DBRS Rates Cassa Centrale Finance 3 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a final rating of “AAA” (sf) to the Class A notes issued by Cassa Centrale Finance 3 S.r.l. (Cassa Centrale Finance 3). The DBRS rating is a second rating on an existing transaction issued in December 2009. Cassa Centrale Finance 3 issued two classes of mortgage-backed floating rate notes (Class A and Class B). DBRS rates Class A notes only. The Class A notes are backed by fixed and floating rate, first lien, fully amortizing mortgage loans mainly originated in the regions of Trentino Alto Adige and Veneto. The originators and servicers of this transaction are unrated Italian cooperative banks (Banche di Credito Cooperativo or BCCs) and Mediocredito Trentino Alto Adige.

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement before a cross-collateralisation event is in the form of excess spread (if any), a collateralised liquidity line which provide credit support and subordination.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the servicers to perform collection activities on the collateral.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, an analysis of loan default data, a Italian housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in Italy and the historical performance data provided by the originators and servicers.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies, with adjustments made for the Italian mortgages. This is not a newly created financial instrument.

The sources of information used for this rating include working papers and data on the Italian economy and housing market provided by: International Monetary Fund, World Bank, OECD, ECB, Eurostat, Bank of Italy and Nomisma. DBRS conducted an operational review on the origination and servicing practices of BCC Cherasco, BCC Centromarca, Mediocredito Trentino Alto Adige, BCC Lavis Valle di Cembra and BCC Aldeno e Cadine. BBCs provided loan-level data and historical performance of mortgage portfolio dating back to 2002. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document located below.

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 21 April 2011