Press Release

DBRS Assigns Rating to Belvedere SPV S.r.l.

Nonperforming Loans
December 21, 2018

DBRS Ratings Limited (DBRS) assigned a BBB (low) (sf) rating to the EUR 320,000,000 Class A notes (the notes) issued by Belvedere SPV S.r.l.

The notes are backed by a EUR 2.5 billion by gross book value (GBV) portfolio consisting of unsecured and secured non-performing loans sold by Gemini SPV s.r.l., Sirius SPV s.r.l., Antares SPV s.r.l., SPV Project 1702 s.r.l. and Adige SPV s.r.l. (the Sellers) to Belvedere SPV s.r.l. Bayview Global Opportunities Fund S.C.S. SICAV-RAIF operates as sponsor and indemnity provider in the transaction. In terms of GBV, the majority of loans in the portfolio defaulted between 2014 and 2017 and are in various stages of resolution. The receivables are serviced by Prelios Credit Servicing S.p.A. (PRECS) and Bayview Italia s.r.l. as Special Servicers. PRECS operates as Master Servicer in the transaction.

Approximately 51% of the pool by GBV is secured and 43.0% (by GBV) of the pool benefits from a first-ranking lien. The secured loans included in the portfolio are backed by properties distributed across Italy: 55.5% by GBV in the North, 26.5% by GBV in the Centre and 18.0% by GBV in the South. In its analysis, DBRS assumed that all loans are worked out through an auction process, which generally has the longest resolution timeline.

The amortisation of the notes is fully sequential, and the Class B notes will begin to amortise following the full repayment of the Class A notes. Interest on the Class B notes, which represent mezzanine debt, is paid after the principal of the Class A notes.

The securitisation includes the possibility to implement a ReoCo structure.

The ratings are based on DBRS’s analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of the Special Servicers, the availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses, the cap agreement and the transaction’s legal and structural features. DBRS’s BBB (low) rating stress assumes a haircut of approximately 24.0% to the Special Servicers’ business plan for the portfolio.

DBRS analysed the transaction structure using Intex DealMaker.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating European Non-Performing Loans Securitisations”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

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

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 Credit Ratings” of the “Rating Sovereign Governments” methodology at:

The sources of data and information used for these ratings include the sponsor and the Special Servicers.

DBRS did not rely upon third-party due diligence to conduct its analysis. DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing these ratings was of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with
the rating process.

These ratings concern a newly issued financial instrument.

These are the first DBRS ratings on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on

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

-- Recovery Rates Used: Cumulative Base Case Recovery Amount of approximately EUR 406 million at the BBB (low) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.

-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to BB (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A notes to B (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Alessio Pignataro, Senior Vice President, Global Structured Finance
Initial Rating Date: 21 December 2018
Rating Committee Chair: Christian Aufsatz, Managing Director, Global Structured Finance

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- European CMBS Rating and Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at:

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