DBRS Morningstar Maintains Under Review with Positive Implications Status on the Notes Issued by Deco 2019 - Vivaldi S.r.l. and Pietra Nera Uno S.R.L.

DBRS Ratings GmbH (DBRS Morningstar) maintained the Under Review with Positive Implications (UR-Pos.) status on the following classes of notes (the notes) issued by Deco 2019 - Vivaldi S.r.l. and Pietra Nera Uno S.R.L.:

Deco 2019 - Vivaldi S.r.l.

-- Class A rated A (high) (sf)
-- Class B rated BBB (sf)
-- Class C rated BB (high) (sf)
-- Class D rated B (high) (sf)

Pietra Nera Uno S.R.L.

-- Class A rated A (sf)
-- Class B rated BBB (sf)
-- Class C rated BB (high) (sf)
-- Class D rated BB (sf)
-- Class E rated B (high) (sf)

CREDIT RATING RATIONALE
DBRS Morningstar initially assigned the UR-Pos. status on the notes on 13 October 2023, as a result of the removal of a stress scenario regime for sovereigns rated in the “A” category or below. In particular, 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 credit rating analysis. For further information, please refer to the following press release: https://www.dbrsmorningstar.com/research/421863/dbrs-morningstar-places-credit-ratings-on-14-european-structured-finance-transactions-under-review-with-positive-implications-following-release-of-updated-sovereign-methodology.

While the credit rating impact of the changes is positive and an upgrade would be also supported by the overall good performances of the commercial real estate loans underlying the affected transactions as at the November 2023 interest payment dates (IPD), DBRS Morningstar decided to maintain the UR-Pos. status on the notes until it has completed a more in-depth review of the transactions.

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. The associated financial obligations for each of the rated notes are the related Interest Payment Amounts and the related Class Outstanding Balances.

DBRS Morningstar’s credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the notes do not address Euribor Excess Amounts, Pro Rata Default Interest Amounts, and Note Exit Fees.

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 methodology applicable to the credit ratings is: “European CMBS Rating and Surveillance Methodology” (19 October 2023; https://www.dbrsmorningstar.com/research/422173/european-cmbs-rating-and-surveillance-methodology).

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 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 the investor reports provided by CBRE Loan Servicing Limited, Zenith Service S.p.a. and Securitisation Services S.p.A from issuance to the November 2023 IPD.

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 not 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 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.

The last credit rating actions on these transactions took place on 13 October 2023, when DBRS Morningstar placed its credit ratings on the notes UR-Pos.

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

Deco 2019 - Vivaldi S.r.l.
Lead Analyst: Andrea Selvarolo, Senior Analyst
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 30 April 2019

Pietra Nera Uno S.R.L.
Lead Analyst: Andrea Selvarolo, Senior Analyst
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 2 February 2018

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The credit rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- “European CMBS Rating and Surveillance Methodology” (19 October 2023;
https://www.dbrsmorningstar.com/research/422173/european-cmbs-rating-and-surveillance-methodology)
-- “Legal Criteria for European Structured Finance Transactions” (30 June 2023;
https://www.dbrsmorningstar.com/research/416730/legal-criteria-for-european-structured-finance-transactions)
-- “Interest Rate Stresses for European Structured Finance Transactions” (15 September 2023;
https://www.dbrsmorningstar.com/research/420602/interest-rate-stresses-for-european-structured-finance-transactions)
-- “Derivative Criteria for European Structured Finance Transactions” (18 September 2023;
https://www.dbrsmorningstar.com/research/420754/derivative-criteria-for-european-structured-finance-transactions)
-- “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” (4 July 2023;
https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings)

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].