DBRS Confirms Ratings on Berica ABS S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed Berica ABS S.r.l. (the “Issuer”) and confirmed the following ratings:

• Class A1 Notes at AAA (sf)
• Class A2 Notes at AAA (sf).

Confirmation of the ratings for the Class A1 and the Class A2 Notes is based upon the following analytical considerations, as described more fully below:

• Portfolio performance, in terms of delinquencies and defaults, as of the December 2013 payment date.
• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool.
  -Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance given the long-term foreign and local currency rating of ‘A’ (low) for the Republic of Italy.
• Current available credit enhancement to the Class A1 and the Class A2 Notes to cover the expected losses at the AAA (sf) rating level.

Berica ABS S.r.l. is a securitisation of a portfolio of Italian first lien mortgage loans originated and serviced by Banca Popolare di Vicenza S.c.p.a. and Banca Nuova S.p.A. Banca Popolare di Vicenza also acts as Master Servicer for the deal. The transaction follows the standard structure under the Italian Securitisation Law and closed in December 2011.

The portfolio is well-seasoned (4.5 years), homogeneously distributed across Italy and only 7.41% of the original mortgage portfolio was exposed to loans originated in the 2006 and 2007 vintages.

As of the December 2013 payment date, the current 90+ delinquency ratio as a percentage of the performing balance of the portfolio was 2.47%. This ratio increased from 0.76% since closing in December 2011. The current cumulative default ratio as a percentage of the original balance was low at 0.72%.

The Class A1 Notes are supported by subordination of the Class A2 and the Class B Notes, while the Class A2 Notes are supported by subordination of the Class B Notes. The credit enhancement for the Class A1 (as a percentage of the performing collateral balance) increased from 37.00% to 42.02% since closing in December 2011. The credit enhancement for the Class A2 Notes increased from 28.6% to 32.09% over the same period.

An amortising cash reserve of EUR 51.00 million was set up at the transaction close. The cash reserve was initially equal to 4.8% of the Class A1 and the Class A2 Notes balance but after the termination of the lock-up period (March 2013 payment date) it started to amortise at an amount equal to 3.5% of the Class A1 and the Class A2 Notes balance. The cash reserve is replenished before the principal payment on the Class A Notes, which means that it only covers interest payments on the Class A1 and the Class A2 Notes and gives liquidity support to the transaction. The cash reserve is at the current target level of EUR 27.12 million. Additionally, the transaction benefits from a commingling risk deposit which mitigates commingling risk. This account is held by Barclays Bank, Milan branch and currently amounts to EUR 7.00 million.

Deutsche Bank AG, London branch is the account bank for this transaction. The DBRS private rating of Deutsche Bank AG, London branch is at least equal to the Minimum Institution Rating given the rating assigned to the Class A1 and the Class A2 Notes, as described in the DBRS Legal Criteria for European Structured Finance. Additionally, J.P. Morgan Securities plc acts as swap counterparty for the transaction. The private rating of J.P. Morgan Securities plc complies with the DBRS Derivative Criteria. JPMorgan Chase Bank N.A. is the guarantor for the obligations of JPMorgan Securities plc under the hedging agreement.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Deutsche Bank S.p.A. and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 4 April 2013, when DBRS confirmed the ratings on the Class A1 and the Class A2 Notes at AAA (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The base case PD and LGD of the current pool of mortgages for the Issuer are 7.76% and 9.78%, respectively. At the AAA (sf) rating level, the corresponding PD is 31.01% and the LGD is 34.63%.
• The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A1 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A1 Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating of the Class A1 Notes would be expected to remain at AAA (sf).

Class A1 Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class A2 Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 20 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 4 April 2013

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Derivative Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Unified Interest Rate Model for European Securitisations