DBRS Upgrades Rating on Monviso 2014 S.r.l.

DBRS Ratings Limited (DBRS) has today upgraded to AAA (sf) from AA (high) (sf) its rating on the Class A notes issued by Monviso 2014 S.r.l. (the Issuer).

The rating action 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 June 2016 payment date.
-- Default, recovery and loss assumptions on the collateral pool.
-- Current available credit enhancement for the Class A notes to cover the expected losses at the AAA (sf) rating level.

Monviso 2014 S.r.l. is a securitisation of Italian unsecured consumer loan receivables granted to retail clients for financing the purchase of new vehicles (57.90%), used vehicles (7.79%) personal loans (24.83%) and other finalised loans (9.49%), originated and serviced by Consel S.p.A.

As of the June 2016 payment date, two- to three-month arrears and the 90+ delinquency ratio as a percentage of the performing receivables balance are at 0.17% and 0.10%, respectively, while any defaults have not occurred yet.

Credit enhancement for the Class A notes consists of subordination of the junior notes. It increased over the year to 68.13% from 35.00% at the end of the revolving period on the June 2015 payment date.

The transaction benefits from an amortising Cash Reserve funded through the proceeds of the Class J notes for an amount corresponding to 1% of the principal amount of the Class A notes, corresponding to EUR 2.4 million at closing. It is available to cover senior expenses and Class A interest. The Cash Reserve amount is at its target of EUR 988,074.77.

Bank of New York Mellon (Luxembourg) S.A. - Italian Branch (the Account Bank) holds the Treasury Account for the transaction. The DBRS public rating of the Account Bank at AA (low) 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”.

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

Other methodologies 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 investor reports provided by The Bank of New York Mellon and servicer reports provided by Consel S.p.A.

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 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 3 July 2015, when DBRS confirmed the rating of AA (high) (sf) on the Class A notes. The lead responsibilities for this transaction have been transferred to Antonio Di Marco.

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 transaction performance. Adverse changes to 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 for the Issuer are 8.90% (including sovereign stress) and 89.50% (including sovereign stress), respectively.
-- 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 AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A notes would be expected to remain at AAA (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 remain at AAA (sf).

Class A 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: Paolo Conti, Senior Vice President
Initial Rating Date: 18 June 2014
Initial Rating Committee Chair: Chuck Weilamann, Managing Director

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Diana Turner, Senior Vice President

DBRS Ratings Limited
20 Fenchurch Street
31st Floor
London, EC3M 3BY
United Kingdom
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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Unified Interest Rate Model for European Securitisations

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.