DBRS Confirms Ratings on Voba N. 5 S.r.l. Class A1 and Class A2 Notes

DBRS Ratings Limited (DBRS) has today confirmed the following ratings on the Class A1 and Class A2 Notes (collectively, the Notes) issued by Voba N. 5 S.r.l. (the Issuer or Voba 5):

-- Class A1 Notes at AAA (sf)
-- Class A2 Notes at AAA (sf)

Voba 5 is a securitisation of first-lien fully amortising mortgage loans originated primarily in the regions of Trentino Alto Adige and Veneto in Italy. The originator and servicer of the transaction is Banca Popolare dell’Alto Adige S.c.p.a (Volksbank).

Confirmation of the ratings for each class of Notes is based on the following analytical considerations:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the December 2014 Payment Date.
-- Updated Portfolio Default Rate, Loss Given Default (LGD) and Expected Loss for the remaining collateral pool.
-- Current available credit enhancement to each class of Notes to cover the Expected Losses at the AAA (sf) rating level.

As of the December 2014 payment date, the 90+ delinquency ratio as a percentage of the performing balance of the portfolio stands at 0.28% and has been low since the closing of the transaction.

Cumulative defaults as a percentage of the original balance stand at 0.02%.

Credit enhancement to the Class A1 Notes is provided by subordination of a Class A2 and Class J Notes. Current credit enhancements as a percentage of the performing balance of the portfolio for the Class A1 Notes stands at 66.24%, while credit enhancement for the Class A2 Notes stands at 21.67%.

The Cash Reserve Fund stands at its target balance of EUR 9,276,370 (calculated as 2.5% of Class A1 and A2 Notes as of the preceding payment date) and is amortising starting from the second payment. The Cash Reserve is available to cover interest shortfalls to the Notes.

BNP Paribas Securities Services S.C.A, Milan Branch, acts as Account Bank and Paying Agent. The Backup Servicer is Securitisation Services S.p.A. The ratings of all transaction parties are compatible with the rating of the most senior notes, in accordance with DBRS rating methodologies.

The transaction does not contain any swap to hedge interest rate risk. The Notes pay a coupon indexed on three-month Euribor (Class A2 Notes coupon is capped at 6%) while the portfolio is 27% fixed rate and the rest is floating rate, indexed to multiple Euribor (a small portion of the floating-rate loans has a cap). This has been accounted for in DBRS cash flow modelling.

Notes:
All figures are in euros unless otherwise noted.

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

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 servicer reports provided by Volksbank, investor reports provided by Securitisation Services S.p.A. 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.

This is the first rating action since the Initial Rating Date.

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 with the parameters used to determine the rating (the base case):
-- DBRS expected a lifetime base-case probability of default (PD) and 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 5.78% and 10.07%, respectively. At the AAA (sf) rating level, the corresponding PD is 28.02% and the LGD is 31.47%.
-- DBRS assumed that the time of recovery lag was 60 months.
-- 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 on the Class A1 and Class A2 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A1 and Class A2 Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating on the Class A1 and Class A2 Notes would be expected to remain at AAA (sf).

Class A1 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)

Class 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 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 historic default rates published by the European Securities and Markets Administration 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: Davide Nesa
Initial Rating Date: 8 April 2014
Initial Rating Committee Chair: Quincy Tang

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Quincy Tang

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
-- Unified Interest Rate Model for U.S. and European Structured Credit
-- 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