DBRS Ratings GmbH (DBRS) confirmed its rating of AAA (sf) on the Class A Notes issued by MondoMutui Cariparma S.r.l. - Series 2009 (the Issuer).
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 January 2058.
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 at the latest payment date (January 2019);
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement (CE) to the Class A Notes to cover expected losses assumed in line with the AAA (sf) rating level.
The Issuer is an Italian securitisation collateralised by a portfolio of residential mortgage loans granted by Crédit Agricole Italia S.p.A. (CA-Italia), formerly Crédit Agricole Cariparma S.p.A. The transaction follows the standard structure under the Italian securitisation law and closed in November 2009. DBRS assigned a rating to the Class A Notes on 15 June 2015.
As at 31 January 2019, the balance of the Class A Notes was EUR 852.9 million and the balance of the Class J Notes was EUR 390.3 million. The EUR 1,243.2 million securitised portfolio (excluding defaulted receivables) consists of first-ranking loans over residential properties mainly located in the North and Centre of Italy, in particular in the regions of Emilia-Romagna and Lombardy (representing 70.5% of the current portfolio). 51.1% of the current portfolio was originated between 2008 and 2010, coinciding with the peak of the Italian residential housing market. Therefore, the current loan-to-value (LTV) distribution, based on the most recent property valuations, is more concentrated in the higher buckets when compared with the distribution of the current LTV, calculated with the original property valuations.
As of January 2019, two- to three-month arrears represented 0.4% of the outstanding portfolio balance, up from 0.3% in January 2018. As of January 2019, the 90+ delinquency ratio was 0.1%, down from 0.4% in January 2018. As of January 2019, the cumulative default ratio was 4.2%.
DBRS conducted a loan-by-loan analysis on the remaining pool and updated its base case PD and LGD assumptions on the outstanding portfolio to 4.9% and 19.0%, respectively.
As of the January 2019 payment date, credit enhancement to the Class A Notes was 31.4%, up from 16.9% at the DBRS initial rating. 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 the Class A Notes and EUR 33.8 million is currently available.
CA-Italia acts as the account bank for the transaction. Based on the DBRS private rating of CA-Italia, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank 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.
CA-Italia acts as the swap counterparty for the transaction. DBRS's private rating of CA-Italia is above the First Rating Threshold as described in DBRS's "Derivative 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 investor reports provided by CA-Italia and loan-level data provided by 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 supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purpose 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 14 June 2018, when DBRS confirmed the rating of the Class A Notes.
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 rating, DBRS considered the following stress scenarios as compared with 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 loans for the Issuer are 4.9% and 19.0%, 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 remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (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 remain at AAA (sf).
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)
-- 50% 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 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:
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 15 June 2015
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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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria 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: 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.