DBRS Upgrades Ratings on Class A1X and Class A1Y Notes Issued by Berica PMI S.r.l.

DBRS Ratings Limited (DBRS) has today upgraded its ratings on the notes issued by Berica PMI S.r.l. (the Issuer), as follows:

-- €451,791,281.88 Class A1X Notes: to AAA (sf) from AA (high) (sf)
-- €461,011.52 Class A1Y Notes: to AAA (sf) from AA (high) (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), entrepreneurs and artisans. The loans were originated by two banks that are part of the Banca Popolare di Vicenza Group: Banca Popolare di Vicenza S.C.p.A. (BPVi) and Banca Nuova S.p.A. (BN), with BPVi are collectively referred to as the Originators.

Both BPVi and BN act as the Servicers for their respective portfolios. Additionally, BPVi acts as Master Servicer and Zenith Service S.p.A. acts as Back-up Servicer.

The rating actions reflect an annual review of the transaction. Since closing, the Class A1X and Class A2Y Notes (the Notes) have been amortising and are now at 46.10% of their initial balances. Given this deleveraging, the current credit enhancement available has increased considerably, while the transaction performance is in line with DBRS’s expectations. As of the 28 November 2014 payment date, the cumulative outstanding balance of defaulted claims as per the transaction definition was 1.39% in terms of the initial outstanding balance of the portfolio.

The portfolio annualised probability of default (PD) used has not changed (3.90%).

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 3.90%, a 10% and 20% increase on the Base Case PD.
-- Recovery Rates Used: Base Case Recovery Rates, corresponding to an average recovery rate of 45.32% at the AAA (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 Notes at AAA (sf). A hypothetical decrease of the Recovery Rate by 20% would also produce model results suggesting a confirmation of the Notes at AAA (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 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 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.

Notes:
All figures are in euros unless otherwise noted.

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

Initial Lead Analyst: Carlos Silva
Initial Rating Date: 2 July 2013
Initial Rating Committee Chair: Jerry van Koolbergen
Last Rating Date: 27 February 2014

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

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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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