DBRS Rates Credico Finance 10 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a final rating of “AA” (sf) to the Class A notes issued by Credico Finance 10 S.r.l. (Credico Finance 10). Credico Finance 10 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 amortising mortgage loans mainly originated in the regions of Veneto, Lombardia, Emilia Romagna 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 cash reserve which provides credit support and subordination. After a cross collateralization event occurs, available funds are distributed in a combined priority of payments.
•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 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.
•Incorporation of a sovereign related stress component in our stress scenario due to the recent downgrade by DBRS of the Republic of Italy’s sovereign from AA (low) Negative Trend to A (high) Negative Trend on November 9, 2011.

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 assessed the two year probability of default, utilising BCCs definition of defaults (sofferenze) as defined by the Bank of Italy.

Note:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com 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”.

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 back-up servicing practices of ICCREA Banca S.p.A.. BBCs provided loan-level data and historical performance of mortgage portfolio dating back to 2002. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is 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.

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

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 24 April 2012