DBRS Confirms the Ratings on the Notes Issued by BPM Securitisation 2 S.r.l. and Removes UR-Negative

DBRS Ratings Limited (“DBRS”) has today confirmed the AAA (sf) ratings on the EUR 341,000,000 Class A1 Notes and on the EUR 147,000,000 Class A2 Notes issued by BPM Securitisation 2 S.r.l. (“the Issuer”) and has removed them from Under Review with Negative Implications.

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”) which were originated by Banca Popolare di Milano S.c a.r.l. (the “Originator” or “BPM”). The ratings on the Rated Notes address the timely payment of principal and interest payable on or before the Final Maturity Date, on the Payment Date in July 2053.

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

BPM acts as the Originator and Servicer of the portfolio, and the Collection Account Bank. Deutsche Bank S.p.A. is the Italian Account Bank and Cash Manager, and Deutsche Bank AG, London Branch is the English Account Bank.

The rating actions reflect the 8 August 2012 downgrade of the Republic of Italy from A (high) Under Review Negative to A, Negative Trend, including the incorporation of a sovereign related stress component related to the A rating on trend Negative.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”, located at http://dbrs.com/research/239786.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originator, the Issuer and its agents.

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

For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at http://dbrs.com/research/235269.

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

Surveillance Analyst: Alfonso Candelas Bernal
Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 22 December 2011

Note:
All figures are in Euros unless otherwise noted.