DBRS Assigns AA (sf) Rating to Crediper Consumer S.r.l.

DBRS Ratings Limited (DBRS) assigned a AA (sf) rating to the Class A Notes (together with the unrated Class B Notes, the Notes) issued by Crediper Consumer S.r.l. (the Issuer).

The Notes are backed by a pool of receivables related to consumer loan contracts originated by BCC CreditoConsumo (CreCo or the Originator), a finance company within the Iccrea banking group in Italy.

The rating addresses the timely payment of interest and ultimate repayment of principal by the final maturity date.

The rating is based upon DBRS’s review of the following analytical considerations:
-- The transaction capital structure including the form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS’s expected defaults and recoveries under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A Notes according to the terms under which the Class A Notes have been issued.
-- The capabilities of the Originator with respect to originations, underwriting, servicing and financial strength.
-- The sovereign rating of the Republic of Italy, currently rated BBB (high) by DBRS.
-- The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, the presence of legal opinions that address the true sale of the assets to the Issuer and non-consolidation of the Issuer with the Originator.

The transaction cash flow structure was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating European Consumer and Commercial Asset-Backed Securitisations”.

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.

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: https://www.dbrs.com/research/333487/rating-sovereign-governments.

The sources of data and information used for this rating include performance data relating to the receivables provided by Iccrea Banca S.p.A, the sole arranger.

DBRS received historical gross default and recovery data relating to CreCo’s originations by quarterly vintages on a cumulative basis dating back to Q2 2011 and Q1 2012, respectively. Data was also provided relating to dynamic arrears and prepayments. A detailed summary and an amortisation schedule were provided for the portfolio selected by CreCo as at 9 November 2018 that allowed DBRS to further assess the collateral.

DBRS did 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 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.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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:

-- Expected default of 7.3%, a 25% and 50% increase.
-- Expected loss given default (LGD) of 72.5%: a 25% and 50% increase.

Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.

DBRS concludes that the expected ratings under the eight stress scenarios are:
-- A (high) (sf), A (sf), AA (low) (sf), A (sf), BBB (high) (sf), A (high) (sf), A (low) (sf), BBB (high) (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: Kevin Chiang, Senior Vice President, EU ABS – Global Structured Finance
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 18 December 2018

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators

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.