DBRS Assigns Ratings to the Class A Notes Issued by Icaro Finance S.r.l.

DBRS, Inc. (“DBRS”) has today assigned a rating of A (high) (sf) to the EUR 485 million Class A Asset Backed Floating Rate Notes (the “Class A Notes” or the “Rated Notes”), issued by Icaro Finance S.r.l. (the “Issuer”). The Issuer is a limited liability company incorporated under the laws of Italy. The transaction is a multi-originator, cash flow securitisation collateralised by a portfolio of bank loans to Italian Small and Medium Sized Enterprises (“SMEs”) which were originated by:
• Banca Alpi Marittime Credito Cooperativo Carrù Società Cooperativa per Azioni (“ALPI”);
• Banca di Romagna S.p.A. (“BDR”)
• Cassa di Risparmio di Bra S.p.A. (“BRA”)
• Cassa di Risparmio di Cesena S.p.A. (“CRC”)
(collectively referred to as the “Originators” and the “Servicers”).

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Maturity Date of November 2043. DBRS does not rate the:
• EUR 60,670,000 Class B1 Asset Backed Floating Rate Notes,
• EUR 83,860,000 Class B2 Asset Backed Floating Rate Notes,
• EUR 83,650,000 Class B3 Asset Backed Floating Rate Notes; or
• EUR 40,010,000 Class B4 Asset Backed Floating Rate Notes,
(collectively the “Class B Notes” or the “Junior Notes”).

The Class A Notes and the Class B Notes together are referred to as the “Bonds”.

As of 31 May 2012, the transaction portfolio consisted of the aggregate of 4,367 loans extended to 3,704 individual borrowers or borrower groups. The par balance of the loan portfolio is EUR 737,040,333, which consisted of (i) EUR 717,585,927 of loans that are not in arrears, and (ii) EUR 19,454,406 of loans that are in arrears less than 30 days. The par balance of the loan portfolio is funded by the aggregate issuance of the Bonds.

Each of the four Originators (ALPI, BDR, BRA and CRC) will fund a representative portion of the Cash Reserve through the proceeds of the issuance of Class B notes. The reserve fund will have an aggregate initial balance of EUR 15,762,500 (equal to 3.25% of the initial balance of the Class A Notes). These funds will be deposited in a 4 sub-cash reserve accounts opened with the Custodian Bank (Bank of New York Mellon, London Branch). Prior to the delivery of a Trigger Notice, the reserve fund is available to cover senior expenses and interest shortfalls on the Class A notes throughout the life of the transaction, and will only be available as credit support when the balance of the reserve fund can fully repay the Class A notes or at final legal maturity

ALPI and BRA will act as the Servicers of their originated portion of the portfolio, and as such collects all payments from the borrowers before transferring the proceeds to the Custodian Bank. CRC will be the servicer for both its portfolio and BDR portfolio, however BDR has been appointed as sub-servicer for its portfolio.

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 credit enhancement for the Class A Notes is equal to the excess above the outstanding principal of the Class A Notes of the aggregate of (i) the performing asset balance, (ii) the balance in the Cash Reserve Account, (iii) the EUR 50,000 Retention Amount and (iv) the amortisation proceeds of the loans prior to the Issue Date. The credit enhancement of the Class A Notes at the Issue date is therefore EUR 267,852,833.26.
-- In addition, the Cash Reserve provides protection to the Class A Notes by ensuring that fees and costs that are senior in the Pre-Trigger Priority of Payments to the interest of the Rated Notes are paid. The Cash Reserve Account is replenished in the Priority of Payments after principal payments are made to the Class A Notes.
-- The credit enhancement and other protections for the Class A Notes enable them to return the scheduled principal and interest payments under projected default and recovery scenarios.

• The Issuer has not entered into any hedging contracts.
-- The Issuer is at risk due to the potential mismatch between (i) the reference index of the Class A Notes and the reference indices of the assets, (ii) the payment frequencies of the assets and the quarterly payments of the Class A Notes and (iii) the difference in the reset dates between the Class A Notes and the assets.
-- The potential risk due to a payment frequency mismatch between the liabilities and the loan collateral is, however, mitigated by the proportion of loans of the performing portfolio that pay, irrespective of the underlying reference index, quarterly, 24.73%, and monthly, 60.63%.
-- Interest rate risk and basis rate risk has addressed in the cash flow modeling of the transaction.

• Over the life of the transaction, the Servicers (ALPI, BDR, BRA and CRC), have the authority to modify the loans within their originated portion of 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, include reductions in interest rates, payment holidays and extension of the loan term. 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 quarterly, generally on the 12th day of of February, May, August and November. The first Payment Date will be 12 November 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 Originators (ALPI, BDR, BRA and CRC), the Issuer, Icaro Finance S.r.l., and their agents.

DBRS considers the information available to it for the purposes of providing this rating was limited due to the size of the Originators and the quantity and format of data provided. The data 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, as opposed to the standard of 90 days used by DBRS. Publicly available historical default data was obtained from the Bank of Italy and was used to augment the data obtained from the Originators. Aside from the data quality issue with regards to the definition of default and the limited number of defaults in the data provided by the Originators, DBRS considers the other information available to it for the purposes of providing this rating was of satisfactory quality.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Lead Analyst: Glen Leppert
Rating Committee Chair: Jerry van Koolbergen
Rating Date: 29th of June 2012

Note:
All figures are in Euros unless otherwise noted.