DBRS Rates Berica ABS 2 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a final rating of AAA (sf) to the Class A1 and Class A2 issued by Berica ABS 2 S.r.l. (“Berica ABS 2”). Berica ABS 2 issued two classes of mortgage-backed floating rate notes (“Class A1 and Class A2”). The Class A1 and A2 notes are backed by mainly floating rate, first lien, fully amortising mortgage loans mainly originated in the regions of Veneto, Tuscany, Sicily, Friuli Venezia Giulia and Lombardia. The originators and servicers of this transaction are Banca Popolare di Vicenza S.c.p.a and Banca Nuova S.p.a., both part of Banca Popolare di Vicenza Group (BPVi).

The ratings are based upon DBRS review of the following analytical considerations:
• Transaction capital structure and form and sufficiency of available credit enhancement.
• Credit enhancement is in the form of subordination and potentially excess spread.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
• Incorporation of a sovereign related stress component in our stress scenario due to the downgrade by DBRS of the Republic of Italy’s to ‘A’ - Negative Trend.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, an analysis of loan default data, a Italian housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS assessed the two year probability of default, utilising BPVi’s definition of defaults (sofferenze) as defined by the Bank of Italy.

Note:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. 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”.

The sources of information used for this rating include working papers and data on the Italian economy and housing market provided by: International Monetary Fund, World Bank, OECD, ECB, Eurostat, Bank of Italy and Nomisma. DBRS conducted an operational review on the origination and servicing practices of BPVi. BPVi provided loan-level data and historical performance of mortgage portfolio dating back to 2004. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is a newly created financial instrument.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document.

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

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 17 December 2012