DBRS Places BCC SME Finance 1 S.r.l. UR-Neg. and Maintains Cassa Centrale Finance 3 S.r.l. UR-Neg. Following Transaction Account Bank Downgrade

DBRS Ratings Limited (DBRS) has today placed Under Review with Negative Implications (UR-Neg.) its AA (high) (sf) rating on the Class A Notes issued by BCC SME Finance 1 S.r.l. (BCC SME Finance 1) and has maintained the UR-Neg. status on its AA (high) (sf) rating on the Class A Notes issued by Cassa Centrale Finance 3 S.r.l. (Cassa Centrale Finance 3).

The rating actions reflect the 7 July 2016 downgrade of DBRS’s private rating on Deutsche Bank S.p.A. (Deutsche Bank SpA).
Deutsche Bank SpA acts as the transaction account bank for both transactions. Following the downgrade of its DBRS private ratings, Deutsche Bank SpA does not meet the Minimum Institution Rating criteria given the ratings assigned to the Notes, as listed above, and as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology. Consequently, DBRS has placed the related ratings UR-Neg.

The transaction documentation sets forth thresholds for various remedies upon a downgrade of the transaction account bank below a certain level. Today’s rating action acknowledges the possibility that, should no mitigant be put in place, this may have an impact on the credit quality of these two transactions rated by DBRS.

DBRS shall conduct a further analysis in accordance with the relevant rating methodology to determine the impact of the Deutsche Bank SpA downgrade on the transactions, taking into consideration potential mitigants put in place to remedy the increased exposure of the transactions to credit risk. DBRS expects to resolve the UR-Neg. status of the two transactions within a 90-day period. Ratings UR-Neg. may either be downgraded or confirmed.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable are “Master European Structured Finance Surveillance Methodology” and “Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)”.
The ratings are UR-Neg. DBRS is undertaking a review of the transactions and will remove the ratings from this status as soon as it is appropriate.

Other methodologies 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 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 source of information used for this rating action is solely the potential impact of the Deutsche Bank SpA private rating downgraded by DBRS. DBRS reviews and ratings are under regular surveillance.

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 BCC SME Finance 1 took place on 26 February 2016 when the rating on the Class A Notes was upgraded to AA (high) (sf) from A (high) (sf) and removed from Under Review with Positive Implications. The last rating action on Cassa Centrale Finance 3 took place on 16 June 2016 when the rating on the Class A Notes was downgraded to AA (high) (sf) from AAA (sf) and maintained UR-Neg.

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

The ratings are Under Review with Negative Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. As this is an Under Review Rating Action, sensitivity analysis is not applicable.

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.

BCC SME Finance 1 S.r.l.
Initial Lead Analyst: Simon Ross
Initial Rating Date: 10 August 2012
Initial Rating Committee Chair: Jerry van Koolbergen

Lead Surveillance Analyst: Alfonso Candelas, Vice President
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Cassa Centrale Finance 3 S.r.l.
Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 16 November 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Senior Vice President

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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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- 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