DBRS Ratings GmbH (DBRS) confirmed its AAA (sf) rating on the Class A Notes issued by MondoMutui Cariparma S.r.l. - Series 2012 (the Issuer).
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The portfolio performance, in terms of level of delinquencies and defaults, as of the October 2018 payment date;
-- Updated portfolio default rate, loss given default (LGD) and expected loss assumptions for the remaining collateral pool;
-- The current available credit enhancement (CE) to the Class A Notes to cover expected losses assumed in line with the AAA (sf) rating level.
The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Final Maturity Date in April 2060.
The Issuer is an Italian securitisation collateralised by a portfolio of residential mortgage loans granted and serviced by Crédit Agricole Italia S.p.A., formerly Crédit Agricole Cariparma S.p.A. The transaction closed in February 2012 and follows the standard structure under Italian securitisation law.
As of 31 October 2018, the balance of the Class A Notes was EUR 978.2 million and the balance of the Class J Notes was EUR 452.8 million. The EUR 1,431.0 million securitised portfolio (excluding defaulted receivables) consists of first-ranking loans secured by residential properties mainly located in northern and central Italy. The Italian regions of Lombardy and Emilia-Romagna house the largest concentration of loans, representing a combined 32.6% of the current portfolio by loan balance.
The majority of the current portfolio (95.1% by loan balance) was originated between 2009 and 2011, coinciding with the peak of the Italian residential housing market. Therefore, the current loan-to-value (LTV) distribution calculated with the most-recent property valuations is higher when compared with the LTV distribution calculated with the original property valuations.
As of the October 2018 payment date, total delinquencies represented 3.7% of the portfolio’s outstanding principal balance. Gross cumulative defaults stood at 2.3% of the original portfolio balance, with cumulative recoveries of 75.0%.
DBRS conducted a loan-by-loan analysis on the remaining pool and updated its base case probability of default (PD) and LGD assumptions on the outstanding portfolio to 9.6% and 22.8%, respectively.
As of October 2018, CE to the Class A Notes was 31.6%, up from 28.1% in October 2017. CE to the Class A Notes is provided by the subordination of the Class J Notes.
The transaction benefits from a Liquidity Line to cover senior expenses shortfalls and missed interest payments on the Class A Notes. This facility amortises up to a maximum aggregate amount of 3.2% of the outstanding balance of Class A Notes. EUR 40.1 million is currently available.
A swap structure is in place to hedge the interest rate mismatch between the issued notes, indexed to six-month Euribor, and the interest rate payments from the collateral portfolio. Crédit Agricole Italia S.p.A. is the Counterparty of the Hedging Agreement.
Crédit Agricole Italia S.p.A. acts as the Account Bank for the transaction. Based on DBRS private rating of Crédit Agricole Italia S.p.A., the downgrade provisions outlined in the transaction documents, and structural mitigants, DBRS consider the risk arising from the exposure to Crédit Agricole Italia S.p.A. to be consistent with the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.
The transaction structure was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating is the “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.
A review of the transaction legal documents was not conducted as the legal 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: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for this rating include servicer and investor reports provided by Crédit Agricole Italia S.p.A. and loan-by-loan data from the European DataWarehouse GmbH.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS was not 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 this rating 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 13 April 2018, when DBRS confirmed the rating on the Class A Notes at AAA (sf).
The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.
Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.
To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):
-- DBRS expected a base case PD and LGD for the portfolio 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 are 9.6% and 22.8%, respectively. At the AAA (sf) rating level, the corresponding PD is 35.1% and the LGD 43.3%.
-- The Risk Sensitivity below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the base case assumptions. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the rating of Class A Notes would be expected to remain at AAA (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at to AAA (sf), all else being equal.
Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (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: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 24 May 2012
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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.
-- Master European Structured Finance Surveillance Methodology
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
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.