DBRS Rates QUADRIVIO RMBS 2013 S.R.L.

DBRS Ratings Limited (“DBRS”) has assigned the following ratings to notes of Class A1 and Class A2 (together, the Class A notes) issued by Quadrivio RMBS 2013 S.R.L. (“Q4”).

• AAA (sf) to Class A1
• AAA (sf) to Class A2

The transaction is a securitisation of prime Italian residential mortgage loans originated in the Republic of Italy by Credito Valtellinese S.C., Cassa di Risparmio di Fano S.p.A. and Credito Siciliano S.p.A.The transaction has a relatively low LTV at approximately 55% (un-indexed). The original un-indexed loan to value was approximately 62%. The loans in the portfolio are granular with the average loan balance at approximately €108,000. The loans in the transaction are made exclusively to Bank of Italy SAE code 600, 614 and 615. The majority of the loans, approximately 81.00%, were originated to SAE code 600, which constitutes individuals. The balance of the loans, approximately 19%, were originated to artisans and small businesses.

Credit enhancement for the Class A notes is calculated as 27.57% comprises the Class B notes and the reserve fund. The reserve fund stands at €26.00million and cannot amortise whilst the Class A notes are outstanding. The Class A2 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.

The liabilities and the majority of the loans (approximately 66%) pay interest linked to 3 months Euribor. However, the loan portfolio also consists of fixed rate loans, loans with the option to move to a fixed rate and loans with a capped interest rate amount. There is no interest rate swap in the transaction. DBRS has modeled the interest rate risk associated with the mismatch between the interest rates on the assets and on the liabilities using its Unified Interest Rate Methodology. The servicing agreement allows for a limited number of loans to be renegotiated. Loans that are currently paying floating and uncapped interest can convert to either fixed or to a capped floating rate of interest. DBRS has modeled the possible impact of these renegotiations into its cash flow analysis.

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.

Credito Valtellinese S.C. is the servicer and it delegates the servicing operations to each of the other originators, each of which operates as a sub-servicer. In addition there is also a back-up servicer and a back-up servicing facilitator. The Back-up servicer is Banca Popolare di Vicenza S.C.p.A. All transaction parties are suitably rated in accordance with DBRS methooldogy at the time of the initial rating to allow the class A1 and A2 notes to be 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
• 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”.

These can be found on dbrs.com under Methodologies.

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 issued 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.

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 9th August 2013
Lead Surveillance Analyst: Keith Gorman

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