DBRS Ratings Limited (DBRS Morningstar) assigned a BBB (sf) rating to the EUR 158,000,000 Class A notes issued by Futura 2019 S.r.l.
As of the 30 June 2019 selection date, the notes were backed by a EUR 1.26 billion portfolio by gross book value (GBV) of Italian secured and unsecured nonperforming loans. The loans were purchased from 53 Italian banks in 2018 by Futura SPV S.r.l., (the seller). The majority of loans in the portfolio (approximately 93.5% by GBV) defaulted between 2005 and 2017, in particular between 2010 and 2013 (32.2% of GBV). The receivables are serviced by Guber Banca S.p.A. (Guber or the servicer). A backup servicer, Centotrenta Servicing S.p.A., was also appointed and will act as a servicer in case of termination of Guber.
The portfolio is a mixture of secured (51.8% by GBV) and unsecured (48.2% by GBV) nonperforming debt obligations, and approximately 84.2% of the secured loans by GBV benefits from a first-ranking lien. At selection date, the secured collateral was highly concentrated in Northern regions (68.4% of first-lien real estate value) and Veneto was the most represented region (18.0% of first-lien real estate value).
The securitisation includes the possibility to implement a ReoCo structure.
According to the transfer agreement, collections recovered between the selection date of 30 June 2019 and reference date of 30 September 2019 amounting to EUR 11.3 million will belong to the seller while all other collections will be for the account of the SPV. Cumulative Collection Ratio and PV Cumulative Profitability Ratio tests will be calculated based on collections received as from selection date while the fees will be counted based on collections starting from the reference date of 30 September.
DBRS Morningstar based its rating on an analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of Guber, 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 24.4% to the servicer’s initial business plan for the portfolio.
DBRS Morningstar analysed the transaction structure using Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating 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 rating includes the 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 rating 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 rating concern a newly issued financial instrument.
This is 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 204 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 a downgrade of the Class A notes to BB (high) (sf).
-- DBRS Morningstar 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 (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:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Alessio Pignataro, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 16 December 2019
DBRS Ratings Limited
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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
-- 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 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.