DBRS Ratings GmbH (DBRS) confirmed its AA (sf) and A (sf) ratings on the Class A and Class B notes, respectively, (together, the Notes) issued by Florence SPV S.r.l. (the Issuer).
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of January 2019 payment date;
-- Updated probability of default (PD), loss given default (LGD) and expected loss assumptions for the remaining collateral pool;
-- No revolving termination events have occurred;
-- Current available credit enhancement (CE) to the Class A and Class B notes to cover the expected losses at the AA (sf) and A (sf) rating levels, respectively.
The ratings address the timely payment of interest and ultimate payment of principal payable on or before the Final Maturity Date in October 2040.
Florence SPV S.r.l. is a securitisation of personal and vehicle loans granted and serviced by Findomestic Banca S.p.A. (Findomestic) to individuals residing in Italy. The transaction closed in May 2013 and was restructured in December 2015, when an additional pool was transferred to the Issuer and the notes balance was increased (the Increase Date). The transaction is currently in its revolving period, scheduled to end in January 2020, following an amendment to the transaction in March 2018.
The portfolio is performing within DBRS’s expectations. As of January 2019, loans more than 90 days delinquent accounted for 0.5% of the outstanding collateral pool balance, down from 0.6% in January 2018. Cumulative defaulted loans as a percentage of the aggregate original portfolio balance were 5.2%, slightly up from 5.0% in January 2018.
DBRS has maintained its PD and LGD assumptions based on the worst-case portfolio composition at 14.5% and 88.6%, respectively.
As of January 2019, CE to the Class A and Class B notes was 37.2% and 25.3%, in line with the CE as at the Increase Date. CE to the Notes is provided by the portfolio overcollateralisation and includes the debt service reserve.
The transaction is structured with two reserves: a liquidity reserve, which is currently at its target level of EUR 16.1 million (0.5% of the outstanding balance of the Notes) and is available to cover senior fees, expenses and missed interest on the Notes; and the debt service reserve, which is currently at its target level of EUR 67.5 million and is available to cover senior fees, expenses, missed interest on the Notes and the purchase price of any additional portfolios during the revolving period or principal redemption amount of the Notes during the amortisation period.
BNP Paribas Securities Services, Milan Branch is the Account Bank for the transaction. Based on the private rating of the Account Bank, the downgrade provisions outlined in the transaction documents, and structural mitigants, DBRS considers the risk arising from the exposure to the Account Bank to be consistent with the ratings assigned to the Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology”.
DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.
A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.
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 “Rating Sovereign Governments” methodology at: https://www.dbrs.com/research/333487/rating-sovereign-governments.
The sources of data and information used for these ratings include the servicer report provided by Findomestic, the payment and investor report provided by Securitisation Services S.p.A. and the loan-by-loan data obtained from European DataWarehouse GmbH.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the Increase Date, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on 28 March 2018, when DBRS confirmed the Class A and the Class B Notes at AA (sf) and A (sf), respectively.
The lead analyst responsibilities for this transaction have been transferred to Ettore Grassini.
Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
-- DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of receivables for the Issuer are 14.5% (including sovereign stress) and 88.6%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base-case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to be downgraded to A (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to be downgraded to A (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to be downgraded to BBB (high) (sf).
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
For further information on DBRS 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.
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Ettore Grassini, Financial Analyst
Rating Committee Chair: Vito Natale, Managing Director
Initial Rating Date: 3 June 2013
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Geschäftsführer: Detlef Scholz
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
A description of how DBRS 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.