DBRS Confirms the Ratings on BPL Mortgages S.r.l., Series VI, Class A – 2013 Notes

DBRS Ratings Limited (“DBRS”) has today confirmed the A (sf) rating on the EUR 3,307.30 million Class A -2013 Asset Backed Floating Rate Notes due 2056 (“the Class A Notes” or “the Notes”) issued by BPL Mortgages S.r.l. (“the Issuer”). The rating on the Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the final Maturity Date in November 2056.

The rating actions reflect the 6 March 2013 downgrade of the Republic of Italy’s long-term foreign and local currency debt to ‘A’ (low) from ‘A’ with both ratings remaining on Negative trend (see press release “DBRS Correction: DBRS Downgrades Republic of Italy to A (low), Negative Trend”).

DBRS assigned a final rating of A (sf) on March 12, 2013 (please refer to DBRS Assigns Ratings to “BPL Mortgages S.r.l., Series VI, Class A - 2013 Notes”). To assign this rating, DBRS incorporated a review the impact of potential sovereign downgrades on the transaction, including in the analysis a scenario considering Republic of Italy at its current rating A (low). As a result, we are confirming the current rating on the Notes.

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 this rating are the same as used at closing. DBRS is concerned about the information available to it for the purposes of providing this rating. The source of our concern is the historical information provided for DBRS to determine the average annual default rate of corporate borrowers which is a key input parameter in DBRS analysis, and is derived by DBRS from information provided by BP and Creberg. The Originators provided limited historical default and delinquency information based on the notional amount and number of loans (which also included loans classified as “sofferenza”), but this did not match the definition and form that DBRS bases its analysis on.

However, the Originators did supply additional arrears information incorporating the notional in arrears as a dynamic running balance of their books. DBRS was therefore able to use this data to analyse the historical performance of the Originators. As a result, this data provided by BP and Creberg is considered to be of average quality and was adjusted for DBRS’s analysis to account for the quality of information. Overall, DBRS considers the other information available to it for the purposes of providing this rating was of satisfactory quality.

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

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.

The lead responsibilities for this transaction have been transferred to Alfonso Candelas.

Initial Lead Analyst: Mudasar Chaudhry
Initial Rating Date: 12/March/2013
Rating Committee Chair: Jerry Van Koolbergen

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry Van Koolbergen

Notes:
All figures are in euros unless otherwise noted.