DBRS Ratings Limited (DBRS Morningstar) assigned a BBB (sf) rating to the EUR 286,474,000 Class A notes and a B (high) (sf) rating to the EUR 33,703,000 Class B notes issued by Marathon SPV S.r.l.
As of the 30 September 2019 cutoff date, the notes were backed by a EUR 5.03 billion portfolio by gross book value (GBV) of Italian unsecured nonperforming loans. The loans were sold by Marte SPV S.r.l. and Pinzolo SPV S.r.l., and as of the cutoff date, almost 20% of the loans by GBV were or had been linked to promissory notes (cambiali). The majority of loans in the portfolio (approximately 70.6% by GBV) defaulted between 2011 and 2017. The receivables are serviced by Hoist Italia S.r.l. (Special Servicer). Securitisation Services S.p.A. acts as master servicer. A backup servicer, Centotrenta Servicing S.p.A., was also appointed and will act as a servicer in case of termination of Hoist Italia S.r.l.
The portfolio is unsecured and consists of portfolios acquired over time by Hoist Finance AB (the Seller), the majority of which (approximately 89.46% by GBV) were acquired between 2014 and 2018. In terms of product type, the majority of the portfolio (approximately 95.9% by GBV) comprises revolving credit cards, various unsecured banking products, personal loans, finalised loans, and auto loans. The securitised nonperforming portfolio was originated by the following entities: Agos Ducato S.p.A., Banca 24/7, Banco Popolare, Barclays, BMW Bank, Cofidis, Consel S.p.A., Consum.IT, Credit Agricole Cariparma, Deutsche Bank S.p.A., Fiditalia, Findomestic, Ford Bank, Iccrea Banca Impresa S.p.A., Mercedes Benz Financement, Santander Consumer Bank AG, and UBI Banca.
The transaction benefits from approximately EUR 31.9 million of recoveries collected between March and October 2019, which will be distributed in accordance with the priority of payments on the first interest payment date.
The ratings are based on DBRS Morningstar’s analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of Hoist Italia S.r.l., the availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses, and the transaction’s legal and structural features. DBRS Morningstar’s BBB (sf) rating stress assumes a haircut of approximately 36.0% to the Special Servicers’ business plan for the portfolio, while DBRS Morningstar’s B (high) (sf) rating stress assumes a haircut of approximately 27.0% to the business plan.
DBRS Morningstar 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 Morningstar 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 www.dbrs.com at: http://www.dbrs.com/about/methodologies.
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 “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments..
The sources of data and information used for the ratings include the Seller and the Special Servicer.
DBRS Morningstar did not rely upon third-party due diligence to conduct its analysis. DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the information available to it for the purposes of providing the ratings was of satisfactory quality.
DBRS Morningstar 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 Morningstar ratings on this financial instrument.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies are available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar 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 360 million at the BBB (sf) stress level, a 5% and 10% decrease of the cumulative base case recovery rate.
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 5%, ceteris paribus, would lead to no change in the rating of the Class A notes.
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 10%, ceteris paribus, would lead to a one notch downgrade of the Class A notes to BBB (low) (sf).
-- Recovery Rates Used: Cumulative base case recovery amount of approximately EUR 411 million at the B (high) (sf) stress level, a 5% and 10% decrease of the cumulative base case recovery rate.
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 5%, ceteris paribus, would lead to a one notch downgrade of the Class B notes to B (sf).
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 10%, ceteris paribus, would lead to a two notch downgrade of the Class B notes to B (low) (sf).
For further information on DBRS Morningstar historical 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
Rating Committee Chair: Christian Aufsatz, Managing Director, Global Structured Finance
Initial Rating Date: 5 December 2019
DBRS Ratings Limited
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Registered in England and Wales: No. 7139960
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- 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 Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at email@example.com.
This press release was amended on 9 December 2019 to change the date range of the receivables collection to March and October from March and September.