Press Release

DBRS Morningstar Discontinues Ratings on Grand Canal Securities 2 DAC

Nonperforming Loans
March 04, 2022

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on the Class A, Class B, Class C, and Class D notes (together, the Rated Notes) issued by Grand Canal Securities 2 DAC.

The discontinuations follow the exercise of the mortgage portfolio option, which resulted in the transfer of the beneficial title in the mortgage portfolio to the portfolio option holder on 22 February 2022 with the purchase price used to redeem the Rated Notes on the interest payment date on 24 February 2022.

Prior to their full redemption, the ratings on and outstanding balance of the Rated Notes were as follows:
-- Class A rated A (sf) with an outstanding balance of EUR 115,180,890.68
-- Class B rated BBB (low) (sf) with an outstanding balance of EUR 9,317,000.00
-- Class C rated BB (sf) with an outstanding balance of EUR 10,094,000.00
-- Class D rated B (sf) with an outstanding balance of EUR 11,906,000.00

Please refer to for more information.

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 2022).

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

In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.

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 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:

The sources of data and information used for these ratings include the most recent investor report provided by The Bank of New York Mellon Corporation and the notice to rating agencies regarding portfolio option provided by Clifford Chance LLP.

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 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 March 25, 2021, when DBRS Morningstar upgraded its ratings on the Class C and Class D Notes to BB (sf) and B (sf) from BB (low) and B (low) (sf), respectively, and confirmed its ratings on the Class A and Class B Notes at A (sf) and BBB (low) (sf), respectively. DBRS Morningstar also changed the trends on all classes of Rated Notes to Stable from Negative.

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

As this is a discontinued-repaid rating action, a 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: 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: Sebastiano Romano, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 6 November 2017

DBRS Ratings GmbH
Neue Mainzer Straße 75
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:

-- Rating European Nonperforming Loans Securitisations (19 May 2021),
-- Master European Structured Finance Surveillance Methodology (8 February 2022),
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (29 November 2021),
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021),
-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021),
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
-- 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 [email protected].