DBRS Takes Rating Actions on Notes Issued by CR VOLTERRA 2 SPV S.r.l.

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the notes issued by CR VOLTERRA 2 SPV S.r.l. (CRV 2 or the Issuer):

-- Class A (2013) notes confirmed at A (sf),
-- Class A (2016) notes confirmed at A (sf), (together with the Class A (2013) notes, the Class A notes),
-- Class M (2016) notes upgraded to BBB (high) (sf) from BBB (sf).

The rating actions on the notes reflect an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the May 2017 payment date.
-- Portfolio default rate, loss given default (LGD) and expected loss assumptions for the remaining collateral portfolio.
-- Current available credit enhancement (CE) for the Class A and the Class M (2016) notes to cover the expected losses at the A (sf) and BBB (high) (sf) rating levels.

CRV 2 is a securitisation of Italian residential mortgage loans originated and serviced by Cassa di Risparmio di Volterra S.p.A. (CR Volterra). The transaction closed in July 2013 when the Class A (2013) notes were issued. In July 2016, the transaction was restructured to include a further portfolio of first-lien and second-lien mortgages secured over properties located in Italy and to issue two additional classes of notes, the Class A (2016) and Class M (2016) notes. In the context of the restructuring, defaulted receivables and 60+ day arrears were repurchased by CR Volterra.

PORTFOLIO PERFORMANCE
The portfolio is performing within DBRS’s expectations. As of the May 2017 payment date, the 90+ delinquency ratio has been stable over the year and it is currently at 1.13% of the collateral portfolio. The current cumulative default ratio (as a percentage of the aggregate original portfolio balance) stands at 0.03%.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining pool and updated the PD and LGD assumptions on the remaining collateral pool. At the A (sf) rating level, the PD and LGD assumptions including the sovereign adjustment are 31.00% and 35.29%, respectively. At the BBB (high) (sf) rating level, the PD and LGD assumptions including the sovereign adjustment are 27.69% and 32.85%, respectively.

CREDIT ENHANCEMENT
The CE available to the Class A notes and to the Class M notes has increased over the year as the transaction continues to deleverage. The current CE consisting of the overcollateralisation provided by the performing pool stands at 19.59% for the Class A notes and 13.96% for the Class M notes, up from 16.78% and 11.82%, respectively, as of last year at the transaction restructuring. The transaction benefits from an amortising Cash Reserve which is available to cover senior fees and interest shortfall on the rated notes (currently at its target level of EUR 6.3 million) and a non-amortising Commingling Reserve which can be used in case of Servicer disruption to cover senior fees and interest shortfall on the rated notes (currently at its target level of EUR 4.4 million).

BNP Paribas Securities Services, Milan branch acts as Account Bank for the transaction. DBRS’s private rating of the Account Bank 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: “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 these ratings include a servicer report provided by CR Volterra, a payments and investors report provided by Securitisation Services S.p.A. and loan-by-loan data from 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 these ratings to be of satisfactory quality.

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

This is the first rating action on the Class A (2016) and Class M (2016) notes since the Initial Rating Date.
The last rating action on the Class A (2013) notes took place on 8 August 2016 when they were confirmed at A (sf).

The lead analyst responsibilities for this transaction have been transferred to Antonio Di Marco.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 to the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a Base Case probability of default (PD) and loss given default (LGD) for the portfolio 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 pool of mortgages of the Issuer are 12.79% and 25.43%, respectively. At the A (sf) rating level, the corresponding PD is 31.00% and the LGD is 35.29%. At the BBB (high) (sf) rating level, the corresponding PD is 27.69% and the LGD is 32.85%.
-- 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 (2013) notes would be expected to be downgraded to BBB (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A (2013) notes would be expected to be downgraded to BB (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A (2013) notes would be expected to be downgraded to BB (high) (sf).

Class A (2013) notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Class A (2016) notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Class M (2016) notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (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 and US regulations only.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date for the Class A (2013) notes: 31 July 2013
Initial Rating Date for the Class A (2016) and Class M (2016) notes: 8 August 2016

DBRS Ratings Limited
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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

-- Unified Interest Rate Model for European Securitisations
-- 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

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