Press Release

DBRS Morningstar Places Credit Ratings on 14 European Structured Finance Transactions Under Review with Positive Implications Following Release of Updated Sovereign Methodology

Auto, CMBS, Structured Credit

October 13, 2023

DBRS Ratings GmbH (DBRS Morningstar) placed its credit ratings on 45 tranches in 14 European structured finance transactions Under Review with Positive Implications (UR-Pos.). The complete list of credit ratings affected is available at the end of this press release.

KEY RATING DRIVERS AND CONSIDERATIONS
On 6 October 2023, DBRS Morningstar finalised its “Global Methodology for Rating Sovereign Governments”. This methodology presents the criteria for which sovereign government credit ratings are assigned and/or monitored, and it supersedes the prior version published on August 29, 2022.

The updated version of the methodology incorporates some changes to Appendix C, which describes the impact of sovereign credit ratings on other DBRS Morningstar credit ratings, including structured finance.

With respect to structured finance, DBRS Morningstar removed the application of a stress scenario regime for sovereigns rated in the “A” category or below. DBRS Morningstar has determined that macroeconomic risk for securitised assets in lower rated countries is in most cases reflected in historical data that is used in the structured finance rating analysis. For more information, please refer to the following press release: https://www.dbrsmorningstar.com/research/421592/dbrs-morningstar-publishes-final-global-methodology-for-rating-sovereign-governments.

As a result of this change to the “Global Methodology for Rating Sovereign Governments”, DBRS Morningstar finalised several European structured finance methodologies where the change resulted in a change of the methodology text and/or methodology application. For more information, please refer to the following press release: https://www.dbrsmorningstar.com/research/421601/dbrs-morningstar-finalises-several-european-structured-finance-methodologies.

Overall, the impact of the changes is positive. In European structured finance, DBRS Morningstar has identified 45 tranches in 14 transactions that could be upgraded by one or two notches, ceteris paribus, and placed them UR-Pos. The affected transactions are listed at the end of this press release and securitise Spanish and Italian assets, predominantly asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS).

DBRS Morningstar’s credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents.

DBRS Morningstar’s credit ratings do not address nonpayment 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.

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/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the credit ratings are the “Master European Structured Finance Surveillance Methodology” (6 October 2023), https://www.dbrsmorningstar.com/research/421598/master-european-structured-finance-surveillance-methodology for ABS transactions; the “European CMBS Rating and Surveillance Methodology” (14 December 2022), https://www.dbrsmorningstar.com/research/407379/european-cmbs-rating-and-surveillance-methodology for CMBS transactions; and the “Rating CLOs Backed by Loans to European SMEs” (6 October 2023), https://www.dbrsmorningstar.com/research/421602/rating-clos-backed-by-loans-to-european-smes, for small and medium-size enterprise transactions.

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

DBRS Morningstar is undertaking a review and will remove the credit ratings 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 credit rating actions for each transaction.

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: https://www.dbrsmorningstar.com/research/421590/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 credit ratings include investor reports provided by the cash manager, trustee, and/or servicer in each transaction and for certain 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 credit ratings, DBRS Morningstar was supplied with third-party assessments for all non-CMBS transactions. However, this did not impact the credit rating analysis.

DBRS Morningstar considers the data and information available to it for the purpose of providing these credit ratings 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.

ARTS Consumer S.r.l.
The last credit rating action on this transaction took place on 24 November 2022, when DBRS Morningstar assigned credit ratings to the Class A to Class D Notes.

Clara Sec. S.r.l.
The last credit rating action on this transaction took place on 24 January 2023, when DBRS Morningstar upgraded its credit rating on the Class A Notes.

Golden Bar (Securitisation) S.r.l. - Series 2023-2
The last credit rating action on this transaction took place on 26 September 2023, when DBRS Morningstar assigned credit ratings to the Class A-2023-2 to Class F-2023-2 Notes. The credit rating on the Class A-2023-2 Notes is at AAA (sf) and therefore not placed UR-Pos.

Private Driver Espana 2020-1
The last credit rating action on this transaction took place on 30 November 2022, when DBRS Morningstar confirmed its credit rating on the Notes.

Sunrise SPV 20 S.r.l. - Sunrise 2022-2
The last credit rating action on this transaction took place on 8 September 2023, when DBRS Morningstar upgraded its credit ratings on the Class A to Class E Notes. The credit rating on the Class A Notes is at AAA (sf) and therefore not placed UR-Pos.

