DBRS Confirms Class A Notes Issued by Carismi Finance S.r.l. at A (high) (sf)
Structured CreditDBRS Ratings Limited (DBRS) has today confirmed its A (high) (sf) rating on the €252,363,743.22 Class A Notes (the Notes) issued by Carismi Finance S.r.l. (the Issuer).
The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian small and medium-sized enterprises (SMEs), entrepreneurs, artisans and self-employed individuals, which were granted by Cassa di Risparmio di San Miniato (Carismi or the Originator).
The rating on the Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date.
The rating action reflects an annual review of the transaction. The composition of the portfolio has not deteriorated since closing, and the transaction performance is in line with DBRS’s expectations. This transaction closed in July 2014 and includes an 18-month reinvestment period during which principal cash flows are being used to acquire new loans according to certain conditions and limitations (subject to a Replenishment Criteria). In addition, the Revolving Period will end if certain performance conditions are breached (Purchase Termination Events).
The transaction pays semi-annually, and at the first payment date (the February Payment Date), €56.7 million of new loans were bought and €2.6 million are being held in the accumulation account to be utilised for the purchase of additional portfolio loans at a later date.
Cumulative Impairment and Default Ratio, as defined in the transaction, was at 0.20%, far from the trigger level that would have ended the reinvestment period at that payment date (4%).
There were €236,267.82 of defaulted claims, and as stated in the transaction legal documents, the Notes have amortised in the same amount.
Notes:
All figures are in euros unless otherwise noted.
The principal methodology applicable is Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs), which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies.
DBRS 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 the documents have remained unchanged since the most recent rating action.
Other methodologies and criteria referenced in this transaction are listed at the end of this press release. This may 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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.
The sources of information used for this rating include Carismi Finance S.r.l., Zenith Service S.p.A. and data from the European DataWarehouse GmbH.
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 considers the information made available to it for the purposes of providing this rating to have been 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 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):
-- Probability of default (PD) rates used: base-case PD of 4.15%, a 10% and 20% increase in the base-case PD.
-- Recovery rates used: base-case recovery rates, corresponding to a recovery rate of 37.7% at the A (high) (sf) stress level, a 10% and 20% decrease in the base-case recovery rates.
DBRS concluded that a hypothetical increase of the Base Case PD by 20% would cause a downgrade of the Class A Notes to A (low) (sf). A decrease in the recovery rate assumption by 20% would cause a downgrade of the Class A Notes to A (low) (sf). A scenario combining an increase in the PD by 10% and a decrease in the recovery rate assumption by 10% would cause a downgrade of the Class A Notes to A (low) (sf).
For further information on DBRS’s 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: Mudasar Chaudhry
Initial Rating Date: 8 July 2014
Initial Rating Committee Chair: Jerry Van Koolbergen
Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry Van Koolbergen
DBRS Ratings Limited
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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
-- Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
A description of how DBRS analyses structured finance transactions and how its methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.
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