DBRS Rates Credico Finance 9 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a final rating of “AAA” (sf) to the Class A notes issued by Credico Finance 9 S.r.l. (Credico Finance 9). Credico Finance 9 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 floating rate, first lien, fully amortizing mortgage loans mainly originated in the regions of Veneto, Emilia Romagna, Piemonte, Lombardia and Toscana. The originators and servicers of this transaction are unrated Italian cooperative banks (Banche di Credito Cooperativo or BCCs).

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.
•The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

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.

DBRS made appropriate adjustments to determine the two year probability of default, since BCCs utilise the definition of defaults (sofferenze) used by the Bank of Italy, which might give room to a discretionary judgment of when to classify a position to be defaulted.

DBRS applied penalties to borrowers who have been in arrear in the past, borrowers whose primary income was missing, mortgages with an optional repayment, mortgages flagged as second home and mortgages whose purpose was different than purchase.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology, Legal Criteria for European Structured Finance Transactions and Unified Interest Rate Model Methodology for European Securitisations, 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 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 Cantú, BCC Sesto San Giovanni, BCC Emil Banca, Banca Romagna Cooperativa (Credito Cooperativo Romagna Centro e Macerone), BCC Sala di Cesenatico and BCC Centroveneto. BBCs provided loan-level data and historical performance of mortgage portfolio dating back to 2001. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating concerns a newly issued financial instrument.

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: 5 July 2011