DBRS Confirms the Ratings of Arianna SPV S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the following ratings of Arianna SPV S.r.l. (the Issuer):

-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)

The above-mentioned rating actions are based upon the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of defaults and delinquencies, as of the October 2014 payment report.
-- Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
-- Incorporation of a sovereign-related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance given the DBRS long-term foreign and local currency rating of A (low) for the Republic of Italy.
-- Current available credit enhancement to the Class A and Class B notes to cover the expected losses at the A (low) (sf) and BBB (low) (sf) rating level, respectively.

The Issuer is a static securitisation of salary assignment loans (48.64%), pension assignment loans (39.88%) and delegation of payments loans (11.48%) extended to individuals residing in Italy by Consum.it S.p.A., directly or through specialized dealers (Mandatarie). The portfolio is serviced by Zenit Service S.p.A.

The transaction is performing within DBRS expectations. As per the October 2014 payment date, the cumulative gross default ratio reached 0.61%. The 90+ delinquency ratio (as a percentage of the performing portfolio) increased steadily over the year and is currently at 1.88%.

The Class A notes are supported by subordination of the Class B and part of the Class C notes, while the Class B notes are supported by part of the Class C notes only. Credit enhancement for the Class A notes (as a percentage of the performing portfolio) increased to 23.79% from 19.36% since the initial rating in December 2013, while credit enhancement for the Class B notes increased to 13.21% from 10.61%.

BNP Paribas Securities Services S.A., Italian branch and BNP Paribas Securities Services S.A., London branch are the Italian and English account bank for the transaction, respectively. The DBRS private ratings of BNP Paribas Securities Services S.A., Italian branch and BNP Paribas Securities Services S.A., London branch are at least equal to the minimum institution rating given the rating assigned to the Class A notes, as described in the DBRS “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can 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 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 information used for this rating include servicer reports and payment reports provided by Zenith Service S.p.A. 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.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS ratings, including definitions, policies and methodologies are 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):
-- DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The Base Case PD and LGD of the current pool of receivables are 7.97% and 45.61%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50%, the rating for the Class A notes would be expected to remain at A (low) (sf), all else being equal. If the PD increases by 50%, the rating for the Class A notes would be expected to remain at A (low) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A notes would be expected to be lowered to BB (high) (sf), all else being equal.

Class A notes risk sensitivity:
-- 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in LGD, expected rating of A (low) (sf).
-- 25% increase in PD, expected rating of A (low) (sf).
-- 50% increase in PD, expected rating of A (low) (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of A (low) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of BBB (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of BBB (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of BB (high) (sf).

Class B notes risk sensitivity:
-- 25% increase in LGD, expected rating of BB (high) (sf).
-- 50% increase in LGD, expected rating of B (high) (sf).
-- 25% increase in PD, expected rating of BB (high) (sf).
-- 50% increase in PD, expected rating of B (high) (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of B (high) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of B (low) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of B (low) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of CCC (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Paolo Conti
Initial Rating Date: 23 December 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

The rating methodologies and criteria 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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations