DBRS Confirms Ratings on Class A and B Notes of Florence SPV S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its AA (sf) and A (sf) ratings on the Class A and B notes (the Class A Notes and collectively with the Class B Notes, the Notes) issued by Florence SPV S.r.l. (the Issuer).

The confirmations of the ratings on the Notes are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults as of the October 2016 payment date.
-- Given the transaction is still in its revolving period, ending on the January 2018 payment date, no early amortisation events have occurred.
-- The current available credit enhancement to the Notes to cover expected losses assumed in line with the AA (sf) and A (sf) rating levels.

Florence SPV S.r.l. is a securitisation of Italian personal loans originated and serviced by Findomestic Banca S.p.A. The transaction is currently in its revolving period and there are concentration limits in place to mitigate any potential portfolio deterioration.

As of the October 2016 payment date, the 30-60 days, 60-90 days and the 90+ days in arrears delinquency ratios as a percentage of the performing receivables balance were at 1.60%, 0.35% and 0.36%, respectively. The current gross cumulative default ratio as a percentage of the original balance plus additional portfolios was at 4.66%.

The credit enhancement to the Notes provided in the form of subordination and a cash reserve remained at 38.24% and 26.47%, respectively, given the Notes have not started to amortise yet. The cash reserve includes the Liquidity Reserve to provide liquidity to the structure and a Target Debt Service Amount to provide credit enhancement to the Notes. The current balance of the cash reserve is equal to the current target level of EUR 83.54 million.

BNP Paribas Securities Services SCA, Milan Branch acts as Issuer Account Bank for this transaction. The DBRS private rating of BNP Paribas Securities Services SCA, Milan Branch complies with the Minimum Institution Rating given the rating 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 applicable methodology is the Master European Structured Finance Surveillance Methodology.

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. However, due to the inclusion of a revolving period in the transaction, and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

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’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 these ratings include investor reports provided by Securitisation Services S.p.A. and servicer reports provided by Findomestic Banca S.p.A.

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 to be 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 December 2015 when the ratings on the Class A and B notes were upgraded to AA (sf) and A (sf), respectively.

The lead responsibilities for this transaction have been transferred to Antonio Di Marco.

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

To assess the impact of 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 lifetime base-case probability of default (PD) and loss given default (LGD) for the pool based on a review of the current assets. 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 loans for the Issuer are 12.28% and 89.42%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base-case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to be downgraded to A (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to be downgraded to A (sf).

Class A notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class B notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

For further information on DBRS historic 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 regulations only.

Lead Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Chuck Weilamann, Managing Director
Initial Rating Date: 3 June 2013

DBRS Ratings Limited
20 Fenchurch Street
31st Floor
London
EC3M 3BY
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

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers

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