DBRS Confirms Ratings of Quadrivio RMBS 2013 S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed the Class A1 and Class A2 Notes issued by Quadrivio RMBS 2013 S.r.l. (the “Issuer”) and confirms the rating of ‘AAA’ (sf).

Quadrivio RMBS 2013 S.r.l. is a securitisation of Italian first lien prime residential mortgages originated and sub-serviced by by Credito Valtellinese S.C., Cassa di Risparmio di Fano S.p.A. and Credito Siciliano S.p.A. The transaction initially closed in August 2013 and the portfolio is relatively well seasoned (over 3.4 years).

Confirmation of the rating for the Class A1 and Class A2 Notes is based upon the following analytical considerations:

• Portfolio performance, in terms of the level of delinquencies and defaults, as of the 23 July 2014 payment date.
• Updated portfolio defaults, loss given defaults and expected losses estimates for the remaining pool.
• Current available credit enhancement to the Class A1 and Class A2 Notes to cover the expected losses at the ‘AAA’ (sf) rating level.

As of the 23 July 2014 payment date, the current delinquency ratio for loans more than 90 days overdue, as a percentage of the current balance of the portfolio (EUR 907.97 million), was 0.60%, while the delinquency ratio for loans more than 180 days overdue was at 0.19%. The cumulative default is currently 0.27 % of the initial collateral balance.

Even if the principal payments are currently distributed sequentially though the Class A1 and A2 Notes, both Classes of the Notes rank pari-passu and upon a Trigger Notice Event, principal payments will be distributed on a pro rata basis. The Credit enhancement for the Class A1 and A2 Notes, as a percentage of the performing collateral balance, consists of subordination of the Class B Notes (partially as a part of it has been used to fund the Cash Reserve Fund) and a Cash Reserve Fund. The Class A1 and A2 Notes have a current credit enhancement level of 30.70%.

The Cash Reserve Fund is not allowed to amortise and has always been at its target level. As of the July 2014 payment date remained at EUR 26 million.

Deutsche Bank AG/London (the “English Account Bank”) holds the Collections Account for the transaction and on the second business day of each month and then every seven days, funds are transferred to Barclays Bank PLC, Milan Branch (the “Depositary Investment Account Bank”). The DBRS private ratings of the English Account Bank and the Depositary Investment Account Bank comply with the threshold for the Account Bank given the rating assigned to the Class A1 and Class A2 Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release. This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Securitisation Services S.p.A. (the “Calculation Agent”) and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 16 August 2013, when DBRS assigned the rating of ‘AAA’ (sf) on the Class A1 and Class A2 Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current receivables. 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 mortgages for the Issuer are 5.88% and 8.41%, respectively. The corresponding levels at the ‘AAA’ (sf) rating level are 28.10% and 30.73%.
• 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 Class A1 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 A1 Notes would be expected to decrease at AA (high) (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating of the Class A1 Notes would be expected at decrease at AA (high) (sf).

Class A1/A2 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 AA (high) (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 AA (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Alastair Bigley
Initial Rating Date: 16 August 2013
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Mary Claire Mezzanotte

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria 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
• Unified Interest Rate Model for European Securitisations