DBRS Confirms Ratings on the Class A1 Notes and Class A2 Notes Issued by BPM Securitisation 2 S.r.l.

DBRS Ratings Limited (“DBRS”) has today confirmed the 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”). 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 Collections 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 Master Amendment Agreement modifying the agreements setting out the definitions of “Initial Amortisation Date”. Initially, the transaction was structured with a lock up period of 18 months, ending on the payment date falling on July 2013. Recent changes in the Italian tax scenario as outlined in Legislative Decree 138/2011 (as converted into law 148/2011) (the "Tax Legislation"), BPM is now anticipating the end of the lock-up period and commencement of principal redemption of the Notes on the payment date falling on January 2013.

Our analysis takes into account the impact of the amendment as well as the most recent performance history.

The sources of information used for these ratings include the parties involved in the rating, including the Originator and the Issuer.

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
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.