DBRS Confirms Rating on the Class A Notes Issued by Icaro Finance S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its AAA (sf) rating on the EUR 80,833,749.28 Class A notes issued by Icaro Finance 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 originated by the following (collectively referred to as the Originators and the Servicers):
-- Banca Alpi Marittime Credito Cooperativo Carrù Società Cooperativa per Azioni (ALPI)
-- Banca di Romagna S.p.A. (BDR)
-- Cassa di Risparmio di Bra S.p.A. (BRA)
-- Cassa di Risparmio di Cesena S.p.A. (CRC)

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 2043.

ALPI and BRA act as the Servicers of their originated portion of the portfolio and as such collect all payments from the borrowers before transferring the proceeds to the Custodian Bank. CRC acts as the Servicer for both its portfolio and BDR’s portfolio. On 25 November 2013, the merger for the incorporation of BDR into CRC took effect. CRC automatically succeeded each and all of the BDR roles under the transaction.

The rating action reflect an annual review of the transaction. Since closing, the Class A notes have been amortising and are now at 16.67% of their initial balance. 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 12 February 2016 payment date, the 90 days past due delinquency ratio as a percentage of the original balance was 0.835%, while the cumulative gross default ratio was 0.260% of the original collateral balance.

The Cash Reserve (CR) amount is equal to €7.27 million (1.5% of the initial balance of the Class A notes). The CR is available to cover senior expenses and missed interest payments on the Class A notes throughout the life of the deal.

The Bank of New York Mellon, (Luxembourg) S.A., Italian Branch acts as the transaction Bank and as the Paying agent for the transaction, while The Bank of New York Mellon, London Branch acts as the Custodian Bank. The DBRS public ratings of The Bank of New York Mellon, (Luxembourg) S.A., Italian Branch and The Bank of New York Mellon, London Branch comply with the Minimum Institution Rating given the ratings assigned to the Class A 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 Accounting Partners Srl, servicer reports provided by the Originators and the Servicers 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 rating on the Class A notes to AAA (sf) from AA (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 2.09%, and a 10% and 20% increase in the base case PD.
-- Recovery rates used: base case recovery rates, corresponding to a recovery rate of 53.88% at the AAA (sf) stress level for the Class A 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 Class A 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 A 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: Glen Leppert
Initial Rating Date: 3 July 2012
Initial Rating Committee Chair: Jerry van Koolbergen

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.
-- 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.