DBRS Assigns Ratings to the Class A, Class B and Class C Notes issued by Impresa ONE S.r.l.

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the EUR 5,156,100,000 Class A Asset Backed Floating Rate Notes (the “Class A Notes”), a rating of A (sf) to the EUR 1,207,700,000 Class B Asset Backed Floating Rate Notes and a rating of BBB (sf) to the EUR 836,100,000 Class C Asset Backed Floating Rate Notes issued by Impresa ONE S.r.l. (the “Issuer”). The Issuer is a limited liability company incorporated under the laws of Italy. The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian Small and Medium Sized Enterprises (“SMEs”) originated by UniCredit S.p.A. (“UniCredit”). The rating on the Class A Notes addresses the timely payment of principal and interest payable on or before the Maturity Date on 31 October 2054. The ratings on the Class B and Class C Notes address the ultimate payment of principal and interest payable on or before the Maturity Date. DBRS does not rate the EUR 2,090,400,000 Class D Notes (the “Class D Notes”). The Class A, Class B and Class C Notes together are referred to as the “Rated Notes”. The Rated Notes and the Class D Notes together are referred to as the “Bonds”.

The transaction portfolio consists of 63,624 loans extended to 55,808 separate borrowers. On the Issue Date, the par balance of the portfolio is EUR 9,290.3 million, which is funded by the aggregate issuance of the Bonds. The Cash Reserve consists of the Interest Cash Reserve and the General Cash Reserve. The Initial Cash Reserve Amount is EUR 232,300,000 and has been financed on the Issue Date through the proceeds from the Cash Reserve Subordinated Loan, which has been provided by the London branch of UniCredit. The Initial Interest Cash Reserve Amount is EUR 185,840,000 and the Initial General Cash Reserve Amount is EUR 46,460,000. UniCredit acts as the Servicer and Originator of the portfolio, Hedging Counterparty and Italian Account Bank.

The ratings of the Rated Notes are based upon DBRS’ review of the following considerations:
• Transaction structure, the form and sufficiency of available credit enhancement, the portfolio characteristics and the cash trapping mechanisms.
-- Credit enhancement is in the form of overcollaterisation and a Cash Reserve financed by a subordinated loan.
-- The Rated Notes credit enhancement is equal to the sum of (i) the asset overcollateralisation of the specific Note in question and (ii) the Cash Reserve Amount. In addition, the interest trapping mechanism of the Principal Deficiency Ledgers and the Notes Trigger Events provide extra support for the Rated Notes.
---- The overcollateralisation is the amount by which the balance of the collateral exceeds the notional of the Note in question and the sum of such Note and all those senior to it. At the Issue Date, this amount is equal to the following for the Rated Notes:
------ Class A Notes: EUR 4,134.2 million.
------ Class B Notes: EUR 2,926.5 million
------ Class C Notes: EUR 2,090.4 million
---- The credit enhancement for the Rated Notes enables them to return the scheduled principal and interest payments under projected default and recovery scenarios. At the Issue Date the credit enhancement of the Rated Notes is equal to:
------ Class A Notes: EUR 4,366.5 million
------ Class B Notes: EUR 3,158.8 million
------ Class C Notes: EUR 2,322.7 million
---- Along with the other credit support mechanisms, these credit enhancement levels are sufficient for the ratings assigned to the Rated Notes.
-- The Cash Reserve is funded at the close of the transaction through the issuance of the Cash Reserve Subordinated Loan granted by UniCredit. The balance of the Cash Reserve is EUR 232.3 million and is divided into two portions, the Interest Cash Reserve and the General Cash Reserve, with the balance of the former being EUR 46.46 million and the balance of the latter being EUR 185.84 million.
---- The Interest Cash Reserve can be used to pay any unpaid items in the Pre-Trigger Interest Priority of Payments that are, in summary, the fees and hedge payments that are paid senior in the Interest Priority of Payments and the interest due and payable to the Rated Notes. It can only be used to cover principal shortfalls at the end of the transaction.
---- The General Cash Reserve is available to cover any shortfalls.
---- The Cash Reserve does not amortise over the transaction.
-- There are four Principal Deficiency Ledgers corresponding to the Class A, Class B, Class C and Class D Notes, that prevent Interest Proceeds from being paid to more junior Notes if the Principal Deficiency Ledger Amount for the specific Note is greater than zero. In these cases, the Interest Proceeds are diverted to the Principal Priority of Payments until sufficient balances of the Rated Notes have been paid down such that the Principal Deficiency Ledger Amount is equal to zero.
-- In addition, there are three Notes Trigger Events that divert all the remaining Interest Proceeds to the Principal Priority of Payments if the Notes Trigger Event has occurred, which is when the Outstanding Principal of all Defaulted Receivables is greater than or equal to the relevant balances below:
---- Class B: EUR 3,158.7 million
---- Class C: EUR 2,136.8 million
---- Class D: EUR 464.5 million
-- These levels correspond to 34%, 23% and 5% of the Initial Portfolio Initial Outstanding Principal Amount.
• The Issuer has entered into two hedging contracts, an Interest Rate Swap and a Basis Swap.
-- Under the Basis Swap, the Issuer pays the reference index proportion of the Interest Proceeds from the floating rate collateral and receives the 3 month EURIBOR rate that has been set as the reference index level for the next interest payment of the Bonds.
-- Under the Interest Rate Swap, the Issuer pays 2.065% per annum and receives the same Bond 3 month EURIBOR rate as described above.

