DBRS Confirms Rating on Class A Notes of UBI SPV BPA 2012 S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its A (low) (sf) rating on the EUR 389,184,134.98 Class A Notes issued by UBI SPV BPA 2012 S.r.l. (the Issuer).

The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian Small and Medium-Sized Enterprises (SMEs), which were originated by Banco Popolare di Ancona S.p.A. (BPA), part of the UBI Banca group. Unione di Banche Italiane S.c.p.A. (UBI Banca) owns approximately 99.55% of BPA. The rating on the Notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Final Maturity Date in October 2057.

BPA acts as the Originator, Sub-Servicer, Subordinated Loan Provider, PDL Subordinated Loan Provider and Set-Off Subordinated Loan Provider. UBI Banca is the Servicer, Italian Account Bank and Calculation Agent. The Bank of New York Mellon, London Branch acts as the English Account Bank and Cash Manager, while the Bank of New York Mellon, (Luxembourg) S.A., Italian Branch is the Paying Agent. DBRS’s public ratings of both comply with the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

BNY Mellon Corporate Trustee Services Limited acts as Representative of Noteholders.

Following an amendment effective since 6 February 2015, Zenith Service S.p.A. was appointed as back-up service facilitator.

The rating action reflects an annual review of the transaction. The transaction envisaged a revolving period that ended on April 2014. Since then, credit enhancement has increased as a result of the deleveraging of the Class A Notes, currently at 54.83% of their initial balance. Gross cumulative defaults, as defined in the transaction documents, are at 7.58% as of the last payment date. The portfolio annualised probability of default (PD) used has not changed (5.84%).

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)”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction’s legal documents was not conducted, as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the 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 this rating action include information provided by UBI Banca and loan-level data from the European DataWarehouse GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments; however, this did not impact the rating analysis.

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 15 September 2014, when DBRS confirmed the rating assigned to the Class A Notes at A (low) (sf).

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

To assess the impact of 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):
-- Probability of Default (PD) Rates Used: Base Case PD of 5.84%, and a 10% and 20% increase in the Base Case PD.
-- Recovery Rates Used: Base Case Recovery Rate of 29.00% at the A (low) (sf) stress level, and a 10% and 20% decrease in the Base Case Recovery Rate.

DBRS concludes that a hypothetical increase of the Base Case PD by 20% or a hypothetical decrease of the Recovery Rate by 20%, ceteris paribus, would produce model results suggesting a confirmation of the Class A Notes at their current rating. A scenario combining both an increase in the PD by 10% and a decrease in the Recovery Rate by 10% would also lead to model results suggesting a confirmation of the current rating.

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: Simon Ross
Initial Rating Date: 30 October 2012
Initial Rating Committee Chair: Jerry Van Koolbergen

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

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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.