DBRS Confirms Ratings of Florence SPV S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed Florence SPV S.r.l. (the “Issuer”) and confirmed the ratings on the following notes:
• Class A confirmed at AA (low) (sf)
• Class B confirmed at A (low) (sf)

The transaction is a securitisation of Italian consumer loan receivables originated and serviced by Findomestic Banca S.p.A. The transaction has a two-year revolving period (scheduled to end following the 23 July 2015 payment date) where the Issuer may purchase additional portfolios subject to Subsequent Portfolio Conditions and Purchase Termination Events.

Confirmation of the ratings is based upon the following analytical considerations:
• Performance of the portfolio is within DBRS expectations as of the 23 April 2014 payment date.
• Conditions for the purchase of Subsequent Portfolios have been met.
• A Purchase Termination Event has not occurred.
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance.
• Current available credit enhancement to each class of notes to cover the expected losses for the portfolio at the respective rating level.

Credit enhancement as a percentage of the performing collateral balance for the notes as of 24 April 2014 was 41.14% for the Class A Notes and 24.84% for the Class B Notes. Credit enhancement consists of subordination of the junior classes of notes and a Debt Service Reserve Account. The Debt Service Reserve Account includes two amounts: a Liquidity Reserve amount equal to 0.50% of the rated notes, and a Target Debt Service Reserve amount equal to 7.00% of the rated notes.

BNP Paribas Securities Services SA/Milan is the Account Bank for the transaction. The DBRS private rating of BNP Paribas Securities Services SA/Milan is above the Minimum Institution Rating given the rating assigned to the Class A Notes as described in the DBRS Legal Criteria for European Transactions.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology.

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 provided by Securitisation Services and Findomestic Banca S.p.A. 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.

This is the first rating action since the Initial Rating Date.

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 13.79% and 87.61%, 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 lowered to A (low) (sf), all else being equal. If the PD increase by 50% the rating for the Class A Notes would be expected to be lowered to A (low) (sf), all else equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to be lowered to BBB (low) (sf), all else equal.

Class A Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of A (high) (sf).
• 50% increase in LGD, expected rating of A (low) (sf).
• 25% increase in PD, expected rating of A (high) (sf).
• 50% increase in PD, expected rating of A (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of A (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of BBB (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of BBB (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of BBB (low) (sf).

Class B Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of BBB (high) (sf).
• 50% increase in LGD, expected rating of BBB (low) (sf).
• 25% increase in PD, expected rating of BBB (high) (sf).
• 50% increase in PD, expected rating of BBB (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of BBB (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of BB (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of BB (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of B (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: 30 May 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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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.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.