DBRS Assigns Ratings to the Class A Notes and Class B Notes issued by Siena SME 11-1 S.r.l.

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the EUR 1,244.2 million Class A Mortgage Backed Floating Rate Notes (the “Class A Notes”) and a rating of A (low) (sf) to the EUR 394.5 million Class B Mortgage Backed Floating Rate Notes (the “Class B Notes”), together the “Rated Notes”, issued by Siena SME 11-1 S.r.l. (the “Issuer”). The Issuer is a limited liability company incorporated under the laws of Italy. The transaction is a cash flow securitisation collateralised by a portfolio of bank loans to (i) Italian Small and Medium Sized Enterprises (“SMEs”) and (ii) Italian corporates, all of which were originated by MPS Capital Services Banca per le Imprese S.p.A. (“MPSCS”). The rating on the Class A Notes addresses the timely payment of principal and interest payable on or before the Final Maturity Date in accordance with the transaction documents. The rating on the Class B Notes addresses the ultimate payment of interest and principal payable on or before the Final Maturity Date in accordance with the transaction documents. DBRS does not rate the EUR 1,395.9 million Class C Mortgage Backed Floating Rate Notes (the “Class C Notes”). The Class A Notes, Class B Notes and Class C Notes together are referred to as the “Bonds”.

The transaction portfolio consists of the aggregate of 3,494 loans extended to 3,105 separate SME and corporate borrowers. On the Issue Date, the par balance of the portfolio is EUR 3,034.6 million, which is funded by the aggregate issuance of the Bonds. In addition, there is a Cash Reserve financed by the issuance of the Bonds.
• The initial level of the Cash Reserve is EUR 71.09 million.
• The Cash Reserve can amortise as the balance of the Bonds declines. It must maintain the Target Reserve Amount level, which is equal to the higher of:

1. 2.31% of the aggregate balance of the Bonds and
2. EUR 15.0 million.

The Cash Reserve will be replenished through the Priority of Payments.

MPSCS acts as the Originator and Servicer of the portfolio, and the Cash Manager. Intesa Sanpaolo S.p.A. is the Italian Account Bank and BNP Paribas, Italian Branch is the Principal Paying Agent.

The rating of the Rated Notes is based upon DBRS’s review of the following considerations:
• Transaction structure, the form and sufficiency of available credit enhancement, the portfolio characteristics and the cash trapping mechanisms.
-- The Rated Notes’ credit enhancement is equal to the asset overcollateralisation of the Rated Notes. This is the amount by which the portfolio balance exceeds the notional of the Notes in question. On the Issue Date, the overcollateralisation of the Class A Notes is EUR 1,860.9 million, and of the Class B Notes is EUR 1,466.4 million.
-- In addition, the reserve amounts provide additional protection to the Rated Notes by providing liquidity protection against (i) the risk that there is an interruption in the operation of the Servicer, (ii) any mismatch between the proceeds received and the amounts required to be paid as senior fees, and interest due and payable to the Rated Notes.
-- The credit enhancement and other protections for the Rated Notes enable them to return the scheduled principal and interest payments under projected default and recovery scenarios.
-- The Cash Reserve is funded at the close of the transaction through the issuance of the Class C Notes. The Cash Reserve can be used to pay any unpaid items in the Pre-Trigger Interest Priority of Payments that are the fees, hedge payments that are paid senior in the Priority of Payments, and the interest due and payable to the Rated Notes.

• The Issuer has not entered into any hedging contracts.
-- The Issuer is at risk due to the potential mismatch between the reference index of the Bonds and the assets.
-- There is additional risk due to the high proportion of loans, approximately 92.5%, that pay on a semi-annual basis compared to the monthly payment frequency on the Bonds.
-- These risks have been addressed by the sizing of the Cash Reserve and amount of subordination in the structure. The analysis run by DBRS stressed both the timing mismatch and the difference in reference indices.

• Over the life of the transaction, MPSCS, as the Servicer, has the authority to modify the loans in the portfolio, depending on the situation of the borrower. The Servicer would do this if, in its judgment, it would most likely get a more favorable outcome than if no relief were offered. These modifications, or renegotiations, can include reductions in interest rates, payment holidays, extension of the loan term and switching from fixed to floating interest rates at a lower level. However, these renegotiations will, in general, be disadvantageous to the Issuer in the short term, leading to a loss, even if they produce a better overall outcome in the long term. This transaction has no mechanism to compensate the Issuer for these losses; therefore DBRS stressed the transaction parameters additionally to account for this.

• Review of the legal structure and operational capabilities of key transaction participants.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. Interest and principal payments on the Notes will be made monthly, generally on the second day of the month. The first payment date will be 2 March 2012.

• The transaction parties’ financial strength and capabilities to perform their respective duties and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The principal methodology is “Master European Granular Corporate Securitisations (SME CLOs)”, which can be found on our website under Methodologies.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originator, MPS Capital Services Banca per le Imprese S.p.A., the Issuer, Siena SME 11-1 S.r.l., and its agents.

DBRS considers the information available to it for the purposes of providing this rating was of average quality. DBRS adjusted its analysis to account for the quality of information provided. The source of our concern is the historical information provided for DBRS to determine the average annual default rate of corporate borrowers. The average annual default rate for corporate borrowers is a key input parameter in DBRS analysis, and is derived by DBRS from information provided to it by MPSCS. MPSCS provided historical default and delinquency information based on the notional amount and number of loans it had originated since 2004, but this did not match the definition and form that DBRS bases its analysis on. The definition of default in the Italian market is at least 180 days in arrears, among other criteria, as opposed to the European Central Bank standard of 90 days. The MPSCS data reflected this standard.

However, MPSCS did supply additional arrears information incorporating both the notional and the number of loans in arrears. DBRS was therefore able to use this data to analyse the historical performance of MPSCS. As a result, the data provided by MPSCS is considered to be of average quality. Aside from the data quality issue with regards to the calculation of the average annual default rate, DBRS considers the other information available to it for the purposes of providing this rating was of satisfactory quality.

Further information on DBRS’ analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Disclosure Requirements, located at http://www.dbrs.com/research/237794.