DBRS Ratings GmbH (DBRS Morningstar) confirmed its AAA (sf) rating on the Class A3 Notes issued by Marche M6 S.r.l. (MM6 or the Issuer).
The rating on the Class A3 Notes addresses the timely payment of interest and the ultimate payment of principal by the legal final maturity date in January 2064.
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the January 2020 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the Class A3 Notes to cover the expected losses at the AAA (sf) rating level.
MM6 is a securitisation of first-lien residential mortgage loans originated in Italy by Nuova Banca delle Marche S.p.A. (NBDM), the former Banca delle Marche S.p.A. In May 2017, NBDM was acquired by Unione di Banche Italiane S.p.A. (UBI). From October 2017, when NBDM was fully merged into UBI, the latter has been servicing the portfolio. The process of transferring the servicing activities was smooth and did not negatively affect the transaction.
The portfolio is performing within DBRS Morningstar’s initial expectations. As of January 2020, loans that were two to three months in arrears represented 0.2% of the outstanding portfolio balance, unchanged from January 2019. The 90+ delinquency ratio was 0.2%, down from 0.3% in January 2019. The gross cumulative default ratio stood at 4.3% of the initial portfolio balance, up from 4.0% in January 2019.
DBRS Morningstar conducted a loan-by-loan analysis on the remaining pool of receivables and has updated its base case PD and LGD assumptions to 4.8% and 6.0%, respectively.
Overcollateralisation of the outstanding collateral portfolio provides credit enhancement and includes the cash reserve. As of the January 2020 payment date, credit enhancement to the Class A3 Notes was 57.0%, up from 48.9% as of the January 2019 payment date. The cash reserve is available to pay senior fees, expenses, and interest payments on the Class A3 Notes. The reserve is currently at its target level of EUR 34.0 million.
BNP Paribas Securities Services, Milan Branch and BNP Paribas Securities Services, London Branch are the Italian and English account banks for the transaction, respectively. Based on the private rating 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 Italian and English account banks to be consistent with the rating assigned to the Class A3 Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.
J.P. Morgan Securities plc acts as the swap counterparty of the transaction and its DBRS Morningstar private rating is consistent with the first rating threshold, as described in DBRS Morningstar’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Class A3 Notes. Obligations under the swap agreement are guaranteed by J.P. Morgan Chase Bank N.A.
DBRS Morningstar analysed the transaction structure in Intex DealMaker
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating is: “Master European Structured Finance Surveillance 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 transactions 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 “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 this rating include the servicer reports provided by UBI, payments and investors reports provided by Securitisation Services S.p.A. and loan-by-loan level data from 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 not 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 this rating 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 actions on this transaction took place on 25 November and on 6 February 2019, when DBRS Morningstar discontinued the AAA (sf) rating on the Class A2 Notes and confirmed the rating on the Class A3 Notes at AAA (sf), respectively.
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 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 to the parameters used to determine the rating (the Base Case):
-- DBRS Morningstar 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 4.8% and 6.0%, 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 increased by 50%, the rating of the Class A3 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increased by 50%, the rating for the Class A3 Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increased by 50%, the rating of the Class A3 Notes would be expected to remain at AAA (sf).
Class A3 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 Morningstar 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: Daniele Canestrari, Senior Financial Analyst
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 16 July 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.
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions Methodology
-- Derivative Criteria 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 firstname.lastname@example.org.