DBRS Confirms the Rating of Consumer One S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the AAA (sf) rating on the Class A Notes issued by Consumer One S.r.l. (the Issuer).

The confirmation of the ratings on the Class A Notes follows amendments to the legal documentation executed on 22 December 2014 which include:
-- The Minimum Rating for the Account Bank required by DBRS to be considered an “Eligible Institution”;
-- Opening of new Issuer transaction accounts with Unicredit S.p.A. serving the role of Account Bank, exclusive of the Cash Reserve Account, Cash Collateral Account and Securities Collateral Account held with BNP Paribas Securities Services, Milan branch; and
-- Restructuring of the Cash Reserve which now amortises with the principal amount outstanding of the Class A Notes.
The amendments to the legal documentation comply with the current DBRS Legal Criteria for European Structured Finance Transactions given the ratings of the Class A Notes.

Consumer One S.r.l. is a securitisation of unsecured consumer loans extended to Italian obligors. The portfolio was originated and is serviced by Unicredit S.p.A. The structure included a two-year revolving period terminated in November 2013. There were eligibility criteria and triggers to mitigate the potential portfolio performance deterioration.

The current pool is very granular and well diversified across Italy, with some concentrations in the regions of Lazio (16.13%), Sicily (13.76%), Piedmont (14.36%) and Lombardy (9.10%). Assets are represented by unsecured loans belonging to three different pools: personal loans (95.79%), auto loans (4.20%) and purpose loans (0.01%).
The portfolio is performing within DBRS expectations in terms of delinquencies and defaults. As per the November 2014 payment date, the 90+ delinquency ratio (as a percentage of the performing portfolio balance) was 2.48%. The cumulative default rate showed an increasing trend over the life of the transaction, but it is still not attaining critical level at 5.19%.

The Class A Notes are supported by subordination of the Class B Notes. The Class A Notes credit enhancement (as a percentage of the performing portfolio balance) increased to 55.72% from 39.50% at rating in August 2011.

Following the implementation of the amendments, the Cash Reserve mainly provides liquidity support to the Class A Notes. The Cash Reserve amortises to 2.50% of the principal amount outstanding of the Class A Notes (after repayment of principal on each payment date), subject to the absolute floor of EUR 15.00 million.

Unicredit S.p.A. and BNP Paribas Securities Services, Milan branch are the Account Bank and Additional Account Bank for the transaction, respectively. The DBRS private rating of Unicredit S.p.A. and BNP Paribas Securities Services, Milan branch are compatible with the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Additionally, Unicredit S.p.A. acts as Swap Counterparty for the deal. According to DBRS’s Derivative Criteria for European Structured Finance Transactions, and given its DBRS private rating, the Swap Counterparty posting collateral in favour of the Issuer sufficiently addresses the risk associated with the counterparty default. The credit support amount as calculated under the documentation is currently nil.

Notes:
All figures are in euros 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 payment reports, investor reports and servicer reports provided by Unicredit Bank AG, London branch and Unicredit S.p.A., respectively. 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 1 May 2014, when DBRS confirmed the ratings to the Class A Notes at AAA (sf).

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

To assess the impact of 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 Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 12.56% and 95.00%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes 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 for the Class A Notes would be expected to fall to AA (high) (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to fall to AA (low) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf), all else being equal.

Class A Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of AA (high) (sf).
• 50% increase in LGD, expected rating of AA (high) (sf).
• 25% increase in PD, expected rating of AA (sf).
• 50% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AA (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of AA (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of AA (low) (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: Alessio Pignataro
Initial Rating Date: 12 August 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

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.
Derivative Criteria for European Structured Finance Transactions.
Master European Structured Finance Surveillance Methodology.
Operational Risk Assessment for European Structured Finance Servicers.
Unified Interest Rate Model for European Securitisations.
Rating European Consumer and Commercial Asset-Backed Securitisations.