DBRS Confirms the Rating on Valsabbina SPV 1 S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed Valsabbina SPV 1 S.r.l. (the “Issuer”) and confirms the rating on 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 delinquencies, as of the April 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.

The Issuer is a securitisation of Italian residential mortgage loans originated and serviced by Banca Valsabbina S.c.p.a. (“Valsabbina”). The portfolio is concentrated in the Italian region of Lombardy (95.67% of the current balance) with 92.67% in the province of Brescia, the location of Valsabbina’s home office. The pool is well seasoned (5.67 years) with a low weighted average current LTV (50.84%).

As of the April 2014 payment date, the current 90+ delinquency ratio as a percentage of the performing balance of the portfolio was 2.78%. The reported cumulative default percentage was 0%. The servicer has notified DBRS that loans have been repurchased from the Issuer at the time a borrower reaches 7 months in arrears. As defined in the Servicing Agreement, the servicer is permitted to repurchase 7.00% of the original balance portfolio. Cumulative repurchases to date are reported to be 1.71%.

The Class A Notes are supported by subordination of the Class B Notes. The credit enhancement to the Class A Notes (as a percentage of the performing collateral balance) is currently 43.00% versus the original value of 29.93%. Additionally, liquidity to the Class A Notes is supported by an amortising Cash Reserve. The Cash Reserve (currently at the target balance of EUR 9,480,948) has a target amount equal to the higher of 7.14% of the Class A Notes and EUR 2,000,000.

BNP Paribas Securities Services, Milan Branch is the Accounts Bank for the transaction. The DBRS private rating of BNP Paribas Securities Services, Milan Branch is 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.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is 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 remittance reports received from Securitisation Services 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 the rating on the Class A Notes was confirmed.

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 5.40% and 6.83%, respectively. At the AAA (sf) rating level, the corresponding PD is 27.78% and the LGD is 28.63%.
• The Risk Sensitivity overview below illustrates the ratings expected if the LD 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 A Notes would be expected to remain at AAA (sf), all else equal. If the PD increases by 50%, the rating for the Class A Notes would be expected to remain at AAA (sf), all else equal. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf).

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 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: 31 January 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
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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
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