DBRS Confirms the Rating on Class A Notes Issued by Marche M5 S.r.l. and Removes from UR-Negative

DBRS Ratings Limited (“DBRS”) has today confirmed the AA (sf) rating on the EUR 1,195,000,000 Class A Notes issued by Marche M5 S.r.l. (“the Issuer”) and has removed them from Under Review with Negative Implications.

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 principal methodology is the Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

Marche acts as the Originator, Servicer, Cash Manager and Collection Account Bank of the portfolio. J.P. Morgan Securities Limited acts as the Hedging Counterparty. BNP Paribas Securities Services S.A. (Milan Branch) is the Italian Account Bank, and BNP Paribas Securities Services S.A (London Branch) is the English Account Bank. In addition, Italfondiario S.p.A. is the Back-Up Servicer.

The rating actions reflect the 8 August 2012 downgrade of the Republic of Italy from A (high) Under Review Negative to A, Negative Trend, including the incorporation of a sovereign related stress component related to the A rating on trend Negative.

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”, located at http://dbrs.com/research/239786.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originator, the Issuer and its agents.

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

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

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

Surveillance Analyst: Alfonso Candelas Bernal
Lead Analyst: Mudasar Chaudhry
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 27 June 2012

Note:
All figures are in Euros unless otherwise noted.