DBRS Assigns Ratings to Class A Notes issued by Alchera SPV S.r.l.

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the notes issued by Alchera SPV S.r.l. (the “Issuer”), as follows:

EUR 419,000,000 Class A Asset Backed Floating Rate Notes due November 2048: A (sf)

The Issuer is a limited liability company incorporated under the laws of the Republic of Italy. The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to Italian Small and Medium Sized Enterprises (“SMEs”), artisans and producer families. The portfolio is comprised of loans granted by three Originators which are not affiliated through a banking group: Banca Cassa di Risparmio di Savigliano S.p.A. (“CR Savigliano”; 37.18% of the outstanding balance of the Portfolio), Cassa di Risparmio di Saluzzo S.p.A. (“CR Saluzzo”; 35.97% of the outstanding balance of the Portfolio), and Banca Mediocredito del Friuli Venezia Giula S.p.A. (“MCFVG”; 26.85% of the outstanding balance of the Portfolio). The Class A Notes are collectively referred as the “Senior Notes”. The rating on the Senior Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Final Maturity Date in November 2048. DBRS does not rate the Class B1 Asset Backed Floating Rate Notes, the Class B2 Asset Backed Floating Rate Notes, or the Class B3 Asset Backed Floating Rate Notes (collectively, the “Junior Notes”), which have an aggregate total par balance of EUR 240,450,000.

As of 31 May 2013, the transaction portfolio consisted of 2,875 loans extended to 2,108 borrowers or borrower groups, with an outstanding principal balance equal to EUR 642.63 million. As of 31 May 2013, the portfolio was fully performing, with no loans in arrears of over 30 days. Loans in arrears up to 30 days totalled EUR 25.03 million, or 3.89% of the portfolio balance.

The portfolio is diversified with respect to borrower exposure, with the top borrower group and the largest ten groups representing 1.18% and 8.45% of the outstanding balance,respectively. As CR Savigliano and CR Saluzzo are regional banks based in Cuneo and Turin, the portfolio is heavily concentrated in these two areas, collectively representing 71.62% of the portfolio. DBRS has increased the correlation assumptions in its analysis to account for the regional concentration. The portfolio shows diversification with respect to industry concentration, with the top three industries by NACE group being “Agriculture, forestry and fishing” (22.23%), “Manufacturing” (20.26%), and “Wholesale and retail trade” (16.01%). The combined exposure to the “Construction” and “Real Estate” sectors is 22.16%, which remains a source of concern considering the challenging economic situation in Italy.

The rating of the Class A Notes is based upon DBRS’s review of the following items:

• The transaction structure, the form, and sufficiency of available credit enhancement, the portfolio characteristics.
• The structure envisages three separate waterfalls, one for each portfolio, which are linked through the three Cash Reserves since inception of the deal; full crosscollateralisation will take place only when some conditions are met.
• The presence of adequate cash trapping mechanisms and cross collateralisation events that limit the leakage of excess spread for each separate waterfall.
• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting, and servicing practices.
• An assessment of the operational capabilities of key transaction participants.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. Interest and principal payments on the Class A Notes will be made quarterly.
• The soundness of the legal structure and the presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

CR Savigliano, MCFVG and CR Saluzzo will each act as the Servicer for their portion of the Portfolio. Each Servicer has been appointed as Back-up servicer for the other two Servicers. The transaction does not have mitigants dedicated to set-off and commingling risk. This was factored into DBRS’s analysis of the transaction.

The Notes benefit from three amortising Cash Reserves, with an aggregate balance of EUR 8.38 million, which corresponds to 2% of the initial balance of the Class A Notes. Each of the Cash Reserves is available to cover senior expenses and interest shortfalls on the Class A Notes throughout the life of the transaction and will only be available as credit support when the Class A Notes will be redeemed, or at Final Legal Maturity.

The deal is also supported by three non-amortising Additional Cash Reserves available to cover expenses, interest and/or principal shortfalls on the Class A Notes for the respective sub-portfolio, or the global portfolio only once a cross collateralisation event occurs. The Additional Cash Reserves will have an aggregate balance of EUR 8.38 million.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originators, the Issuer and the Arrangers, A & F S.A. and Eidos Partners S.r.l.

The vintage performance data provided did not match the definition that DBRS bases its analysis on. The historical performance data was based on the “sofferenza” definition of default, which is different to the standard of 90 days used by DBRS. However, DBRS used additional dynamic arrears data provided by each of the Originators to determine a conservative blended-average annual default rate. Aside from the data quality issue with regards to the calculation of the annual default rate, DBRS considers the overall information available to it for the purposes of providing this rating was of satisfactory quality.

Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

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

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.
For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

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

Lead Analyst: Marcello Bonassoli
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 27 June 2013