DBRS Upgrades Rating On Dominato Leonense S.r.l.

DBRS Ratings Limited (DBRS) has today upgraded the rating on the Class A Notes issued by Dominato Leonense S.r.l. (the Issuer) to AA (low) (sf) from A (high) (sf).

This rating action reflects an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults, as of the March 2017 payment date.
-- Probability of default (PD) rate, loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
-- Current available credit enhancement (CE) to the Class A Notes to cover expected losses at AA (low) (sf).

Dominato Leonense S.r.l. is a securitisation of prime Italian residential mortgage loans, the majority of which were originated by Cassa Padana – Banca di Credito Cooperativo (Cassa Padana). 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.

PORTFOLIO PERFORMANCE
The performance of the collateral portfolio is within DBRS’s expectations. As of the March 2017 payment date, 30- to 60-day delinquencies were 0.28% of the outstanding performing balance, 60- to 90-day delinquencies were 0.17% and delinquencies greater than 90 days were 0.24%.There are no defaulted loans to date.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining pool and updated its base case PD and LGD assumptions on the outstanding portfolio to 9.75% and 15.56%, respectively.

CREDIT ENHANCEMENT
CE for the Class A Notes is provided by the subordination of the junior obligations. CE for the Class A Notes increased to 34.89% in March 2017 from 23.0% at closing. The transaction benefits from a non-amortising Cash Reserve to cover senior fees and the interest due on the Class A Notes and Class B Notes. This EUR 5.4 million reserve is funded through a limited recourse loan provided by Cassa Padana and has been at its required balance since closing.

BNP Paribas Securities Services, Milan Branch acts as the Account Bank for the transaction. DBRS’s private rating of BNP Paribas Securities Services, Milan Branch complies with the minimum institution rating given the ratings 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 to the rating 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 legal documents was not conducted as the legal 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.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the 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 data and information used for this rating include investor provided by Accounting Partners S.r.l. (the Computation Agent), servicer reports by Cassa Padana and loan-level data by the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 3 June 2016, when DBRS upgraded the rating on the Class A Notes to A (high) (sf) and removed the Under Review-Positive status.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 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 9.75% and 15.56%, respectively. At the AA (low) (sf) rating level, the corresponding PD is 27.77% and the LGD is 25.71%.

-- 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 A Notes would be expected to remain at AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to remain at AA (low) (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating on the Class A Notes would be expected to remain at AA (low) (sf).

Class 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 AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

For further information on DBRS historical 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.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 6 June 2014

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- 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

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.