Press Release

DBRS Morningstar Assigns Rating to BPL Mortgages S.r.l. (BPL8)

Structured Credit
April 27, 2022

DBRS Ratings GmbH (DBRS Morningstar) assigned an A (sf) rating to the EUR 1,800,000,000 Class A Asset Backed Floating Rate Notes due 25 October 2064 (the Class A Notes) issued by BPL Mortgages S.r.l. (BPL8) (the Issuer or BPL8).

The rating addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in October 2064. The Issuer also issued EUR 656,397,000 Class J Asset Backed Notes due 25 October 2064 (together with the Class A Notes, the Notes), which DBRS Morningstar did not rate.

BPL8 is a static cash flow securitisation collateralised by a portfolio of performing mortgage and nonmortgage loans to Italian micro companies and small and medium-size enterprises (SMEs). Banco BPM S.p.A. (Banco BPM), Banca Popolare di Milano S.c.a.r.l. (BPM) and Banco Popolare Società Cooperativa (BP) granted the loans. BPM and BP merged into Banco BPM on 1 January 2017.

As of the initial valuation date of 14 March 2022, the portfolio consisted of 28,411 loans extended to 25,315 borrowers, with an aggregate par balance equal to EUR 2.43 billion, EUR 13.07 million of which was in arrears for less than 32 days. The initial portfolio consisted of senior unsecured and mortgage-backed loans, representing 40.8% and 59.2% of the outstanding pool balance, respectively.

The transaction is structured with a cash reserve, which will be available to cover expenses, senior fees, and interest payments on the Class A Notes. The target cash reserve is equal to 4.0% of the principal outstanding of the Class A Notes (floored at EUR 7.20 million). The Class A Notes benefit from a total credit enhancement of 29.0%, provided by the overcollateralisation of the portfolio and the cash reserve.

The initial portfolio is concentrated in northern Italy (82.4%), with the largest exposures to Lombardy, Veneto, and Emilia Romagna representing 44.6%, 13.7%, and 10.4% of the pool, respectively. The initial portfolio also shows a moderate industry concentration, with the top three sector exposures (as per DBRS Morningstar’s industry classifications) of building & development, farming & agriculture, and business equipment & services representing 31.6%, 23.0%, and 6.5% of the initial pool balance, respectively. The initial portfolio is granular with a low borrower concentration. The top one, five, and 10 borrowers account for 0.4%, 1.9%, and 3.4% of the outstanding portfolio balance, respectively.

The transaction is exposed to set-off risk which, according to DBRS Morningstar calculations, represented 25.5% of the initial portfolio balance. The set-off exposure would decrease to 13.3% if all borrowers opted to claim the first EUR 100,000 covered by the Italian deposit guarantee scheme. DBRS Morningstar assumed a set-off risk of EUR 162.0 million in its analysis, considered as net loss and deducted from the portfolio balance.

Banco BPM covers several roles in the transaction such as the roles of servicer, collection account bank, and account bank. Banco BPM holds the servicer collection account, the collection account, and the cash reserve account. No backup servicer is appointed at transaction closing; however, Banca Finanziaria Internazionale S.p.A. acts as backup servicer facilitator. DBRS Morningstar deems Banco BPM to be a dominant counterparty in this transaction. Based on the account bank’s rating and the replacement provisions included in the transaction documents, DBRS Morningstar considers the counterparty risk to be consistent with the rating assigned to the Class A Notes, in accordance with its “Legal Criteria for European Structured Finance Transactions” methodology.

DBRS Morningstar determined its ratings based on the principal methodology and the following analytical considerations:
-- DBRS Morningstar determined the probability of default (PD) for the portfolio using the historical performance information supplied. DBRS Morningstar assumed an annualised PD of 5.6% and 3.3% for mortgage and nonmortgage loans, respectively. DBRS Morningstar applied additional adjustments in the context of the current Coronavirus Disease (COVID-19) pandemic, as per the below commentary.
-- The assumed weighted-average life (WAL) of the portfolio was 3.9 years.
-- DBRS Morningstar used the PDs and WAL as inputs for its SME Diversity Model to generate the hurdle rate for the assigned rating.
-- DBRS Morningstar determined the recovery rate by considering the market value declines for Europe, the security level, and collateral type. DBRS Morningstar used recovery rates of 69.9% and 16.2% for the secured and unsecured loans, respectively, at the A (sf) rating level. The assumed portfolio WA recovery rate was 48.0% at the A (sf) rating level.
-- DBRS Morningstar determined the breakeven rates for the interest rate stresses and default timings using its cash flow tool.

DBRS Morningstar analysed the transaction structure in its proprietary Excel-based cash flow engine.

The Coronavirus Disease (COVID-19) and the resulting isolation measures had caused an immediate economic contraction. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many SME transactions.

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 increased the expected default rate for obligors in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus. As per DBRS Morningstar’s assessment, 8.6% of the initial portfolio balance belonged to economic sectors we consider to remain sensitive to the ongoing pandemic. As per the commentary mentioned below, we considered additional adjustments corresponding to a 50% increase in the probability of default (PD) for those borrowers.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 24 March 2022. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries:, and

On 10 February 2022, DBRS Morningstar updated its 18 May 2020 commentary outlining the impact of the Coronavirus Disease (COVID-19) crisis on the performance of DBRS Morningstar-rated structured credit transactions in Europe almost two years on. For more details, please see: and

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: “Rating CLOs Backed by Loans to European SMEs” (28 June 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.

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 this rating include historical performance data provided by the originator and arranger Banco BPM.

DBRS Morningstar received the following data information, split by mortgage and unsecured loans:
-- Static annual default data from 2012 to 2021;
-- Dynamic quarterly delinquency data from Q4 2017 to Q4 2021;
-- Dynamic quarterly prepayment data from Q1 2012 to Q4 2021.

In addition, DBRS Morningstar received loan-level information, contractual amortisation profile and data on set-off exposure as at 14 March 2022.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

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.

This rating concerns a newly issued financial instrument. This is the first DBRS Morningstar rating on this financial instrument.

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

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

-- PD Rates Used: Base case PD of 5.6% for mortgage loans and 3.3% for non-mortgage loans, a 10% and 20% increase on the base case PD.
-- Recovery Rates Used: Base case recovery rate of 69.9% and 16.2% at the A (sf) stress level, a 10% and 20% decrease in the base case recovery rate. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.

DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Class A Notes at A (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would also lead to a confirmation of the Class A Notes at 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: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

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

Lead Analyst: Ilaria Maschietto, Vice President
Rating Committee Chair: Carlos Silva, Senior Vice President
Initial Rating Date: 27 April 2022

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

-- Rating CLOs Backed by Loans to European SMEs (28 June 2021) and DBRS Morningstar SME Diversity Model v2.6.0.0,
-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
-- Cash Flow Assumptions for Corporate Credit Securitizations (26 January 2022),
-- Rating CLOs and CDOs of Large Corporate Credit (26 January 2022),
-- European RMBS Insight Methodology (28 March 2022),
-- European RMBS Insight: Italian Addendum (10 December 2021),
-- Operational Risk Assessment for European Structured Finance Originators (16 September 2021),
-- Operational Risk Assessment for European Structured Finance Servicers (16 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