Notes: 29.1%, up from 27.8% as of the latest annual review in September 2021
-- 2019 PB – Class A2 Notes: 25.2%, up from 24.0% as of the latest annual review in September 2021
-- 2019 PB – Class B Notes: 20.0%, up from 19.0% as of the latest annual review in September 2021
-- Volterra – Class A (2013) Notes: 51.0%, up from 43.3% as of the latest annual review in March 2021
-- Volterra – Class A (2016) Notes: 51.0%, up from 43.3% as of the latest annual review in March 2021
-- Volterra – Class M (2016) Notes: 39.3%, up from 32.9% as of the latest annual review in March 2021
-- Valconca – Class A Notes: 28.1%, up from 25.4% as of the latest annual review in May 2021
-- Lanterna – Class A1 Notes: 38.1%, up from 33.8% as of the latest annual review in July 2021
-- Lanterna – Class A2 Notes: 32.9%, up from 29.0% as of the latest annual review in July 2021

The increase in credit enhancement, where present, was the main driver behind the rating upgrades (if any).

All transactions benefit from cash reserves, available to cover senior fees and expenses, swap payments (if any), and interest payments on the Class A Notes. Various performance-related triggers are in place to defer the interest on subordinated notes upon portfolio deterioration.

All reserves were at their target levels as of the latest payment dates.

The account bank role is covered by the following counterparties:
-- For Fucino, 2017 PB, 2018 PB, 2019 PB, Volterra, and Valconca: BNP Paribas Securities Services, Milan Branch
-- For Lanterna: BNY Mellon SA/NV, Milan Branch

Based on the DBRS Morningstar private/public ratings on the account banks, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in each transaction’s structure, DBRS Morningstar considers the risk arising from the exposure to the account banks to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology.

The swap counterparty role is covered by the following entities:
-- For Fucino, 2017 PB and 2018 PB: JP Morgan AG
-- For 2019 PB: NatWest Markets Plc

DBRS Morningstar has not given full credit to the swap agreements of Fucino, 2017 PB, and 2018 PB as the swap documentations are not consistent with DBRS Morningstar’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the ratings assigned to the notes. As for 2019 PB, DBRS Morningstar considers the risk arising from the swap counterparty to be consistent with the ratings assigned to the notes, in accordance with the “Derivative Criteria for European Structured Finance Transactions” methodology.

Volterra, Valconca, and Lanterna do not benefit from hedging agreement and are therefore exposed to basis risk and interest rate risk.

DBRS Morningstar analysed the transactions’ structures in Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to 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 structured finance transactions.

The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus. For these transactions, DBRS Morningstar increased the expected default rate for self-employed borrowers and assumed a moderate decline in residential property prices. In addition, DBRS Morningstar conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand potential high levels of payment holidays in the portfolio.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 9 December 2021. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/389454/baseline-macroeconomic-scenarios-for-rated-sovereigns-december-2021-update and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

On 14 June 2021, DBRS Morningstar updated its 5 May 2020 commentary outlining the impact of the coronavirus crisis on performance of DBRS Morningstar-rated RMBS transactions in Europe one year on. For more details, please see: https://www.dbrsmorningstar.com/research/380094/the-impact-of-covid-19-on-european-mortgage-performance-one-year-on and https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

The ratings on the Class B Notes of 2017 PB, 2018 PB, and 2019 PB materially deviate from the higher rating implied by the quantitative model. DBRS Morningstar considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by a quantitative model that is a substantial component of a rating methodology. In this case, the ratings address the ultimate payment of interest and principal on or before the final maturity date as defined in the transaction legal documents. DBRS Morningstar typically expects bonds rated in the AA (sf) category to be able to pay interest on a timely basis at the time they are the most senior bond outstanding.

ESG CONSIDERATIONS

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: https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to these ratings is the “Master European Structured Finance Surveillance Methodology” (8 February 2022).

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.

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.

