DBRS Confirms Credico Finance 9 S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the Class A notes issued by Credico Finance 9 S.r.l. at AAA (sf). The rating action reflects the following analytical considerations:

•Incorporation of a sovereign related stress component in the rating analysis. The additional stress was prompted by the recent downgrade by DBRS of the Republic of Italy’s sovereign from AA (low) to A (high) with the Negative Trend maintained.
•Upon incorporation of the sovereign related stress component, the transaction is performing within DBRS expectations and available credit enhancement for the notes is sufficient to cover DBRS stressed assumptions.
•The transaction parties’ continue to meet DBRS legal criteria.

On November 9th, 2011, DBRS downgraded the Republic of Italy’s Long Term Foreign Currency and Long-Term Local Currency ratings from AA (low) to A (high) with the Negative Trend maintained (see press release “DBRS Downgrades Republic of Italy to A (high) on Fiscal and Market Risks; Trend Remains Negative”).

The principal methodologies applicable are Master European Structured Finance Surveillance Methodology, Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”, located at http://dbrs.com/research/239786.

For additional information on these ratings, please refer to the linking document.

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 3 July 2011