DBRS Ratings GmbH (DBRS Morningstar) confirmed its AAA (sf) rating on the Class A Notes issued by Grecale ABS S.r.l. – Series 6 (or the Issuer).
The rating addresses the timely payment of interest and ultimate payment of principal by the legal final maturity date in April 2056.
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 October 2019 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions for the remaining receivables;
-- Current credit enhancement available to the Class A Notes to cover the expected losses at the AAA (sf) rating level.
Grecale ABS S.r.l. – Series 6 is a securitisation of first-lien Italian residential mortgage loans originated by Unipol Banca S.p.A. (Unipol) and currently serviced by BPER Banca S.p.A., which completed the acquisition by incorporation of Unipol on 25 November 2019. The transaction follows the standard structure under Italian securitisation law and closed in July 2009.
The portfolio is performing within DBRS Morningstar’s initial expectations. As of October 2019, loans that were two to three months in arrears represented 0.5% of the outstanding portfolio balance, slightly up from 0.4% in October 2018. The 90+ delinquency ratio was 0.6%, up from 0.4% in October 2018. The gross cumulative default ratio stood at 7.4% of the initial portfolio balance, slightly up from 7.3% in October 2018.
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 5.6% and 2.5%, respectively.
Overcollateralisation of the outstanding collateral portfolio provides credit enhancement to the Class A Notes. As of the October 2019 payment date, credit enhancement to the Class A Notes was 84.0%, up from to 67.7% as of October 2018 payment date. The cash reserve is available to cover shortfalls on senior fees, expenses, and interest payments on the Class A Notes. The cash reserve is currently at its target level of EUR 15.3 million.
The Bank of New York Mellon S.A./N.V., Milan Branch and The Bank of New York Mellon S.A./N.V., London Branch act as the Italian and English account bank for the transaction, respectively. Based on the DBRS Morningstar AA (high) ratings on the account banks and structural mitigants, DBRS Morningstar considers the risk arising from the exposure to the account banks to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.
UBS Limited (UBS) acts as the swap counterparty for the transaction, with UBS AG acting as swap guarantor. The DBRS Morningstar AA (low) rating of UBS AG 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 A Notes.
DBRS Morningstar analysed the transaction structure in Intex DealMaker.
For additional disclosure related to the impact of Coronavirus (COVID-19) on DBRS Morningstar Methodologies please see the following link: https://www.dbrsmorningstar.com/research/357883/dbrs-morningstar-provides-update-on-rating-methodologies-in-light-of-measures-to-contain-coronavirus-disease-covid-19.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating is the “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 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 this rating include investor reports provided by The Bank of New York Mellon S.A./N.V., London Branch and loan-by-loan 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 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.
This last rating action on this transaction took place on 12 March 2019, when DBRS Morningstar confirmed the rating on the Class A Notes at AAA (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 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 5.6% and 2.5%, 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 on 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 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 Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 10 May 2011
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Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at:
-- 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
-- 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 email@example.com.