DBRS Confirms Ratings on Class A1 and A2 Notes Issued by Quadrivio RMBS 2013 S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the AAA (sf) ratings on the Class A1 Notes and Class A2 Notes (collectively, the Notes) issued by Quadrivio RMBS 2013 S.r.l. (Quadrivio 2013).

The confirmations are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults.
-- Probability of default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining collateral pool.
-- The credit enhancement (CE) available to the rated Notes to cover the expected losses at the AAA (sf) rating level.

Quadrivio 2013 closed in August 2013 and is a securitisations of Italian first-lien prime residential mortgages originated and serviced by Credito Valtellinese S.C. (rated BBB (low)/R-2 (low), both with Negative trends, by DBRS), Cassa di Risparmio di Fano S.p.A. and Credito Siciliano S.p.A.

The transaction is performing within DBRS’s expectations. As of 30 September 2016, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance remained low at 1.06%, down from 1.45% 12 months prior. The cumulative default ratio, at the same time, was 3.12% of the initial collateral balance at the transaction closing, up from 1.79% 12 months prior. The weighted-average loan-to-value ratio on the remaining collateral pool has decreased to 47.75%. DBRS has updated the base case PD assumption to 4.27% from 5.88% and LGD assumption to 5.12% from 8.41% for the remaining collateral pool.

The CE available to the Notes has increased as the transaction continues to repay. The CE is provided through the subordination of the junior notes. As of the October 2016 payment date, the CE available to the Class A1 Notes and Class A2 Notes were 78.84% and 46.55%, respectively.

Deutsche Bank AG, London Branch, is the English Account Bank and Barclays Bank PLC, Milan Branch, is the Depositary Account Bank to the transaction. Both entities have DBRS private ratings that meet the Minimum Institution Rating criteria, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, given the AAA (sf) ratings assigned to the Notes.

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 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 information used for this rating include the investor reports from Securitisation Services S.p.A., and the loan-by-loan data from 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 to be 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 last rating action took place on 17 November 2015, when DBRS confirmed the Notes at AAA (sf) and removed them from Under Review with Negative Implications.

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 to the parameters used to determine the rating (the Base Case):

-- The Base Case PD and LGD assumptions for the remaining collateral pool are 4.27% and 5.12%, respectively. At the AAA (sf) rating level, the corresponding PD is 27.30% and the LGD is 25.40%.

-- 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 A1 Notes would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A1 Notes would be expected to be at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A1 Notes would be expected to be at AAA (sf).

Class A1 Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class A2 Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (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: Kevin Ma, Assistant Vice President
Rating Committee Chair: Quincy Tang, Managing Director
Initial Rating Date: 16 August 2013

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 analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375