DBRS Confirms the Ratings on the Notes Issued by Impresa ONE S.r.l., Following Amendment

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the notes issued by Impresa ONE S.r.l. (the Issuer), as follows:

-- EUR 452.8 million Class A at AAA (sf)
-- EUR 1,207.7 million Class B at A (sf)
-- EUR 836.1 million Class C at BBB (sf)

The Issuer is a limited liability company incorporated under the laws of Italy. The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian Small and Medium Sized Enterprises (SMEs) originated by UniCredit S.p.A. (UniCredit). The rating on the Class A Notes addresses the timely payment of principal and interest payable on or before the Maturity Date on 31 October 2054. The ratings on the Class B and Class C Notes address the ultimate payment of principal and interest payable on or before the Maturity Date. DBRS does not rate the EUR 2,090.4 million Class D Notes. The Class A, Class B and Class C Notes together are referred to as the Rated Notes.

The rating actions reflect an amendment to the original documents executed on 19 December 2014, which includes:
-- Reduction of the Minimum Rating required by DBRS in respect of UniCredit to be considered Eligible Institution.
-- Replacement of UniCredit with BNP Paribas Securities Servicer, Milan Branch (BNP) as account bank holding the Cash Reserve Account.
-- Restructuring of the Cash Reserve, which now amortises in line with the progressive reduction of the Principal Amount Outstanding of the Rated Notes.

The amendments to the legal documentation comply with the current DBRS Legal Criteria for European Structured Finance Transactions, given the ratings of the Notes.

Since closing, the Class A Notes are amortising and are currently at 8.8% of its initial balance. Given this deleveraging, the current credit enhancement available has increased considerably. With respect to collateral delinquencies and defaults, the portfolio is performing within DBRS expectations. As of 30 October 2014, the percentage of loans in arrears (excluding defaults) for more than 90 days over the original balance at the closing date is at 1.36%, while gross cumulative defaulted loans, as per the default definition in the transaction’s documents, are at 12.99% in terms of the original balance and after two years since closing. The portfolio annualized probability of default (PD) used has not changed (4.57%).

Following the implementation of the amendments, the Cash Reserve mainly provides liquidity support to the Rated Notes. The Cash Reserve amortises to 1.5% of the principal amount outstanding of the Class A, Class B and Class C Notes (after repayment of principal on each payment date), subject to the absolute floor of EUR 15.0 million.

UniCredit is the Italian Account Bank for the transaction. BNP is the paying agent and, as a result of the current amendment, holds the Cash Reserve Account. The DBRS private ratings of UniCredit and BNP are compatible with the rating assigned to the Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Additionally, UniCredit acts as Swap Counterparty for the Issuer. According to the DBRS Derivative Criteria for European Structured Finance Transactions, and given its DBRS private rating, the Swap Counterparty posting collateral in favor of the Issuer sufficiently addresses the risk associated with the counterparty default. BNP holds the Cash Collateral Account where the credit support amount, as calculated under the documentation, is being posted.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Rating CLOs Backed by Loans to European Small and Medium Sized Enterprises (SMEs), which can be found on the DBRS website under Methodologies at http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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 these ratings include the parties involved in the ratings, including but not limited to the Originator, the Issuer and their agents.

DBRS considers the information made available to it for the purposes of providing these ratings to have been 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.

To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the ratings (the Base Case):
• Probability of Default Rates Used: Base Case PD of 4.57%, a 10% and 20% increase on the Base Case PD.
• Recovery Rates Used: Base Case Recovery Rates, corresponding to a recovery rate of 60.13% at the AAA (sf) stress level (and for the Class B and Class C Notes, a Base Case Recovery Rate of 62.47% and 63.26% at the A (sf) and BBB (sf) stress levels, respectively), a 10% and 20% decrease in the Base Case Recovery Rates.

DBRS concludes that a hypothetical increase of the base PD by 20%, ceteris paribus, would produce model results suggesting a confirmation of the Class A at AAA (sf), of the Class B at A (sf) and a downgrade of the Class C to BB (high) (sf). A hypothetical decrease of the Recovery Rate by 20% would produce model results suggesting also a confirmation of the Class A and Class B ratings and a downgrade of the Class C to BB (high). A scenario combining both a hypothetical increase in the PD by 10% and a hypothetical decrease in the Recovery Rate by 10% would also lead to model results suggesting a confirmation of the current ratings of the Class A and Class B Notes and a downgrade of the Class C to BB (high) (sf).

It should be noted that the interest rates and other parameters that would normally vary with the rating level, including the recovery rates, were allowed to change as per the DBRS methodologies and criteria.

The previous rating action on this transaction took place on 27 February 2014, when the ratings of the Notes were confirmed and removed from Under Review with Developing Implications.

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

For further information on DBRS’s 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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

Initial Lead Analyst: Simon Ross
Initial Rating Date: 26 October 2011
Initial Rating Committee Chair: Jerry van Koolbergen

Last Rating Date: 27 February 2014
Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

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
Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)
Rating Methodology for CLOs and CDOs of Large Corporate Credit
Cash Flow Assumptions for Corporate Credit Securitizations
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for U.S. and European Structured Credit
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda