Press Release

DBRS Morningstar Places Ratings on Two Structured Credit Transactions Under Review with Positive Implications Following COVID-19 Adjustment Updates

Structured Credit

February 11, 2022

DBRS Ratings GmbH and DBRS Rating Limited (together, DBRS Morningstar) placed the following ratings on two structured credit transactions Under Review with Positive Implications:

Colonnade Programme - Series Global 2018-5 (Colonnade 2018-5) (provisional ratings)
-- Tranche B rated AA (high) (sf)
-- Tranche C rated AA (high) (sf)
-- Tranche D rated AA (sf)
-- Tranche E rated A (high) (sf)
-- Tranche F rated A (sf)
-- Tranche G rated A (sf)
-- Tranche H rated BBB (sf)
-- Tranche I rated BBB (sf)
-- Tranche J rated BBB (sf)
-- Tranche K rated BB (high) (sf)

DBRS Morningstar also rates the Tranche A issued by Colonnade 2018-5 at AAA (sf), but did not place this tranche Under Review with Positive Implications.

The transaction is a synthetic balance-sheet collateralised loan obligation (CLO) structured in the form of a guarantee. The tranches are exposed to the credit risk of a portfolio of corporate loans and credit facilities (the guaranteed portfolio) originated by Barclays Bank PLC (Barclays or the beneficiary). The rated tranches are unfunded and the senior guarantee remains unexecuted. The junior guarantee was executed in December 2018 with an initial balance of USD 55 million and has a duration of eight years.

The ratings address the likelihood of a loss under the guarantee on the respective tranche resulting from borrower defaults at the legal final maturity date in December 2026. Borrower default events are limited to failure to pay, bankruptcy, and restructuring. The ratings that DBRS Morningstar assigned to each tranche are expected to remain provisional until the senior guarantee is executed. The ratings do not address counterparty risk or the likelihood of any event of default or termination events under the agreement occurring.

Asti Group PMI S.r.l. (Asti Group PMI)
-- Class A Notes rated A (high) (sf)

Asti Group PMI is a securitisation collateralised by a portfolio of secured and unsecured loans to Italian small and medium-size enterprises (SMEs), entrepreneurs, artisans, and producer families granted by Cassa di Risparmio di Asti S.p.A. (CR Asti; 73.1% of the portfolio as at the October 2021 payment date) and Cassa di Risparmio di Biella e Vercelli S.p.A. (BiverBanca; 26.9% of the portfolio).

CR Asti and BiverBanca (together, the Originators) also act as the Servicers of their respective portfolios. BiverBanca has been part of the CR Asti banking group since 2012 and was merged by CR Asti’s absorption of the entity on 6 November 2021. CR Asti assumed all the rights and obligations held by BiverBanca, including the ownership of the portfolios.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal payable on or before the maturity date in October 2092.

KEY RATING DRIVERS AND CONSIDERATIONS
On 10 February 2022, DBRS Morningstar updated its 18 May 2020 commentary outlining the impact of the Coronavirus Disease (COVID-19) crisis on the performance of DBRS Morningstar-rated structured credit transactions in Europe almost two years on. For more details, please see: https://www.dbrsmorningstar.com/research/392167/two-years-into-covid-19-risks-to-european-structured-credit-transactions and https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect.

The updated commentary presents an update on the economic sectors that DBRS Morningstar considers to remain most sensitive to the ongoing coronavirus pandemic. This is a smaller subsect of sectors compared with those listed in the May 2020 commentary. As a consequence, DBRS Morningstar placed the aforementioned tranches Under Review with Positive Implications as DBRS Morningstar considers these classes to be more affected by the updated coronavirus adjustments.

These ratings are Under Review. Generally, the conditions that lead to the assignment of ratings Under Review are resolved within a 90-day period. Further information on potential rating sensitivity as a result of these updated coronavirus adjustments will be available when DBRS Morningstar resolves the Under Review status on the affected classes.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 9 December 2021. 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
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 U.S. dollars or euros unless otherwise noted.

The principal methodologies applicable to the ratings are “Rating CLOs and CDOs of Large Corporate Credit” (26 January 2022) for Colonnade 2018-5 and “Rating CLOs Backed by Loans to European SMEs ” (28 June 2021) for Asti Group PMI.

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

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

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 investor reports and loan-level data provided by the cash manager, trustee, and/or servicer in each transaction.

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 not supplied with third-party assessments for Colonnade 2018-5 and was supplied with third-party assessments for Asti Group PMI. 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.

Colonnade 2018-5:
The last rating action on this transaction took place on 1 October 2021, when DBRS Morningstar confirmed its provisional ratings on Tranches A, B, F, H, and K and upgraded its provisional ratings on Tranches C, D, E, G, I, and J.

Asti Group PMI:
The last rating action on this transaction took place on 22 December 2021, when DBRS Morningstar confirmed its A (high) (sf) rating on the Class A Notes.

The lead analyst responsibilities for this transaction have been transferred to Helvia Meana.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at 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: http://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.

The Colonnade 2018-5 ratings are endorsed by DBRS Ratings GmbH for use in the European Union.
The Asti Group PMI rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Colonnade 2018-5
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President

Asti Group PMI
Lead Analyst: Helvia Meana, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates:
Colonnade 2018-5: 21 December 2018
Asti Group PMI: 16 March 2017

DBRS Ratings Limited
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Tel. +44 (0) 20 7855 6600
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DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The 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 info@dbrsmorningstar.com.

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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