DBRS Confirms Rating on Class A Notes Issued by Alchera SPV S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its A (sf) rating on the €263,468,920.16 Class A Notes issued by Alchera SPV S.r.l. (the Issuer).

The Issuer is a limited liability company incorporated under the laws of the Republic of Italy. The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian small and medium-sized Enterprises (SMEs), artisans and producer families, comprising loans granted by three Originators which are not affiliated with a banking group: Banca Cassa di Risparmio di Savigliano S.p.A. (CR Savigliano), Cassa di Risparmio di Saluzzo S.p.A. (CR Saluzzo), and Banca Mediocredito del Friuli Venezia Giula S.p.A. (MCFVG). The rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date in November 2048.

CR Savigliano, MCFVG and CR Saluzzo act as the Servicers for their portion of the Portfolio. Each Servicer has been appointed as Back-up servicer for the other two Servicers.

The rating actions reflect an annual review of the transaction. Since closing, the Class A Notes have been amortising and are now at 62.88% of their initial balance. Given this deleveraging, the current credit enhancement available has increased moderately. The transaction is performing in line with DBRS’s expectations. As of the November payment date, the cumulative outstanding balance of defaulted claims was 0.49% and the outstanding balance of arrears claims was 2.01% in terms of the initial outstanding balance of the portfolio.

The portfolio annualised probability of default (PD) used has not changed (3.37%).

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 3.37%, a 10% and 20% increase on the Base Case PD.
-- Recovery Rates Used: Base Case Recovery Rates, corresponding to a recovery rate of 49.56% at the A (sf) stress level, 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 notes at A (sf). A hypothetical decrease of the Recovery Rate by 20% would also produce model results suggesting a confirmation of the Class A Notes at A (sf). 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 notes.

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 rating of the Class A Notes was 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.

Notes:
All figures are in euros unless otherwise noted.

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

Initial Lead Analyst: Marcello Bonassoli
Initial Rating Date: 27 June 2013
Initial Rating Committee Chair: Jerry van Koolbergen
Last Rating Date: 27 February 2014

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Carlos Silva

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

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