DBRS Rates Italfinance RMBS S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a final rating of “AAA” (sf) to the Class A notes issued by Italfinance RMBS S.r.l Italfinance RMBS S.r.l. has 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, mortgage loans. The loans were originated by Banca Italease S.p.A. and are advanced to borrowers in the Republic of Italy. Banca Italease S.p.A. was not able to provide DBRS with static performance data in the format that was requested. However, given that the transaction originally closed in November 2008 DBRS was able to calculate a suitable proxy for the 2 year PD based on date from the data tape and from investor reports. The transaction has a larger than typical exposure to Southern Italy, a factor that is taken into account in DBRS analysis by assuming all defaulted loans taken 60 months for recovery proceeds to be available to the transaction.

The transactions ratings are based on.

•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement is in the form of excess spread (if any), subordination and the cash reserve.
•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, an Italian housing market and property price trend evaluation, and finally a cash flow analysis 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 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 and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Unified Interest Rate Model Methodology for European Securitisations and Swap 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 working papers and data on the Italian economy and housing market. DBRS conducted an operational review on the origination and servicing practices of Banca Italease S.p.A. Banca Italease S.p.A provided loan-level data and historical performance of mortgage portfolio dating back to 2006. 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.

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: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 10 August 2011