Press Release

DBRS Upgrades 24-7 Finance S.r.l.’s Class A Notes Rating

RMBS
September 15, 2016

DBRS Ratings Limited (DBRS) has today upgraded the rating on the Class A Notes issued by 24-7 Finance S.r.l. to AA (low) (sf) from A (high) (sf).

The rating action reflects the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of 30 June 2016.
-- 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 assumed in line with the AA (low) (sf) rating level.

24-7 Finance is a securitisation collateralised by a portfolio of first lien residential mortgage loans originated and serviced by Banca 24-7 S.p.A. (Banca 24-7). The entity was the company of the Unione di Banche Italiane Group (UBI Banca) specialised in mortgage loans, personal loans, salary-backed loans and credit cards. In July 2012, Banca 24-7 merged into UBI Banca and the latter replaced Banca 24-7 under all its roles in the transaction.

The transaction follows the standard structure under the Italian securitisation law and closed in June 2008 with a Final Maturity Date falling in August 2055.

As of 30 June 2016, 90+ day arrears are currently 3.39% of the performing collateral balance. The current cumulative default ratio as a percentage of the initial portfolio is at 8.49%, up from 8.23% as of last annual review.

As of the August 2016 payment date, credit enhancement to the Class A Notes as a percentage of the performing collateral balance is 20.72%, up from 17.69% a year ago. The Liquidity Reserve, which provides liquidity support, is at its target of EUR 35.1 million whereas the Cash Reserve has been used and its current balance is zero.

The Bank New York Mellon (Luxembourg) S.A., Italian branch is the Account Bank for the transaction. The DBRS public rating on the Account Bank complies with the Minimum Institution Rating for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS’s “Legal Criteria for European Structured Finance Transactions”.

The DBRS private rating of J.P. Morgan Securities plc is above the First Rating Threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “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 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.

These 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 payment reports provided by The Bank of New York Mellon, servicer reports provided by UBI 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 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 previous rating action on this transaction took place on 17 September 2015, when the rating of the Class A Notes was confirmed at A (high) (sf).

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 19.38% and 9.67%, respectively. At the AA (low) (sf) rating level, the corresponding PD is 44.65% and the LGD is 27.49%.
-- 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 Series A Notes would be expected to be at AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Series A Notes would be expected to be at AA (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Series A Notes would be expected to fall to A (low) (sf).

Series A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Authority (“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: 27 July 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Quincy Tang, Managing Director

DBRS Ratings Limited
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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
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

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

Ratings

24-7 Finance S.r.l.
  • Date Issued:Sep 15, 2016
  • Rating Action:Upgraded
  • Ratings:AA (low) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKU
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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