Sunrise SPV 40 S.r.l. - Sunrise 2023-1
The last credit rating action on this transaction took place on 23 March 2023, when DBRS Morningstar assigned credit ratings to the Class A to Class E Notes.

Sunrise SPV 50 S.r.l. - Sunrise 2023-2
The last credit rating action on this transaction took place on 20 September 2023, when DBRS Morningstar finalised its credit ratings on the Class A1 to Class E Notes.

Giada Sec. S.r.l.
The last credit rating action on this transaction took place on 28 February 2023, when DBRS Morningstar confirmed its credit rating on the Class A Notes.

Giada Sec. S.r.l. (2022)
The last credit rating action on this transaction took place on 6 December 2022, when DBRS Morningstar assigned its credit rating to the Class A Notes.

Cassia 2022-1 S.R.L.
The last credit rating action on this transaction took place on 24 November 2022, when DBRS Morningstar confirmed its credit ratings on the Class A to Class C Notes.

Deco 2019 - Vivaldi S.r.l.
The last credit rating action on this transaction took place on 27 January 2023, when DBRS Morningstar confirmed its credit ratings on the Class A to Class D notes.

ERNA S.r.l.
The last credit rating action on this transaction took place on 30 May 2023, when DBRS Morningstar confirmed its credit ratings on the Class A to Class C notes.

Pietra Nera Uno S.R.L.
The last credit rating action on this transaction took place on 23 January 2023, when DBRS Morningstar confirmed its credit ratings on the Class A to E Notes.

Taurus 2018-1 IT S.R.L.
The last credit rating action on this transaction took place on 24 February 2023, when DBRS Morningstar discontinued the credit rating on the Class D Notes following its payment in full. Prior to that, DBRS Morningstar confirmed the credit ratings on the Class A to D Notes on 9 December 2022, and changed the trends on the Class B to D Notes to Negative from Stable.

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

These credit ratings are UR-Pos. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this methodological change will be available when the UR-Pos. status on the credit ratings is resolved.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analysts:
ARTS Consumer S.r.l.: Kevin Chiang, Senior Vice President
Clara Sec. S.r.l.: Pascale Kallas, Senior Analyst
Golden Bar (Securitisation) S.r.l. - Series 2023-2: Guglielmo Panizza, Vice President
Private Driver Espana 2020-1: Daniel Rakhamimov, Assistant Vice President
Sunrise SPV 20 S.r.l. - Sunrise 2022-2: Preben Cornelius Overas, Assistant Vice President
Sunrise SPV 40 S.r.l. - Sunrise 2023-1: Kevin Chiang, Senior Vice President
Sunrise SPV 50 S.r.l. - Sunrise 2023-2: Kevin Chiang, Senior Vice President
Giada Sec. S.r.l.: Pascale Kallas, Senior Analyst
Giada Sec. S.r.l. (2022): Pascale Kallas, Senior Analyst
Cassia 2022-1 S.R.L.: Patrizia Catanese, Assistant Vice President
Deco 2019 - Vivaldi S.r.l.: Andrea Selvarolo, Senior Analyst
ERNA S.r.l.: Violetta Volovich, Senior Analyst
Pietra Nera Uno S.R.L.: Andrea Selvarolo, Senior Analyst
Taurus 2018-1 IT S.R.L.: Patrizia Catanese, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates:
ARTS Consumer S.r.l.: 24 November 2022
Clara Sec. S.r.l.: 23 June 2020
Golden Bar (Securitisation) S.r.l. - Series 2023-2: 26 September 2023
Private Driver Espana 2020-1: 16 November 2020
Sunrise SPV 20 S.r.l. - Sunrise 2022-2: 13 September 2022
Sunrise SPV 40 S.r.l. - Sunrise 2023-1: 23 March 2023
Sunrise SPV 50 S.r.l. - Sunrise 2023-2: 5 September 2023
Giada Sec. S.r.l.: 21 December 2020
Giada Sec. S.r.l. (2022): 6 December 2022
Cassia 2022-1 S.R.L.: 18 March 2022
Deco 2019 - Vivaldi S.r.l.: 30 April 2019
ERNA S.r.l.: 10 May 2019
Pietra Nera Uno S.R.L.: 2 February 2018
Taurus 2018-1 IT S.R.L.: 24 April 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 these transactions 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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