DBRS Confirms Ratings on Class A1 and Class A2 Notes of Voba N. 5 S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the following ratings on the Class A1 and Class A2 Notes (Class A Notes) issued by Voba N. 5 S.r.l. (the Issuer):

-- Class A1 Notes at AAA (sf),
-- Class A2 Notes at AAA (sf).

The confirmation of the ratings on the Class A Notes reflects an annual review of the transaction and is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the December 2016 payment date.
-- Portfolio default rate, loss given default rate and expected loss assumptions for the remaining collateral pool.
-- The current available credit enhancement to the Class A Notes to cover the expected losses at AAA (sf) rating level.

The Notes are backed by a portfolio of first-lien, fully amortising mortgage loans originated and serviced by Banca Popolare dell’Alto Adige S.p.A. (Volksbank). The Back-Up Servicer is Securitisation Services S.p.A.

As of the December 2016 payment date, the two-to three-month arrears and the 90+ delinquency ratio were at 0.30% and 0.19% of the performing collateral portfolio, respectively. The current gross cumulative default ratio is at 0.14% of the original collateral portfolio.

As of the December 2016 payment date, the credit enhancement to the Class A1 Notes was 95.0%, consisting of subordination of the Class A2 Notes, the collateralised portion of the Class J Notes and the reserve fund. The credit enhancement to the Class A2 Notes was 33.8%, provided by the subordinated collateralised Class J Notes and the Reserve Fund (RF). The amortising RF is available to cover any shortfall in senior fees and interest on the Class A Notes. The RF is currently at its EUR 5.9 million target level.

BNP Paribas Securities Services, Milan branch is the Account Bank of the transaction. The DBRS private rating on the Account Bank complies 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 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 for this rating include investor and payment reports provided by Securitisation Services S.p.A., servicer reports provided by Volksbank and loan-level 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 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.

The last rating action on this transaction took place on 15 January 2016, when DBRS confirmed the ratings on the Class A1 Notes and Class A2 Notes at AAA (sf).

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 lifetime base case probability of default (PD) and loss given default (LGD) for the pool 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 mortgages for the Issuer are 5.8% and 10.1%, respectively. At the AAA (sf) rating level, the corresponding PD is 28.0% and the LGD is 31.5%.
-- 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 ratings of the Class A1 and Class A2 Notes would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A1 Notes would be expected to be at AAA (sf) and the rating of the Class A2 Notes would be expected to be at A (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A1 Notes would be expected to be at AAA (sf) and the rating of the Class A2 Notes would be expected to be at A (high) (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 AA (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (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 regulations only.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 8 April 2014

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

-- 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
-- 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