TEXT-Fitch assigns SME Grecale S.r.l. final ratings

(The following statement was released by the rating agency)

July 13 - Fitch Ratings has assigned SME Grecale S.r.l.'s notes final
ratings as follows:

EUR430.0m Class A (ISIN IT0004818263): 'AAAsf'; Outlook Negative

The rating of the class A notes addresses the timely payment of interest and
repayment of principal by legal final maturity in January 2062.

The transaction is a static cash flow securitisation of a EUR839.2m portfolio of
loans granted to Italian small- and medium-sized enterprises (SMEs) originated
by Unipol Banca S.p.a. (unrated).

The rating of the class A notes is based on collateral quality, available credit
enhancement and transaction structural features. The class A notes benefit from
48.8% credit enhancement provided by the subordination of the unrated class B
notes. There is no principal deficiency ledger mechanism in the transaction. All
excess spread is used to amortise the most senior class of notes regardless of
the level of defaults.

The Negative Outlook for the class A notes reflects Fitch's Outlook on the
Republic of Italy ('A-'/Negative/'F2'). See "Fitch: SF Impact of Spanish,
Italian & Irish Sovereign Rating Actions", dated 1 Feb 2012 at
www.fitchratings.com, for details of Fitch's view on the link between sovereign
Issuer Default Ratings and structured finance ratings for eurozone countries.

The transaction uses several hedging instruments to protect against an interest
rate mismatch between assets and liabilities. Two basis swaps cover the reset
and basis risk between assets referenced to three- and six-month EURIBOR (87.2%
of the portfolio) and the note reference rate. A fixed for floating swap
mitigates the effect of fixed-rate assets in the portfolio (11.6%). Lastly, the
transaction features an interest rate cap intended to hedge the risk of
floating-rate assets switching to a fixed rate. The transaction documentation
limits the maximum share of assets with this switch option to 3% of the
portfolio.

Unipol Banca acts as the portfolio servicer in the transaction. Servicer
continuity risk is mitigated by the appointment of a back-up servicer at closing
as well as structural features including a dedicated class A liquidity reserve.

Fitch notes that key counterparty roles in the transaction are performed by
third parties, limiting the transaction's exposure to Unipol Banca. JPMorgan
Securities PLC (unrated) acts as the hedging counterparty, JPMorgan Chase Bank
N.A. ('A+'/Rating Watch Negative/'F1') acts as the hedging counterparty
guarantor, Italfondiario S.p.a. (unrated) acts as the back-up servicer and Bank
of New York Mellon, London Branch ('AA-'/Stable/'F1+') and Bank of New York
Mellon (Luxembourg) S.A., Italian Branch, ('AA-'/Stable/'F1+') act as account
banks.

The EUR839.2m portfolio, as of 24 February 2012, is granular and consists of
6,682 loans to 5,335 obligor groups. The largest obligor group accounts for
0.88% of the portfolio notional and the largest ten obligor groups represent
7.46% of the portfolio.

A new issue report, including a rating sensitivity analysis and a comparison of
the transaction's representations and warranties to those Fitch considers to be
typical for European SME transactions will shortly be available at
www.fitchratings.com.

For all of Fitch's Eurozone Crisis commentary go to here

(New York Ratings Team)