DBRS Rates Creso 2 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a final rating to the following Notes issued by Creso 2 S.r.l.

• ‘A’ (sf) rating – Under Review with Negative Implications, to the Class A notes EUR 274,400,000

The Class B note, which is junior to the above class of note, is not rated.

The Class A and B Notes are backed by fixed and floating rate, first lien, fully amortising Italian mortgage loans. The originators of the transaction are Cassa di Risparmio della Provincia di Chieti S.p.A (Carichieti). Servicing of the mortgages will be undertaken by Carichieti.

The ratings are based upon DBRS review of the following analytical considerations:
• Transaction capital structure and form as well as sufficiency of available credit enhancement.
• Relevant credit enhancement is in the form of subordination, and potentially from excess spread.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• 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 FinanceTransactions.
• Incorporation of a sovereign related stress component in our stress scenario due to the rating of the Republic of Italy at ‘A’ (high), which was placed Under Review with Negative Implications on May 22, 2012 (see press release “DBRS Places Italy’s Ratings Under Review with Negative Implications”).
• As of the date of issuing the rating, the Italian sovereign rating is rated ‘A’ (high), Under Review with Negative Implications. Consequently, this is reflected in the rating of ‘A’ (sf) - Under Review with Negative Implications for the Class A notes.

Upon a confirmation of the current sovereign rating, DBRS is expected to confirm and remove the rating for the Class A Notes from Under Review with Negative Implications. Upon a downgrade of the current sovereign rating, DBRS will apply an additional sovereign related stress component to the Notes, which may result in a confirmation or downgrade of the existing rating and removal of the rating from Under Review with Negative Implications.

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, an 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, utilizing Carichieti’s definition of defaults (sofferenze) as defined by the Bank of Italy. 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.”

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 may 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 origination and servicing practices of Carichieti. Carichieti provided loan-level data and historical performance of the mortgage portfolio dating back to 1999. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created 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: Konstantine Pastras
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: August 2, 2012