DBRS Morningstar Takes Rating Actions Across 10 Italian Salary Assignment Transactions

DBRS Ratings GmbH (DBRS Morningstar) took the following rating actions on several classes of notes issued in the context of 10 Italian salary assignment transactions:

Marzio Finance S.r.l. - Series 3-2018 (M3):
-- Class A Notes upgraded to AA (sf) from AA (low) (sf)

Marzio Finance S.r.l. - Series 4-2018 (M4):
-- Class A Notes confirmed at AA (sf)
-- Class B Notes upgraded to AA (low) (sf) from A (high) (sf)

Marzio Finance S.r.l. - Series 5-2019 (M5):
-- Class A Notes upgraded to AA (sf) from AA (low) (sf)

Marzio Finance S.r.l. - Series 6-2019 (M6):
-- Class A Notes upgraded to AA (sf) from AA (low) (sf)

Marzio Finance S.r.l. - Series 7-2019 (M7):
-- Class A Notes confirmed at AA (low) (sf)

Marzio Finance S.r.l. - Series 8-2020 (M8 and, together with M3, M4, M5, M6, and M7 transactions, the Marzio Programme):
-- Class A Notes confirmed at AA (low) (sf)

Quinto Sistema Sec. 2017 S.r.l. (QS):
-- Class A Notes upgraded to AA (sf) from AA (low) (sf)
-- Class B1 Notes upgraded to AA (low) (sf) from A (sf)

Eridano II SPV S.r.l. (E2):
-- Class A Asset-Backed Floating-Rate Notes confirmed at AA (low) (sf)
-- Class B Asset-Backed Floating-Rate Notes confirmed at A (high) (sf)

Progetto Quinto S.r.l. (PQ):
-- Class A Notes confirmed at AA (low) (sf)

Pelmo S.r.l. (Pelmo):
-- Class A Notes confirmed at AA (low) (sf)
-- Class B Notes confirmed at A (sf)
-- Class C Notes confirmed at A (low) (sf)

The ratings on all Class A Notes address the timely payment of interest and the ultimate payment of principal by the respective final maturity dates.

The rating on the QS Class B1 Notes addresses the timely payment of interest and the ultimate payment of principal by the final maturity date.

All other ratings address the ultimate payment of interest and the ultimate payment of principal by the respective final maturity dates while the relevant bond is subordinated, but the timely payment of interest when the bond becomes the most-senior tranche, in accordance with the Issuer’s default definition in the transaction documents.

The rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performances, in terms of delinquencies, defaults, and losses, as of the respective latest payment dates;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels; and
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

PORTFOLIO PERFORMANCE
The 10 portfolios are currently performing within DBRS Morningstar’s initial expectations.

As of the latest cut-off dates, the 90+-day arrears and gross cumulative default ratios were as follows:

-- M3: 3.7% and 4.1%, respectively
-- M4: 2.3% and 3.8%, respectively
-- M5: 2.1% and 3.3%, respectively
-- M6: 3.6% and 2.8%, respectively
-- M7: 2.1% and 2.9%, respectively
-- M8: 1.6% and 2.2%, respectively
-- QS: 3.6% and 8.7%, respectively
-- E2: 0.7% and 0.3%, respectively
-- PQ: 0.5% and 1.3%, respectively
-- Pelmo: 1.0% and 0.8%, respectively

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pools of receivables and updated its base case PD and LGD assumptions as follows:

-- M3: 7.2% and 5.3%, respectively
-- M4: 7.3% and 8.0%, respectively
-- M5: 7.3% and 7.5%, respectively
-- M6: 7.3% and 7.3%, respectively
-- M7: 7.4% and 4.6%, respectively
-- M8: 7.4% and 6.4%, respectively
-- QS: 8.9% and 14.9%, respectively
-- E2: 8.7% and 5.9%, respectively
-- PQ: 8.1% and 11.7%, respectively
-- Pelmo: 8.7% and 8.8%, respectively

Changes in PD and LGD assumptions compared with the previous annual review (or the closing date, as the case may be) are driven by portfolio deleveraging and/or changes in the pool compositions.

CREDIT ENHANCEMENT
Credit enhancement to the rated notes is provided by overcollateralisation of the outstanding portfolio balance and by the additional reserve for M4 (only the Class A Notes), M5, M6, M7, and M8.