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/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include:
-- For Fucino, investor reports provided by Centotrenta Servicing S.p.A., servicer reports, and additional information provided by Banca del Fucino S.p.A.
-- For 2017 PB, 2018 PB, and 2019 PB, investor reports provided by Banca Finanziaria Internazionale S.p.A., servicer reports, and additional information provided by Banca Popolare di Bari S.p.A.
-- For Volterra, investor reports provided by Banca Finanziaria Internazionale S.p.A. and servicer reports provided by Cassa di Risparmio di Volterra S.p.A.
-- For Valconca, investor reports provided by Banca Finanziaria Internazionale S.p.A. and servicer reports provided by Banca Popolare Valconca S.p.A..
-- For Lanterna, investor reports provided by The Bank of New York Mellon SA/NV, Milan Branch and servicer reports provided by Banca Carige S.p.A.
-- For all transactions, 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 for all transactions except for Valconca. 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:
-- For Fucino, 18 Februray 2021, when DBRS Morningstar confirmed its ratings on the Class A and Class B Notes at AA (low) (sf) and A (low) (sf), respectively. At the same time, the Under Review with Negative Implications (UR-Neg.) status on which the notes were placed on 21 December 2020 was removed.
-- For 2017 PB and 2018 PB, 19 March 2021, when DBRS Morningstar confirmed its ratings on all classes of rated notes.
-- For 2019 PB, 15 September 2021, when DBRS Morningstar upgraded its ratings on the Class A1, Class A2, and Class B Notes to AAA (sf), AA (sf), and A (high) (sf) from AA (high) (sf), A (high) (sf), and A (low) (sf), respectively.
-- For Volterra, 29 March 2021, when DBRS Morningstar upgraded its ratings on the Class A (2013) and Class A (2016) Notes to AA (high) (sf) from AA (low) (sf) and on Class M (2016) Notes to A (high) (sf) from A (sf).
-- For Valconca, 12 May 2021, when DBRS Morningstar upgraded its rating on the Class A Notes to A (high) (sf) from A (sf).
-- For Lanterna, 20 July 2021, when DBRS Morningstar upgraded its ratings on the Class A1 and Class A2 Notes to AAA (sf) from AA (sf) and AA (low) (sf), respectively.

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.

-- Fucino: 9.4% and 10.9%, respectively
-- 2017 PB: 10.6% and 10.9%, respectively
-- 2018 PB: 10.5% and 11.0%, respectively
-- 2019 PB: 12.4% and 12.7%, respectively
-- Volterra: 10.3% and 16.0%, respectively
-- Valconca: 12.2% and 12.3%, respectively
-- Lanterna: 17.4% and 14.8%, 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 Fucino as an example, if the PD increases by 50%, the rating of the Class A Notes would be expected to fall to AA (sf), assuming no change in the LGD. If the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to AA (sf).

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

Fucino – Class B 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 (low) (sf)
-- 50% increase in PD, expected rating of BBB (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 BBB (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 BBB (high) (sf)

2017 PB – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

2017 PB – 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 BBB (high) (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

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

2018 PB – 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 BBB (high) (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

2019 PB – Class A1 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (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)

2019 PB – Class A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (low) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

2019 PB – 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)

Volterra – Class A (2013) Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Volterra – Class A (2016) Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Volterra – Class M (2016) 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 A (high) (sf)
-- 50% increase in PD, expected rating of A (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 (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Valconca – 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 A (low) (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 A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Lanterna – Class A1 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (low) (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 A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Lanterna – Class A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (low) (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 A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (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, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates:
-- Fucino: 15 April 2019
-- 2017 PB: 31 July 2017
-- 2018 PB: 14 June 2018
-- 2019 PB: 15 October 2019
-- Volterra: Class A (2013) Notes: 31 July 2013; Class A (2016) and Class M (2016) Notes: 8 August 2016
-- Valconca: 28 June 2018
-- Lanterna: 31 July 2020

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Geschäftsführer: Detlef Scholz
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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 (8 February 2022), https://www.dbrsmorningstar.com/research/392000/master-european-structured-finance-surveillance-methodology.
-- Legal Criteria for European Structured Finance Transactions (29 July 2021), https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-for-european-structured-finance-transactions.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021), https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- European RMBS Insight Methodology (3 June 2021) and European RMBS Insight Model v.5.4.1.0, https://www.dbrsmorningstar.com/research/379557/european-rmbs-insight-methodology.
-- European RMBS Insight: Italian Addendum (10 December 2021), https://www.dbrsmorningstar.com/research/389473/european-rmbs-insight-italian-addendum.

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].