DBRS Ratings GmbH (DBRS Morningstar) confirmed and upgraded its ratings on the following notes issued by Alchera SPV S.r.l. (the Issuer):
-- Series A-2013 Notes confirmed at AAA (sf)
-- Series A-2017 Notes confirmed at AAA (sf)
-- Series M-2017 Notes upgraded to AA (high) (sf) from A (high) (sf)
The ratings on the Series A-2013 Notes and Series A-2017 Notes (Series A Notes) address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in November 2048. The rating on the Series M-2017 Notes (Series M Notes) addresses the ultimate payment of interest and ultimate payment of principal on or before the legal final maturity date in November 2050.
The rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the November 2019 payment date;
-- Base case probability of default (PD) and updated default and recovery rates on the remaining receivables;
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels.
Alchera SPV S.r.l. is a multi-originator cash flow securitisation collateralised by a portfolio of bank loans to Italian small and medium-size enterprises, entrepreneurs, artisans, and self-employed individuals that were originally granted by Banca Cassa di Risparmio di Savigliano S.p.A. (CR Savigliano), Cassa di Risparmio di Saluzzo S.p.A. (CR Saluzzo), and Banca Mediocredito del Friuli Venezia Giulia S.p.A. (MCFVG).
The transaction closed in June 2013 and restructured in February 2017. Following the restructuring, CR Saluzzo withdrew from the transaction and Banca Alpi Marittime Credito Cooperativo Carrù Società Cooperativa per Azioni (BAM) and Cassa di Risparmio di Cento (CR Cento) were incorporated as new originators. CR Savigliano, MCFVG, BAM, and CR Cento currently act as the servicer for their respective portion of the portfolio.
The portfolio is performing within DBRS Morningstar’s initial expectations. As of the September 2019 cut-off, the 90+ delinquency ratio was 0.6%, down from 2.2% as of the September 2018 cut-off. No defaulted loans have been recorded so far.
DBRS Morningstar conducted a loan-by-loan analysis on the remaining pool and updated its portfolio default rate and recovery assumptions on the outstanding portfolio to 55.1% and 40.5%, respectively, at the AAA (sf) rating level, and 50.5% and 45.6%, respectively, at the AA (high) (sf) rating level.
Overcollateralisation of the outstanding collateral portfolio as well as the four amortising cash reserves and the four nonamortising additional cash reserves provide credit enhancement to the Series A Notes. As of the November 2019 payment date, credit enhancement to the Series A Notes was 70.8%, up from 55.5% as of the November 2018 payment date.
Overcollateralisation of the outstanding collateral portfolio provides credit enhancement to the Series M Notes. As of the November 2019 payment date, credit enhancement to the Series M Notes was 45.3%, up from 34.2% as of the November 2018 payment date.
The transaction structure benefits from four amortising cash reserves, which provide liquidity support and are available to cover shortfalls on senior fees, expenses, and interest payments on the Series A Notes. The aggregate balance of the cash reserves is currently at its target level of EUR 5.6 million.
The transaction structure also benefits from four nonamortising additional cash reserves, which provide liquidity support and are available to cover shortfalls on senior fees, expenses and interest payments on the Series A and Series M Notes. The aggregate balance of the additional cash reserves is currently at its target level of EUR 11.1 million.
Citibank NA, Milan branch and Citibank NA, London branch act as the Italian and English account bank, respectively. Based on the private ratings of the account banks, the downgrade provisions outlined in the transaction documents, and structural mitigants, DBRS Morningstar considers the risk arising from the exposure to the account banks to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.
DBRS Morningstar analysed the transaction structure in its proprietary Excel-based cash flow engine.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the “Rating CLOs Backed by Loans to European SMEs” methodology.
DBRS Morningstar 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 DBRS Morningstar has not received any new legal documents 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 “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 these ratings include payment and investor reports provided by Accounting Partners S.p.A. and loan-level data provided by the European DataWarehouse GmbH.
DBRS Morningstar did not rely upon third-party due diligence to conduct its analysis.
At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar 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 6 February 2019, when DBRS upgraded the ratings on the Series A-2013 and Series A-2017 Notes to AAA (sf) from AA (sf) and upgraded the rating on the Series M-2017 Notes to A (high) (sf) from BBB (high) (sf).
The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.
Information regarding DBRS Morningstar 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 Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):
-- Probability of Default (PD) used: Base case PD of 4.3%, a 10% increase, and a 20% increase of the base case PD.
-- Recovery Rates Used: Base case recovery rate of 40.5% at the AAA (sf) stress level for the Series A Notes and a base case recovery rate of 45.6% at the AA (high) (sf) stress level for the Series M Notes, 10% and 20% decrease of the base case recovery rates. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.
DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Series A Notes at AAA (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would also lead to a confirmation of the Series A Notes at AAA (sf).
DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a confirmation of the Series M Notes at AA (high) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would also lead to a confirmation of the Series M Notes at AA (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: 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: Daniele Canestrari, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 27 June 2013
DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main - Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Rating CLOs Backed by Loans to European SMEs
-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses for European Structured Finance Transactions
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers
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.