DBRS Confirms Ratings of Mars 2600 S.r.l. – Series 4 (2012) S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed the Series 4 issues by Mars 2600 S.r.l. (the “Issuer”) and confirms the rating of the Class A1 and Class A2 (“The Class A”) Notes at AA (sf).

Mars 2600 S.r.l. is a SPV set up in 2004. The Series 4 issuance is the fourth series of RMBS notes issued by the SPV and are backed by Italian residential mortgages (portfolio of EUR 398 million at closing) originated by Banca Sella S.p.A which also operates as the Servicer of the portfolio. The Series 4 Class A Notes were issued in February 2012.

Confirmation of the ratings for the Class A Notes is based upon the following analytical considerations, as described more fully below:

• Portfolio performance, in terms of the levels of delinquencies and defaults, as of the 25 February 2014 payment date.
• Updated portfolio default, loss given default and expected loss estimates for the remaining pool of mortgages.
• Current available credit enhancement to Class A Notes to cover the expected losses at the AA (sf) rating level.

As of the 25 February 2014 payment date, the current 90+ delinquency ratio as a percentage of the current balance of the portfolio was 0.33% and the 180+ delinquency ratio was 0.15%. The cumulative default ratio was 19 basis points of the original collateral balance.

Credit enhancement for the Class A Notes (as a percentage of the collateral balance) consists of subordination of the Class D Notes (16.18%). The Class A Notes are further supported by a Cash Reserve Fund which was initially funded with a part of the Class D issuance and is currently equal to its target amount of EUR 7.45 million. The Cash Reserve Fund may start to amortise once the Class A Note factor is below 0.5, subject to further performance conditions. The Cash Reserve Fund is only available to meet any senior fees or interests payment to the rated Class A Notes.

BNP Paribas Securities Services SA/Milan (the “Account Bank”) holds the Treasury Account for the transaction. The DBRS private rating of the Account Bank complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Securitisation Services S.p.A. (the “Calculation Agent”) and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 04 April 2013, when DBRS confirmed the rating of AA (sf) to Class A Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current receivables. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The base case PD and LGD of the current pool of mortgages for the Issuer are 6.31% and 4.36%, respectively. The corresponding levels at the AA (sf) rating level are 22.77% and 15.72%.
• The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of Class A1 Notes would be expected to remain at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A1 Notes would be expected to remain at AA (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating of the Class A1 Notes would be expected at remain at AA (sf).

Class A1 and Class A2 Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (sf)
• 50% increase in LGD, expected rating of AA (sf)
• 25% increase in PD, expected rating of AA (sf)
• 50% increase in PD, expected rating of AA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Kali Sirugudi
Initial Rating Date: 23 March 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies

• Legal Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Unified Interest Rate Model for European Securitisations