DBRS Confirms Civitas SPV S.r.l – Series 2017-1

DBRS Ratings Limited (DBRS) confirmed its ratings on the notes issued by Civitas SPV S.r.l – Series 2017-1 (the issuer) as follows:
-- Class A1 Notes confirmed at AA (sf)
-- Class A2 Notes confirmed at AA (sf)
-- Class B Notes confirmed at BBB (low) (sf)

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- The overall portfolio performance, in terms of level of delinquencies and cumulative net losses, as of April 2018 payment date;
-- No purchase termination events have occurred;
-- The current respective levels of credit enhancement (CE) available to the notes to cover expected losses assumed in line with their respective rating levels.

The ratings of the Class A1 and Class A2 Notes (Class A Notes) address timely payment of interest and ultimate repayment of principal by the legal maturity in October 2070.

The rating of the Class B Notes addresses ultimate payment of interest and repayment of principal by the legal maturity in October 2070.

The issuer is a securitisation of first lien Italian residential mortgages originated and serviced by Banca Popolare di Cividale ScpA (BP Cividale). The transaction closed on 19 July 2017.

PORTFOLIO PERFORMANCE
As of the April 2018 payment date, 30-day to 60-day delinquencies represented 0.03% of the outstanding principal balance while the balance of loans between 60 and 90 days delinquent was 0.04%. No loans have been classified as defaulted.

REVOLVING PERIOD
The transaction structure allows for additional portfolios to be purchased during a revolving period of three years. Additionally, the notes may be increased in size simultaneously such that credit enhancement does not decrease. There are concentration limits and purchase termination events in place to mitigate potential portfolio performance deterioration during the revolving period, allowing for amortisation to begin earlier than scheduled. To date, all tests have been passed.

CREDIT ENHANCEMENT
CE is provided primarily by the subordination of the respective junior obligations. CE for the Class A Notes increased to 23.7% in April 2018 from 22.4% at closing; and CE for the Class B Notes increased to 14.6% from 13.7%. This has increased slightly through the trapping of excess spread.

BNP Paribas Securities Services SCA, Milan Branch is the account bank for the transaction. DBRS’s private rating of BNP Paribas Securities Services SCA, Milan Branch is consistent 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 to the ratings 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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include investor reports provided by Securitisation Services SpA (the calculation agent) and loan-level data from the European Data Warehouse 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 since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Matt Albin.

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 these ratings, 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 current pool of receivables are 18.0% and 27.1%, respectively.

For example, if the LGD increases by 50%, the ratings of the Class A Notes would be expected to decrease to A (low) (sf), ceteris paribus. If the PD increases by 50%, the ratings of the Class A Notes would be expected to decrease to BBB (high) (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the ratings of the Class A Notes would be expected to decrease to BB (high) (sf), ceteris paribus.

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Class B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (sf)
-- 50% increase in PD, expected rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of below B (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: Matt Albin, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 19 July 2017

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.

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Interest Rate Stresses 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.