DBRS Confirms Rating on Class A Notes Issued by BCC SME Finance 1 S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the A (high) (sf) rating on the €637,221,763.99 Class A Notes issued by BCC SME Finance 1 S.r.l. (the Issuer).

The transaction is a multi-originator cash flow securitisation collateralised by a portfolio of bank loans to Italian small and medium-sized enterprises (SMEs), which were originated by 27 Italian cooperative banks and one corporate bank. Please refer to http://www.dbrs.com/issuer/18655 for additional information.

The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Final Maturity Date in May 2060.

Each of the Originators services its own portfolio. Cassa Centrale – Credito Cooperativo Nord Est S.p.A. acts as Back-up Servicer with respect to all portfolios and as Operating Bank as well. Deutsche Bank AG, London Branch acts as the Agent Bank, the Cash Manager, the English Transaction Bank, and the Principal Paying Agent. Deutsche Bank S.p.A. acts as Transaction Bank, Italian Paying Agent and Computation Agent. J.P. Morgan Securities PLC acts as the Swap Counterparty, while J.P. Morgan Chase Bank NA acts as the Swap Guarantor. In addition, FIS Full Integrated Solutions S.p.A. acts as Corporate Services Provider and as Back-up Servicer Facilitator. Finally, Deutsche Trustee Company Limited acts as the Representative of the Noteholders.

The rating actions reflect an annual review of the transaction. Since closing, the Class A Notes have been amortising and are now at 49.11% of their initial balance. Given this deleveraging, the current credit enhancement available has increased considerably. The transaction is performing in line with DBRS’s expectations. As of the November payment date, there were no cumulative defaults reported as per the transaction definition.

The portfolio annualised probability of default (PD) used has not changed (3.14%).

Notes:
All figures are in euros unless otherwise noted.

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

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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary 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 3.14%, a 10% and 20% increase on the Base Case PD.
-- Recovery Rates Used: Base Case Recovery Rates, corresponding to a recovery rate of 19.12% at the A (high) (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 (high) (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 (high) (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.

Initial Lead Analyst: Simon Ross
Initial Rating Date: 10 August 2012
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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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
-- 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
-- Derivative Criteria for European Structured Finance Transactions
-- Unified Interest Rate Model for U.S. and European Structured Credit
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda