DBRS Confirms Rating on Dominato Leonense S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the Class A Notes issued by Dominato Leonense S.r.l. (the Issuer) at A (sf).

The confirmation of the rating on the Class A Notes is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the March 2015 payment date.
-- Updated portfolio default rate, loss given default and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the A (sf) rating level.

Dominato Leonense S.r.l. is a securitisation of prime residential mortgage loans, the majority of which were originated by Cassa Padana – Banca di Credito Cooperativo. The rest of the portfolio was originated by other three cooperative banks purchased by Cassa Padana. The transaction closed in June 2014 and follows the Italian securitisation law.

As of the March 2015 payment date, the transaction consisted of 2,205 loans extended to 2,120 borrowers. The loans were granted to individuals and commercial borrowers. The mortgage portfolio amounted to EUR 165.1 million and most of the properties underlying the mortgage loans are located in the regions of Lombardy (57.85%) and Veneto (28.03%).

The transaction has a low weighted-average current loan-to-value ratio of 47.79%. The portfolio is well seasoned with a weighted-average seasoning of 5.71 years and weighted-average remaining maturity of 13.63 years.

The transaction is performing within DBRS’s initial expectations. The 90+ delinquency ratio as a percentage of the performing balance of the portfolio increased over the year and it is currently at 0.30%. There are no defaulted loans to date.

The credit enhancement for the Class A Notes reached 24.96% in March 2015, up from 23.00% at rating in June 2014. Credit enhancement for the Class A Notes is mainly provided by the subordination of the Class B Notes. The reserve fund cannot amortise during the life of the transaction and is available to pay senior fees, interest on the Class A Notes and to cover any shortfall in principal of the Class A Notes up to 1.00%. The reserve fund is currently at the initial and target level of EUR 5.37 million.

BNP Paribas Securities Services SCA, Milan branch holds the Transaction Account for the transaction. The DBRS private rating of BNP Paribas Securities Services SCA, Milan branch complies with the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

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.

A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

The sources of information used for this rating include investor reports provided by Accounting Partners Srl. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

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 on the transaction since the Initial Rating Date.

Information regarding DBRS 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 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 loss given default (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 mortgages for the Issuer are 14.38% and 10.33%, respectively. At the A (sf) rating level, the corresponding PD is 33.77% and the LGD is 23.98%.
-- 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 A (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to fall to BBB (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to BBB (low) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (low) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (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: 6 June 2014
Initial Rating Committee Chair: Quincy Tang

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

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 (December 2014)
-- Master European Structured Finance Surveillance Methodology (April 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (January 2015)
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (January 2015)
-- Unified Interest Rate Model for European Securitisations (January 2013)

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.