Press Release

DBRS Morningstar Maintains Under Review with Positive Implications Status on Fino 1 Securitisation S.r.l.

Nonperforming Loans

June 15, 2022

DBRS Ratings GmbH (DBRS Morningstar) maintained the Under Review with Positive Implications status on the BBB (high) (sf), BB (high) (sf), and BB (sf) ratings on the Class A, Class B, and Class C notes, respectively, issued by Fino 1 Securitisation S.r.l. (the Issuer).

RATING RATIONALE
The maintenance of the Under Review with Positive Implications status is based on the following analytical considerations:

-- Notes amortisation: according to the latest payments report from April 2022, the outstanding principal amounts of the Class A Notes, Class B Notes, Class C Notes, and Class D Notes were equal to EUR 71.8 million, EUR 29.6 million, EUR 40.0 million, and EUR 50.3 million, respectively. The balance of the Class A Notes has amortised by 89.0% since issuance. The current aggregated transaction balance is EUR 191.7 million.

-- Transaction performance: as reported in the most recent quarterly servicer report, the actual cumulative gross collections as of 31 March 2022 were EUR 914.9 million whereas the special servicer’s initial business plan assumed cumulative gross collections of EUR 995.8 million for the same period. Therefore, the transaction is underperforming by 8.1% compared with the servicer’s initial expectations.

-- Notes performance events: as per the most recent October 2021 payment report, the Class B and Class C performance events have not occurred. A performance event occurs if the cumulative net collections (as a percentage of the gross book value of the portfolio at issuance) are lower than the product of (1) the amount included in the business plan for notes performance events and (2) 70% for the Class B Notes and 75% for the Class C Notes.

-- The special servicer’s updated business plan: in August 2021, DBRS Morningstar received the special servicer’s third revised business plan as of December 2020. The third updated business plan displays a EUR 0.73 million decrease (-0.05%) in gross collections compared with the servicer’s initial expectations. The monitoring agent has not yet released a fourth updated business plan as it does not have the required approvals.

Following the receipt of the fourth updated business plan, DBRS Morningstar will assess the changes from previous expectations in detail, which may result in adjustments to its stressed assumptions.

The final maturity date of the transaction is in October 2045.

DBRS Morningstar analysed the transaction structure using Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. For this transaction, DBRS Morningstar incorporated its expectation of a moderate medium-term decline in commercial real estate prices for certain property types.

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: https://www.dbrsmorningstar.com/research/394150/baseline-macroeconomic-scenarios-for-rated-sovereigns-march-2022-update and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

For more information on DBRS Morningstar’s considerations for European nonperforming loans (NPL) transactions and Coronavirus Disease (COVID-19), please see the following commentaries:
https://www.dbrsmorningstar.com/research/384146 and https://www.dbrsmorningstar.com/research/360393.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction 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 transaction in accordance with the principal methodology.

DBRS Morningstar is undertaking a review and will remove the rating from this status as soon as it is appropriate.

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: 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 the Issuer, doValue S.p.A., and BNP Paribas Securities Services, Milan Branch, which comprise, in addition to the information received at issuance, the investor report as of April 2022; the quarterly servicer report as of March 2022; and the third updated business plan received in August 2021.

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 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 action on this transaction took place on 15 March 2022, when DBRS Morningstar placed its rating on the Class A, Class B, and Class C Notes Under Review with Positive Implications following coronavirus adjustment updates.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

These ratings are Under Review with Positive Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. 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: 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: Clarice Baiocchi, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 23 November 2017

DBRS Ratings GmbH
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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

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].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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