Press Release

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

Nonperforming Loans
September 10, 2023

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

The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the Notes). The rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in December 2038. DBRS Morningstar does not rate the Class B and Class J notes.

At issuance, the Notes were backed by a EUR 2.5 billion by gross book value (GBV) portfolio consisting of a mixed pool of Italian 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. to the Issuer. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF operates as sponsor and indemnity provider in the transaction. As of May 2023, the portfolio’s GBV totalled EUR 2.2 billion.

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 while Banca Finanziaria Internazionale S.p.A. (formerly Securitisation Services S.p.A.) operates as the backup servicer.

The downgrade follows an annual review of the transaction and is based on the following analytical considerations:
-- Transaction performance: assessment of portfolio recoveries as of 31 May 2023, focusing on: (1) a comparison between actual collections and the special servicer’s initial business plan forecast; (2) the collection performance observed over recent months; and (3) a comparison between the current performance and DBRS Morningstar’s expectations.
-- Portfolio characteristics: loan pool composition as of May 2023 and the evolution of its core features since issuance.
-- Transaction liquidating structure: the payment 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 full repayment of the Class B notes). Additionally, the repayment of interest on the Class B notes is fully subordinated to the repayment of both interest and principal on the Class A notes.
-- Performance ratios and underperformance events: first-level and second-level underperformance events may occur if the cumulative collection ratio (CCR) and the present value cumulative profitability ratio (PVCPR) are both lower than 90% and 75%, respectively. If the SPV, after 24 months from the execution date, has received from the Monitoring Agent two consecutive first-level or second-level underperformance event notices, each special servicer may be terminated by the Issuer. These events had not occurred on the June 2023 interest payment date, and the actual figures were a CCR of 26.8% and a PVCPR of 117.5% for Prelios and a CCR of 60.5% and a PVPCR of 91.4% 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 toward the junior notes.
-- Interest rate risk: The transaction is exposed to interest rate risk in a rising interest rate environment due to the under-hedging of the Class A notes, which is a result of the underperformance in terms of collections.

According to the latest investor report from June 2023, the outstanding principal amounts of the Class A, Class B, and Class J notes were EUR 220.6 million, EUR 70.0 million, and EUR 95.0 million, respectively. The balance of the Class A notes has amortised by approximately 31.1% since issuance. The current aggregated transaction balance is EUR 385.6 million.

As of May 2023, the transaction was performing significantly below the special servicers’ initial business plan expectations. The actual cumulative gross collections equalled EUR 183.8 million whereas the special servicers’ initial business plan estimated cumulative gross collections of EUR 379.1 million for the same period. Therefore, as of May 2023, the transaction was underperforming by EUR 195.3 million (-51.5%) compared with the initial business plan. By special servicer, the performance split would be as follows: Prelios is underperforming by EUR 119.7 million (-71.5%) compared with its initial expectations and Bayview is underperforming by EUR 75.6 million (-35.7%) compared with its initial expectations.

At issuance, DBRS Morningstar estimated cumulative gross collections for the same period of EUR 234.9 million at the BBB (low) (sf) stressed scenario. Therefore, as of May 2023, the transaction was performing below DBRS Morningstar’s stressed expectations at issuance.

In November 2022, Bayview provided DBRS Morningstar with a revised business plan as of December 2021. 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 242.0 million, which is 20.7% lower than the EUR 305.1 million expected in the initial business plan. DBRS Morningstar notes that also based on the updated business plan, the portfolio has underperformed during 2022 and the first semester of 2023. Prelios provided the required updated business plan to the monitoring agent, but it has not been released yet as the monitoring agent’s approval and the authorisation for release have not been received so far.

The special servicers’ total expected collections, considering the latest officially approved business plans (the executed business plan and 2022 updated business with regards to the pool managed by Prelios and Bayview, respectively), are now EUR 470.5 million. Excluding actual collections, the special servicers’ expected future collections from June 2023 account for EUR 131.1 million, which is less than the current aggregated outstanding balance of the Class A notes. In DBRS Morningstar’s CCC (sf) scenario, the special servicers’ updated forecast was only adjusted in terms of the actual collections to date and the timing of future expected collections. Considering senior costs and interest due on the notes, DBRS Morningstar believes the full repayment of the Class A principal is increasingly unlikely, but considering the transaction structure, a payment default on the bonds would likely only occur in a few years from now.

The final maturity of the transaction is in December 2038.

DBRS Morningstar’s credit rating on the Class A notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balance.

DBRS Morningstar’s credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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

DBRS Morningstar analysed the transaction structure in Intex Dealmaker.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: “Master European Structured Finance Surveillance Methodology” (7 February 2023),

Other methodologies referenced in this transaction are listed at the end of this press release.

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 credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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 credit rating include the Issuer, Bayview, Prelios, and Banca Finanziaria Internazionale S.p.A., which comprise, in addition to the information received at issuance, the investor report as of June 2023; the semiannual special servicers report as of May 2023; the loan-by-loan reports as of May 2023; Bayview updated business plan delivered in November 2022 as of December 2021; and the draft Prelios updated business plans uploaded in the virtual data room in March 2021 and March 2022 as of December 2020 and December 2021.

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

At the time of the initial credit rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the credit rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 8 September 2022, when DBRS Morningstar downgraded its rating on the Class A notes to CCC (high) (sf) from BB (low) (sf) and maintained its Negative trend on the rating.

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

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

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 credit 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: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

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

Lead Analyst: Clarice Baiocchi, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 21 December 2018

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

-- Rating European Nonperforming Loans Securitisations (5 June 2023),
-- Master European Structured Finance Surveillance Methodology (7 February 2023),
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
-- European RMBS Insight Methodology (27 March 2023),
-- European RMBS Insight: Italian Addendum (29 September 2022),
-- European CMBS Rating and Surveillance Methodology (14 December 2022),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022),
-- Derivative Criteria for European Structured Finance Transactions (16 June 2023),
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (4 July 2023),

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