DBRS Upgrades Monviso 2013 S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed the Notes issued by Monviso 2013 S.r.l., (the “Issuer”) and upgraded the ratings of the Class A Notes to AAA (sf) from AA (sf).

The upgrade of the ratings for the Class A Notes is based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of the 23 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 expected losses assumed in line with a AAA (sf) rating level.

Monviso 2013 is a securitisation of a pool of Italian unsecured consumer loans originated and serviced by Consel S.p.A. The transaction closed in April 2013 and is static.

As of the 23 April 2014 payment date, the 90+ delinquency ratio was 0.75%. The cumulative gross default amount is zero to date. This is due to the servicer option to repurchase loans (up to 10% of the initial portfolio): so far the servicer repurchased EUR 8.7 million of non-defaulted loan (or 1.55% of the initial portfolio), EUR 3.4 million of which migrated to default status (or 62 bps of the initial portfolio).

Credit enhancement for the Class A Notes stems from the subordination of the Class J Notes and an amortising Cash Reserve Fund. Current credit enhancement of the Class A Notes (as a percentage of the performing collateral balance) is equal to 73.39%. The transaction benefits from a Defaulted Account which records any new periodic defaults and allow for the Excess Spread to clear this ledger. This account is senior to the Cash Reserve Fund. The balance of the Cash Reserve Fund stands at EUR 3.1 million, its required amount being function of the Class A Notes outstanding balance.

Credit Agricole CIB - Italian Branch holds the Treasury Account for the transaction. The DBRS private rating of Credit Agricole CIB - Italian Branch complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR 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 provided by Credit Agricole CIB - Italian Branch (the Paying Agent) and servicer reports provided by Consel 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.

The last rating action on this transaction took place on 29 April 2013, when DBRS assigned the final ratings to AA (sf) of the Class A Notes.

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 10.48% and 89.57%, 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 remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to decrease to AA (high) (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 decrease to AA (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 AAA (sf)
• 50% increase in PD, expected rating of AA (high) (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 AA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (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: Paolo Conti
Initial Rating Date: 09 April 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

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.