As of the latest payment dates, credit enhancement levels were as follows:
-- M3 – Class A Notes: 35.8%%, up from 17.9% as of the latest annual review in January 2021
-- M4 – Class A Notes: 35.7%%, up from 28.8% as of the latest annual review in January 2021
-- M4 – Class B Notes: 9.3%, up from 7.2% as of the latest annual review in January 2021
-- M5 – Class A Notes: 17.3%, up from 14.2% as of the latest annual review in January 2021
-- M6 – Class A Notes: 37.5%, up from 20.8% as of the latest annual review in January 2021
-- M7 – Class A Notes: 14.7%, up from 12.1% as of the latest annual review in January 2021
-- M8 – Class A Notes: 13.4%, up from 11.2% as of the latest annual review in January 2021
-- QS – Class A Notes: 43.2%, up from 29.1% as of the latest annual review in June 2021
-- QS – Class B1 Notes: 13.5%, up from 8.1% as of the latest annual review in June 2021
-- E2 – Class A Asset-Backed Floating-Rate Notes: 14.4%, up from 13.0% as of the latest annual review in September 2021
-- E2 – Class B Asset-Backed Floating-Rate Notes: 5.2%, up from 4.7% as of the latest annual review in September 2021
-- PQ – Class A Notes: 14.5%, up from 12.8% as of the closing date in May 2021
-- Pelmo – Class A Notes: 15.4%, slightly up from 15.0% as of the closing date in June 2021
-- Pelmo – Class B Notes: 7.4%, slightly up from 7.0% as of the closing date in June 2021
-- Pelmo – Class C Notes: 4.4%%, slightly up from 4.0% as of the closing date in June 2021

The increase in credit enhancement, where present, was the main driver behind the rating upgrades (if any).

All transactions benefit from cash reserves, available to cover senior fees and expenses, swap payments (if any), and interest payments on the Class A, Class B (if any), and Class C Notes (if any). Various performance-related triggers are in place to defer the interest on subordinated notes upon portfolio deterioration. Cash trapping conditions are also in place to trap the excess spread upon the breach of certain triggers.

With respect to Pelmo, performance thresholds are established to trigger the irreversible sequential amortisation of the rated notes (currently repaying on a pro rata basis), with the Class A Notes paid in priority to the Class B Notes and the Class B Notes paid in priority to the Class C Notes.

M4, M5, M6, M7, and M8 also benefit from additional reserves that provide actual credit enhancement to the rated notes on top of liquidity support.

M3, M4, M5, M6, M7, M8, QS, and E2 benefit from a prepayment reserve, available to cover losses arising from the set-off of capitalised fees.

All reserves were at their target levels as of the latest payment dates.

The account bank role is covered by the following counterparties:
-- For the Marzio Programme: Citibank NA, Milan Branch
-- For QS, E2, and PQ: BNP Paribas Securities Services, Milan Branch
-- For Pelmo: BNY Mellon SA/NV, Milan Branch

Based on the DBRS Morningstar private/public ratings on the various account banks, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in each transaction’s structure, DBRS Morningstar considers the risk arising from the exposure to the account banks to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

The swap counterparty role (cap counterparty for Pelmo) is covered by the following entities:
-- For M3 and M4: Crédit Agricole CIB, Milan Branch
-- For E2: Société Générale, S.A.
-- For PQ and Pemo: BNP Paribas, S.A.

The DBRS Morningstar private/public ratings on the various swap/cap counterparties are consistent with the first and second rating thresholds, as defined in DBRS Morningstar’s “Derivative Criteria for European Structured Finance Transactions” methodology. The swap documents are compliant with the same methodology.

M5, M6, M7, M8, and QS are not structured with swap/cap agreements as the transactions are naturally hedged.

DBRS Morningstar analysed the transactions’ structures in Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many asset-backed securities (ABS) transactions. The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus. For these transactions, DBRS Morningstar conducted additional sensitivity analysis to determine that the transaction benefit from sufficient liquidity support to withstand potential payment holidays in the portfolio.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 9 December 2021. 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/389454/baseline-macroeconomic-scenarios-for-rated-sovereigns-december-2021-update and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

ESG CONSIDERATIONS
The high exposure to public-sector employees, pensioners, and civil servants makes the transactions dependent on the creditworthiness of the Italian sovereign. DBRS Morningstar considers some of the key drivers behind the latest rating action on Italy—namely Institutional Strength, Governance & Transparency, and Human Capital and Human Rights—to be significant rating factors. According to the latest World Bank governance indicators, Italy ranks in the 60.6 and 67.3 percentile for Rule of Law and Government effectiveness, respectively, in 2020. According to the International Monetary Fund, Italy’s GDP per capita of USD 31,604 in 2020 was low compared with its euro area peers. DBRS Morningstar takes these factors into account in the Economic Structure and Performance and Political Environment building block of its “Global Methodology for Rating Sovereign Governments”.

