DBRS Confirms Ratings on the Class A1X and Class A1Y Notes Issued by BERICA PMI S.r.l.

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

-- €193,311,121.80 Class A1X Notes: Confirmed at AAA (sf)
-- €197,256.25 Class A1Y Notes: Confirmed at AAA (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, 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), which together 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 ratings on the Class A1X and Class A1Y Notes (the Senior Notes) address the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date in May 2057.

The rating actions reflect an annual review of the transaction. The Senior Notes are pro rata and pari passu in both interest and principal payments. The Senior Notes are at 19.73% of their initial balance since closing approximately two and a half years ago. Given this deleveraging, the current credit enhancement available has increased considerably, while performance of the transaction is in line with DBRS expectations at closing.

As of the 30 November 2015 payment date, the 90 days past due delinquency ratio as a percentage of the original balance was 1.119%, while the cumulative gross default ratio was 2.243% of the original collateral balance.

The transaction benefits from a non-amortising Cash Reserve (CR), which is available to cover senior expenses and interest shortfalls on the Senior Notes throughout the life of the transaction. The CR will be maintained at its initial balance of €44 million and will only be available as credit support when the Senior Notes are redeemed or at final legal maturity.

There is also a commingling deposit in place (€9.25 million) to mitigate servicer interruption and commingling risk.

Deutsche Bank AG, London Branch acts as the Account Bank and as the Paying agent for the transaction, while Barclays Bank PLC, Milan Branch holds the Depositary Account Bank and the Commingling Risk Deposit Account Bank. The DBRS private ratings of Deutsche Bank AG, London Branch and Barclays Bank PLC, Milan Branch comply with the Minimum Institution Rating given the ratings assigned to the Senior Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

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 legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This may be found on www.dbrs.com at
http://www.dbrs.com/about/methodologies.

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 this rating action include investor reports provided by Deutsche Bank AG, London Branch, servicer reports provided by the Master Servicer, 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 2 March 2015, when DBRS upgraded the ratings on the Senior Notes to AAA (sf) from AA (high) (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- Probability of default (PD) rates used: base case PD of 3.90%, and a 10% and 20% increase in the base case PD.
-- Recovery rates used: base case recovery rates, corresponding to a recovery rate of 49.28% at the AAA (sf) stress level for the Senior Notes, a 10% and 20% decrease in the base case recovery rates.

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

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: Carlos Silva
Initial Rating Date: 2 July 2013
Initial Rating Committee Chair: Simon Ross

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

DBRS Ratings Limited
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London EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960.

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

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.