DBRS Confirms Rating on Grecale ABS S.r.l. - Series 6

DBRS Ratings Limited (DBRS) has today confirmed its rating on the Class A notes issued by Grecale ABS S.r.l. - Series 6 (Grecale 6) at AAA (sf).

Today’s rating action follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies, defaults and losses.
-- The credit enhancement (CE) available to the Class A notes to cover the expected losses at the AAA (sf) rating level.

Grecale 6 closed in July 2009 and is a securitisation of first-lien Italian residential mortgages originated by UGF Banca S.p.A (also Unipol Banca S.p.A.). The transaction makes payments semi-annually and DBRS assigned an AAA (sf) rating to the Class A notes in May 2011.

PORTFOLIO PERFORMANCE
The portfolio is performing within DBRS’s expectations. As of 30 September 2016, the loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance excluding defaulted loans were at 0.78%, up slightly from 0.76% 12 months earlier. The cumulative default as a percentage of the collateral pool balance at the transaction’s closing increased to 6.58% from 6.05% 12 months earlier. DBRS has maintained the transaction’s Portfolio Default (PD) and Loss Given Default (LGD) rate assumptions at the AAA (sf) rating level at 30.89% and 33.93%, respectively, in this review.

CREDIT ENHANCEMENT
As the transaction continues to deleverage, the CE available to the Class A notes has increased to 34.88% as of the October 2016 payment date. The source of CE is the subordination of the Class B notes net of the Principal Deficiency Ledger’s outstanding balance.

The Bank of New York Mellon, London Branch, (BoNY London) acts as the Account Bank for the transaction. BoNY London’s current DBRS Deposits & Senior Debt rating is AA and meets the Minimum Institution Rating criteria, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology given the AAA (sf) rating assigned to the Class A notes.

UBS Limited is the swap counterparty to the transaction with UBS AG acting as the swap guarantor. UBS Limited’s DBRS private rating meets the rating requirement given the rating assigned to the Class A notes, as described in DBRS’s “Derivative 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 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 the investor report from the Bank of New York Mellon Corporation and the loan-by-loan data from 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 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 18 March 2016, when DBRS confirmed the AAA (sf) rating on the Class A notes.

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):

-- At the AAA (sf) rating level, the Base Case PD and LGD assumptions for the collateral pool are 30.89% and 33.93%, respectively.

-- The Risk Sensitivity overview below illustrates the rating 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 A 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 A 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 A notes would be expected to be at AAA (sf).

Class A 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: Vito Natale, Senior Vice President
Initial Rating Date: 10 May 2011

DBRS Ratings Limited
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United Kingdom
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
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria 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.