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/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to these ratings is the “Master European Structured Finance Surveillance Methodology” (8 February 2021).

Other methodologies referenced in these transactions 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 transactions in accordance with the principal methodology.

A review of the transactions’ legal documents was not conducted as the legal documents have remained unchanged since the most recent rating actions.

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:
-- For the Marzio Programme, servicer and investor reports provided by IBL – Istituto Bancario del Lavoro S.p.A.
-- For QS, servicer reports provided by Banca Sistema S.p.A. and investor reports provided by Banca Finanziaria Internazionale S.p.A.
-- For E2, servicer reports provided by ViViBanca S.p.A. and investor reports provided by Banca Finanziaria Internazionale S.p.A.
-- For PQ, servicer reports provided by Banca Progetto S.p.A. and investor reports provided by Banca Finanziaria Internazionale S.p.A.
-- For Pelmo, servicer reports provided by Sigla S.r.l. and investor reports provided by Banca Finanziaria Internazionale S.p.A.
-- For all 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 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 actions on these transactions were as follows:
-- For the Marzio Programme, 28 January 2021, when DBRS Morningstar confirmed its ratings on all rated notes.
-- For QS, 4 June 2021, when DBRS Morningstar confirmed its ratings on the Class A and Class B1 Notes at AA (low) (sf) and A (sf), respectively.
-- For E2, 22 September 2021, when DBRS Morningstar confirmed its AA (low) (sf) rating on the Class A Asset-Backed Floating-Rate Notes and upgraded the rating on the Class B Asset-Backed Floating-Rate Notes to A (high) (sf) from A (sf).
-- For PQ and Pelmo, 6 May 2021, when DBRS Morningstar finalised its provisional rating of AA (low) (sf) on the Class A Notes and 29 June 2021, when DBRS Morningstar finalised its provisional ratings of AA (low) (sf), A (sf), and A (low) (sf) on the Class A, Class B, and Class C Notes, respectively.

The lead analyst responsibilities for PQ and Pelmo have been transferred to Daniele Canestrari.

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

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

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pools based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.

-- M3: 7.2% and 5.3%, respectively
-- M4: 7.3% and 8.0%, respectively
-- M5: 7.3% and 7.5%, respectively
-- M6: 7.3% and 7.3%, respectively
-- M7: 7.4% and 4.6%, respectively
-- M8: 7.4% and 6.4%, respectively
-- QS: 8.9% and 14.9%, respectively
-- E2: 8.7% and 5.9%, respectively
-- PQ: 8.1% and 11.7%, respectively
-- Pelmo: 8.7% and 8.8%, respectively

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. Taking the Class A Notes of M3 as an example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf).

M3 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

M4:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high( (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

M5 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

M6 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

M7 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (low)(sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

M8 – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (low)(sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

QS:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class B1 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low)(sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

E2:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

PQ – Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Pelmo:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of A (low) (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

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: Daniele Canestrari, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates:
-- M3: 24 May 2018
-- M4: 21 November 2018
-- M5: 5 April 2019
-- M6: 31 July 2019
-- M7: 9 October 2019
-- M8: 16 March 2020
-- QS: 14 June 2018
-- E2: 5 October 2020
-- PQ: 16 April 2021
-- Pelmo: 15 June 2021

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

-- Legal Criteria for European Structured Finance Transactions (29 July 2021), https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (8 February 2021), https://www.dbrsmorningstar.com/research/373435/master-european-structured-finance-surveillance-methodology.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (29 October 2021), https://www.dbrsmorningstar.com/research/387042/rating-european-consumer-and-commercial-asset-backed-securitisations.
-- Rating European Structured Finance Transactions Methodology (30 July 2021), https://www.dbrsmorningstar.com/research/382486/rating-european-structured-finance-transactions-methodology.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-for-european-structured-finance-transactions.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021), https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/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 info@dbrsmorningstar.com.