DBRS Rates MARCHE M6 S.R.L.

DBRS Ratings Limited (“DBRS”) has today assigned the following ratings to notes issued by MARCHE M6 S.R.L. (“MM6”):

o AAA (sf) to Class A1
o AAA (sf) to Class A2
o AAA (sf) to Class A3

The transaction is a securitisation of prime Italian residential mortgage loans originated in the Republic of Italy by Banca delle Marche S.p.A., (Banca Marche). The transaction has a relatively low LTV at approximately 52.2% (un-indexed). The original un-indexed loan to value was approximately 59%. The loans in the portfolio are granular with the average loan balance at approximately €101,000 and the top 20 borrowers by loan balance accounting for less 1% of the pool by balance. The loans in the transaction are made exclusively to Bank of Italy SAE code 600, 614 and 615. The bulk of the loans, approximately 93.00%, were originated to SAE code 600, which constitutes individuals. The balance, of approximately 7%, were originated to artisans and entrepreneurs.

Credit enhancement for the Class A notes is calculated as 23.20% comprises the Class J notes and the reserve fund. The reserve fund stands at €68.02m at transaction’s close and can amortise to €34.01m. The Class A2 and Class A3 notes are time subordinated to the Class A1 notes in that they will only receive principal payment after the Class A1 note has been paid in full. Likewise the Class A3 note will only receive principal after the Class A2 note has been paid in full. The loan portfolio consists of fixed rate loans, floating rate loans, loans with the option to move to a fixed rate and loans with a capped interest rate amount. The interest rate associated with this risk is hedged by a series of three interest rate swaps provided by J.P. Morgan Securities plc, and guaranteed by JPMorgan Chase Bank, N.A. The swaps in each case have a notional that will be the lower of a predefined swap notional schedule and respective collateral balance of the balance of the loans covered by that swap. DBRS has run standard prepayment and default timing curves in its cash flow mechanics to account for the risk that there may be a portion of the pool that is unhedged in low prepayment scenarios.

The transaction is a fully liquidating structure. Following the payment of senior fees Class A interest and replenishment of the reserve fund, all principal goes to redeem the Class A notes in the order mentioned above. This allows all available excess spread (if any) to be used to amortise the Class A notes. This facilitates credit enhancement build up at a quicker rate than may otherwise be the case absent of this structural feature.

Banca Marche is the loan servicer and also fulfills the roles of the collection account. Monies are transferred to an account held with BNP Paribas Securities Services, Milan Branch. At the time of issuing rating the necessary transaction parties meet the minimum rating requirements for the Class A notes to be rated AAA (sf).

The ratings are based upon DBRS review of the following analytical considerations:
• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination.
• The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• 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 Finance Transactions.

Notes:
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 Structured Finance Servicers
• Derivative Criteria for European Structured Finance Transactions
• 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 include investor reports and documents provided by the issuer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information upon which DBRS ratings and reports are based, and any other Content displayed on the Site, is obtained by DBRS from sources DBRS believes to be accurate and reliable. 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 extent of any factual investigation or independent verification depends on facts and circumstances.

The final ratings concern newly issues financial instruments.

This is the first DBRS rating on these financial instruments.

For further information on DBRS’s 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.

For additional information on this rating, please see the linking document located at http://www.dbrs.com/research/259097/linking-document-marche-m6-s-r-l.pdf

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Quincy Tang
Initial Rating Date: 25 June 2013