• Over the life of the transaction, UniCredit, as the Servicer, has the authority to modify the loans in the portfolio, depending on the situation of the borrower. The Servicer would do this if, in its judgment, it would most likely get a more favorable outcome than if no relief were offered. These modifications, or renegotiations, include reductions in interest rates, payment holidays and switching from fixed to floating interest rates at a lower level. However, these renegotiations will, in general, be disadvantageous to the Issuer in the short term, leading to a Renegotiation Loss, even if they produce a better overall outcome in the long term. To compensate the Issuer for these losses, the Issuer has entered into a Renegotiation Reserve Subordinated Loan Agreement with UniCredit for an amount up to EUR 190.0 million, which will be used to compensate the Issuer for such Renegotiation Losses.

• In addition to the renegotiations outlined above, the Servicer can also modify a loan in such a way as to increase the repayment period. Such modifications are not covered by the Renegotiation Reserve Subordinated Loan.

• Review of the legal structure, operational capabilities of key transaction participants, eligibility criteria and reinvestment criteria.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. Interest and principal payments on the Notes will be made quarterly, generally on the last day of January, April, July and October. The first payment date will be 31 January 2012.

• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The principal methodology is “Master European Granular Corporate Securitisations (SME CLOs)”, which can be found on our website under Methodologies.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to Impresa ONE S.r.l. and UniCredit S.p.A.

DBRS considers the information available to it for the purposes of providing this rating was of average quality. DBRS adjusted its analysis to account for the quality of information provided. The source of our concern is the historical information provided for DBRS to determine the average annual default rate for corporate borrowers. The average annual default rate for corporate borrowers is a key input parameter in DBRS analysis, and is derived by DBRS from information provided to it by UniCredit. UniCredit provided historical default and delinquency information based on the notional amount of loans in its portfolio. UniCredit also supplied default data based on the number of loans but this did not match the definition and form that which DBRS bases its analysis on. DBRS requests that such information is provided based on the number of loans, and not the notional amount of loans. Historical default and delinquency information provided by the notional could positively skew average annual default rate statistics due to the potential positive impact from large notional corporate borrowers, which generally have lower default rates. DBRS observes that default rates provided by notional amount could be between 1.5 to 3.0 times the default rates provided by number of loans when compared with identical data, but recognizes that such differences are originator and portfolio dependent.

In addition, the definition of default in the Italian market is at least 180 days in arrears as opposed to the European Central Bank standard of 90 days. The UniCredit data reflected this standard.

However, UniCredit did supply additional arrears information incorporating both the notional and the number of loans in arrears. DBRS was therefore able to use this data to analyse the historical performance of UniCredit. As a result, the data provided by UniCredit is considered to be of average quality. Aside from the data quality issue with regards to the calculation of the average annual default rate, DBRS considers the other information available to it for the purposes of providing this rating was of satisfactory quality.

Further information on DBRS’ analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Disclosure Requirements, located at http://www.dbrs.com/research/237794.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 20 October 2011

Note:
All figures are in Euros unless otherwise noted.