DBRS Confirms Rating on Class A Notes Issued by Icaro Finance Srl and Removes them from UR-Negative

DBRS Ratings Limited (“DBRS”) has today confirmed the rating of A (high) (sf) on the EUR 485,000,000 Class A Notes issued by Icaro Finance S.r.l. (“the Issuer”) and has removed them from Under Review with Negative Implications.

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”)

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

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 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: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 3 July 2012

Note:
All figures are in Euros unless otherwise noted.