DBRS Confirms Ratings to Consumer One S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed Consumer One S.r.l. (“the Issuer”) and confirms the ratings of the Class A Notes at AAA (sf).

The confirmation of the rating on the Class A Notes is based upon the following analytical considerations:
• Portfolio performance, in terms of defaults and delinquencies, as of the February 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
• 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 A Notes to cover the expected losses at the AAA (sf) rating level.

Consumer One S.r.l. is a securitisation of unsecured consumer loans extended to Italian obligors. The portfolio was originated and is serviced by Unicredit S.p.A. The structure included a 2-year revolving period terminated in November 2013. There were eligibility criteria and triggers to mitigate the potential portfolio performance deterioration. The transaction follows the standard structure under the Italian Securitisation Law and closed in August 2011.

The current pool is very granular and well diversified across Italy, with some concentrations in the regions of Lazio (15.86%), Sicily (13.76%), Piemonte (10.83%) and Lombardy (9.20%). Assets are represented by unsecured loans belonging to three different pools: personal loans (95.16%), auto loans (4.83%) and purpose loans (0.01%).
The portfolio is performing within DBRS initial expectations in terms of delinquencies and defaults. As per the February 2014 payment date, the 90+ delinquency ratio was 1.83%. The cumulative default rate showed an increasing trend over the life of the transaction, but it still relatively low at 2.88%.

The Class A Notes are supported by subordination of the Class B Notes and a non-amortising cash reserve of EUR 420.00 million. The Class A Notes credit enhancement (as a percentage of the performing portfolio balance) increased to 51.58% from 39.50% at rating in August 2011.
The cash reserve, currently equal to 13.07% of the aggregate balance of the Class A and Class B Notes, is at the initial and target level of €420.00mn.

Unicredit S.p.A. and BNP Paribas Securities Services, Milan branch are the account bank and additional account bank for the transaction, respectively. The DBRS private rating of Unicredit S.p.A. and BNP Paribas Securities Services, Milan branch are at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance. Additionally, the DBRS private rating of Unicredit S.p.A., acting as swap counterparty, complies with the current DBRS Derivative Criteria for European Structure Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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 payment reports, investor reports and servicer reports provided by Unicredit Bank AG, London branch and Unicredit S.p.A., respectively. 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 12 April 2014, when DBRS confirmed the ratings to the Class A 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 Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 10.00% and 95.00%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to be AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to fall to AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf), all else being equal.

Class A 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 AA (high) (sf).
• 50% increase in PD, expected rating of AA (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AA (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of AA (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of AA (low) (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: 12 August 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor
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.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.