DBRS Rates ResLoC IT S.r.l.

DBRS, Inc. (DBRS) has today assigned a final rating of “AA” (high) (sf) to the Class A Notes of ResLoC IT S.r.l. The DBRS rating is a second rating on an existing transaction issued in July 2009. The Notes are backed by a pool of fixed and variable rate, first-lien mortgage loans secured by residential properties in Italy. At the close of the transaction in July 2009, the collateral balance stood at €2981 million. As of the last Interest Payment Date (April 2011) the collateral balance was €220 million. The mortgages were originated and are serviced by Fonspa Bank.

ResLoC IT S.r.l. issued three classes of mortgage-backed notes (Class A, Class B and Class C). DBRS rates Class A Notes only. As of the last interest payment date, the size of the rated A Note was €155.392 million. The class A has 25.60% credit enhancement which consists of 24.13% subordination and 1.46% from Reserve Account (€3 million) which was originally funded by the issuance of the Class C notes.

Interest and principal will be paid quarterly on the 1st of January, April, July and October. The first payment date following the issuance of the DBRS rating will be on 1 July 2011.

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 is in the form of excess spread, a funded reserve fund 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, and servicing and the internal assessment of Morgan Stanley & Co International plc as swap counterparty.
•The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
•A review of the legal structure and opinions.

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 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 Fonspa Bank.

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.

The sources of information used for this rating include data relating to the underlying mortgages provided by Fonspa Bank. 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.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 7 June 2011