Press Release

DBRS Morningstar Places Ratings on Seven European NPL Transactions Under Review with Positive Implications Following Coronavirus Adjustment Updates

Nonperforming Loans

March 15, 2022

DBRS Ratings GmbH (DBRS Morningstar) placed the following ratings on seven European nonperforming loan (NPL) transactions Under Review with Positive Implications:

Fino 1 Securitisation S.r.l.
-- Class A Notes rated BBB (high) (sf)
-- Class B Notes rated BB (high) (sf)
-- Class C Notes rated BB (sf)

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in October 2045 while the ratings on the Class B and Class C Notes address the ultimate payment of both interest and principal before the legal final maturity.

Ibla S.r.l.
-- Class A rated BBB (low) (sf)
-- Class B rated CCC (sf)

The rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in April 2037 while the rating on the Class B notes addresses the ultimate payment of both interest and principal before the legal final maturity.

Futura 2019 S.r.l.
-- Class A Notes rated BBB (sf)

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in July 2044.

Yoda SPV S.r.l.
-- Class A rated BBB (sf)

The rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in January 2041.

POP NPLs 2020 S.r.l.
-- Class A rated BBB (sf)
-- Class B rated CCC (sf)

The rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in November 2045 while the rating on the Class B notes addresses the ultimate payment of both interest and principal before the legal final maturity.

Palatino SPV S.r.l.
-- Class A Notes rated BBB (sf)

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in December 2045.

Retiro Mortgage Securities DAC
-- Class A1 rated A (sf)
-- Class A2 rated BBB (sf)
-- Class B rated BB (sf)
-- Class C rated BB (low) (sf)

The ratings on the Class A1 and Class A2 notes address the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date in July 2075 while the ratings on the Class B and Class C notes address the ultimate payment of both interest and principal before the legal final maturity.

KEY RATING DRIVERS AND CONSIDERATIONS
On 14 March 2022, DBRS Morningstar updated its 14 June 2021 commentary outlining the impact of the Coronavirus Disease (COVID-19) crisis on the performance of DBRS Morningstar-rated RMBS transactions in Europe almost two years on. For more details, please see: https://www.dbrsmorningstar.com/research/393639/emerging-from-the-covid-19-pandemic-update-on-european-mortgage-performance, https://www.dbrsmorningstar.com/research/380094/the-impact-of-covid-19-on-european-mortgage-performance-one-year-on, and https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

The updated commentary presents an update on European residential mortgage performance trends and house price movements. The previous robust house price performance has persisted with values in most markets continuing to rise or remain stable. As a consequence, DBRS Morningstar discontinued its Coronavirus Disease (COVID-19) related adjustments to expected performance and placed the aforementioned tranches Under Review with Positive Implications as DBRS Morningstar considers these classes to be more affected by the previous adjustments.

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.

For more information on DBRS Morningstar considerations for European NPL transactions and Coronavirus Disease (COVID-19), please see the following commentaries: https://www.dbrsmorningstar.com/research/384146 and https://www.dbrsmorningstar.com/research/360393.

For more information on DBRS Morningstar considerations for European CMBS transactions and Coronavirus Disease (COVID-19), please see the following commentaries: https://www.dbrsmorningstar.com/research/389753/two-years-into-covid-19-impact-on-retail-and-hospitality-cmbs-in-europe and https://www.dbrsmorningstar.com/research/362693/european-cmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

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 euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology” (8 February 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://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, servicing 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 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.

Fino 1 Securitisation S.r.l.
The last rating action on this traction took place on 12 November 2021, when DBRS Morningstar changed the trends on the Class A, Class B, and Class C Notes to Stable from Negative and confirmed the ratings at BBB (high) (sf), BB (high) (sf), and BB (sf), respectively.

Ibla S.r.l.
The last rating action on this transaction took place on 4 November 2021, when DBRS Morningstar changed the trends on the Class A and Class B notes to Stable from Negative and confirmed the ratings at BBB (low) (sf) and CCC (sf), respectively.

Futura 2019 S.r.l.
The last rating action on this transaction took place on 28 February 2022, when DBRS Morningstar changed the trend on the Class A Notes to Stable from Negative and confirmed the rating at BBB (sf).

Yoda SPV S.r.l.
The last rating action on this transaction took place on 17 December 2021, when DBRS Morningstar changed the trend on the Class A notes to Stable from Negative and confirmed the rating at BBB (sf).

The lead analyst responsibilities for this transaction have been transferred to Clarice Baiocchi.

POP NPLs 2020 S.r.l.
The last rating action on this transaction took place on 21 December 2021, when DBRS Morningstar changed the trend on the Class A and Class B notes to Stable from Negative and confirmed the ratings at BBB (sf) and CCC (sf), respectively.

Retiro Mortgage Securities DAC
This is the first rating action since the Initial Rating Date..

The lead analyst responsibilities for this transaction have been transferred to Clarice Baiocchi.

Palatino SPV S.r.l.
This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Clarice Baiocchi.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on 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: 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: Clarice Baiocchi, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director

Initial Rating Dates:
Fino 1 Securitisation S.r.l.: 23 November 2017
Ibla S.r.l.: 6 September 2018
Futura 2019 S.r.l.: 16 December 2019
Yoda SPV S.r.l.: 18 December 2020
POP NPLs 2020 S.r.l.: 23 December 2020
Retiro Mortgage Securities DAC: 31 March 2021
Palatino SPV S.r.l.: 25 June 2021

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 rating methodologies used in the analysis of this transaction 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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