Class A Notes at
Class
Class
Class
Class
Class
The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date in
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
Portfolio performance, in terms of delinquencies, defaults, and losses, as of the
Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
Current available credit enhancement to the Class A to Class
The transaction is a securitisation of Italian consumer loan receivables originated and serviced by Creditis Servizi Finanziari S.p.A. (Creditis). The transaction closed in
PORTFOLIO PERFORMANCE
As of
PORTFOLIO ASSUMPTIONS AND
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and maintained its base case PD and LGD assumptions at 3.3% and 70.0%, respectively.
CREDIT ENHANCEMENT
The subordination of the respective junior obligations and, in the case of the Class A Notes, the cash reserve provides credit enhancement to the rated notes. As of the
The Class
The transaction benefits from liquidity support provided by an amortising cash reserve available to cover senior expenses and interest payments on the Class A and Class
ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
DBRS Morningstar analysed the transaction structure in Intex DealMaker.
Notes:
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the 'Master European Structured Finance Surveillance Methodology' (19 May 2022).
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.
DBRS Morningstar 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 consider potential portfolio migration based on 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.
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 Morningstar Credit Ratings' of the 'Global Methodology for Rating Sovereign Governments' at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.
The DBRS
The sources of data and information used for these ratings include investor reports provided by BNP Paribas Milan, servicer reports provided by Creditis, and loan-level data provided by the
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar 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
The lead analyst responsibilities for this transaction have been transferred to
Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.
Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the base case):
DBRS Morningstar expected a lifetime base case PD and 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 loans for the Issuer are 3.3% and 70.2%, respectively.
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 of the Class A Notes would be expected to fall to AA (high) (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to A (high) (sf).
Class A Notes Risk Sensitivity:
25% increase in LGD, expected rating of AA (high) (sf)
50% increase in LGD, expected rating of AA (high) (sf)
25% increase in PD, expected rating of AA (sf)
50% increase in PD, expected rating of AA (low) (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)
Class B Notes Risk Sensitivity:
25% increase in LGD, expected rating of AA (sf)
50% increase in LGD, expected rating of AA (sf)
25% increase in PD, expected rating of AA (low) (sf)
50% increase in PD, expected rating of A (high) (sf)
25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
Class
25% increase in LGD, expected rating of A (low) (sf)
50% increase in LGD, expected rating of A (low) (sf)
25% increase in PD, expected rating of A (low) (sf)
50% increase in PD, expected rating of BBB (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 (high) (sf)
50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
Class D Notes Risk Sensitivity:
25% increase in LGD, expected rating of BBB (sf)
50% increase in LGD, expected rating of BBB (sf)
25% increase in PD, expected rating of BBB (sf)
50% increase in PD, expected rating of BBB (low) (sf)
25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)
Class E Notes Risk Sensitivity:
25% increase in LGD, expected rating below B (sf)
50% increase in LGD, expected rating below B (sf)
25% increase in PD, expected rating below B (sf)
50% increase in PD, expected rating below B (sf)
25% increase in PD and 25% increase in LGD, expected rating below B (sf)
25% increase in PD and 50% increase in LGD, expected rating below B (sf)
50% increase in PD and 25% increase in LGD, expected rating below B (sf)
50% increase in PD and 50% increase in LGD, expected rating below B (sf)
Class X Notes Risk Sensitivity:
25% increase in LGD, expected rating below B (sf)
50% increase in LGD, expected rating below B (sf)
25% increase in PD, expected rating below B (sf)
50% increase in PD, expected rating below B (sf)
25% increase in PD and 25% increase in LGD, expected rating below B (sf)
25% increase in PD and 50% increase in LGD, expected rating below B (sf)
50% increase in PD and 25% increase in LGD, expected rating below B (sf)
50% increase in PD and 50% increase in LGD, expected rating below B (sf)
For further information on DBRS Morningstar historical default rates published by the
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