DBRS Assigns Ratings to Fino 1 Securitisation s.r.l.

DBRS Ratings Limited (DBRS) assigned ratings to Fino 1 Securitisation s.r.l. (the Issuer) as follows:

-- EUR 650,000,000 Class A at BBB (high) (sf)
-- EUR 29,640,000 Class B at BB (high) (sf)
-- EUR 40,000,000 Class C at BB (sf)

The notes are backed by a portfolio of secured and unsecured Italian non-performing loans originated by UniCredit S.p.A. (UniCredit). The majority of loans in the portfolio defaulted between 2010 and 2017 and are in various stages of the resolution process. The loans are serviced by doBank S.p.A. (doBank).

Given the nature of the collateral and the defaulted status of all loans included in the portfolio, the collections received will be the primary source of payment under the notes. As a result, there is a significant reliance on doBank’s ability and performance as servicer in executing the business plan. DBRS views the granularity of the portfolio, the presence of a cash reserve and the experience of the servicer as mitigating factors for this risk.

The ratings are based on the following analytical considerations:
-- DBRS’s analysis of the projected recoveries of the underlying collateral;
-- The historical performance of the portfolio;
-- The expertise of the servicer;
-- The availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses;
-- The cap agreement with HSBC France; and,
-- The transaction’s legal and structural features.

In its analysis, DBRS assumed that all loans are disposed through a judicial resolution strategy. Both the DBRS timing and value stresses are based on the historical repossessions data of the servicer, doBank. DBRS’s BBB (high) (sf), BB (high) (sf) and BB (sf) ratings assume a haircut of 23.9%, 19.5% and of 19.0%, respectively, to the servicer’s business plans for the portfolio.

The transaction cash flow structure was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: Rating European Non-Performing Loans Securitisations.

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

An asset and a cash flow analysis were both conducted.

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

These may be found on www.dbrs.com 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 commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for this rating include information from doBank S.p.A. and UniCredit S.p.A.

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

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

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

This rating concerns a newly issued financial instrument.

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

To assess the impact of the 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”):

-- Recovery Rates Used: Cumulative Base Case Recovery Amount of EUR 1,158 million at the BBB (high) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.
-- Recovery Rates Used: Cumulative Base Case Recovery Amount of EUR 1,225 million at the BB (high) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.
-- Recovery Rates Used: Cumulative Base Case Recovery Amount of EUR 1,233 million at the BB stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.

-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to BBB (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (high) (sf).

-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class B Notes to BB (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would each lead to a downgrade of the Class B Notes to B (sf).

-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would each lead to a downgrade of the Class C Notes to B (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would each lead to a downgrade of the Class C Notes to below B.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Alessio Pignataro, Senior Vice President
Rating Committee Chair: Quincy Tang, Managing Director
Rating Date: 22 November 2017

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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- European CMBS Rating and Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions

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