DBRS Places Under Review with Negative Implications Ratings on Notes Issued by Icaro Finance S.r.l.

DBRS Ratings Limited (“DBRS”) has today placed Under Review with Negative Implications the rating of A (high) (sf) on 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.

The rating action reflects the impact of the May 22, 2012, rating action by DBRS placing the long term foreign and local currency debt of the Republic of Italy Under Review with Negative Implications, and the June 22, 2012, related Commentary (see “DBRS Places Italy’s Ratings Under Review with Negative Implications” and “DBRS Maintains Spain, Italy, Portugal, Ireland Ratings Under Review”).

As of the date of issuing the rating, the Italian sovereign rating was rated A (high), Under Review with Negative Implications. Consequently, this is reflected in the rating of A (high) (sf) - Under Review with Negative Implications for the Class A Notes.

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 the 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.

The principal methodology is Master European Granular Securitisations (SME CLOs), which can be found on www.dbrs.com.

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

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

Surveillance Analyst: Alfonso Candelas
Lead Analyst: Glen Leppert
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 3 July 2012

Notes:
All figures are in Euros unless otherwise noted.