DBRS Places Under Review with Negative Implications Ratings on Notes Issued by Marche M5 S.r.l.

DBRS Ratings Limited (“DBRS”) has today placed Under Review with Negative Implications the rating of AA (sf) on the EUR 1,195 million Class A Asset Backed Floating Rate Notes (the “Class A Notes”) issued by Marche M5 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 Italian Small and Medium Sized Enterprises (“SMEs”) which were originated by Banca delle Marche S.p.A. (“Marche”).

The rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal payable on or before the Final Maturity Date in October 2065.

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 AA (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, the Issuer and their agents.

Marche provided historical default and delinquency information based on the notional amount, not the number of loans. The data provided 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. However, DBRS used additional dynamic arrears data provided by Marche to determine conservative average annual default rate. 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.

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: Mudasar Chaudry
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 27 June 2012

Notes:
All figures are in Euros unless otherwise noted.