Bologna, 21/09/2004

The new Standard & Poor's approach to the default modelling of Italian mortgage portfolios, includes the CRIF Decision Solutions Mortgage Risk Scale, a risk assessment that is based on the CRIF Credit Bureau Score computed at the time of securitization, thus allowing to incorporate an updated measure of the borrower risk.

The CRIF Credit Bureau Score is the industry standard risk bureau score that is built on borrowers' past and current behaviour on their credit portfolio recorded in EURISC, the leading Italian Credit Bureau of CRIF. The CRIF Credit Bureau Score is the most widespread consumer credit score available to the Italian market, allowing to measure and compare customers' risk across different credit portfolios.
The new generation of CRIF Credit Bureau Score, released early this Spring, provides enhanced credit risk assessment by leveraging the richness of the EURISC database through deeper segmentation, additional scorecards

On the basis of the CRIF Credit Bureau Score, and specifically for the S&P RMBS rating process, CRIF Decision Solutions has developed the CRIF Decision Solutions Mortgage Risk Scale, to support the estimate of the life time probability of default of Italian mortgage portfolios.

"I'm glad that Standard & Poor's has integrated the CRIF Credit Bureau Score in its analysis, demonstrating an acceptance of the score's predictive power and accuracy," says Silvia Ghielmetti, Director of CRIF Decision Solutions. "The integration of CRIF Decision Solutions mortgage Risk Scale into Standard & Poor's RMBS rating model represents an innovative approach, not only for the Italian market but for the whole European market."

"We believe that the new approach will bring tangible benefits to the Originators and in general to all participants in the Italian Securitisation market - adds Prof. Jean Marie Bouroche, Director of the CRIF Decision Solutions Scientific Committee - By improving the ability to quantify risk, we expect that the inclusion of the CRIF Decision Solutions Mortgage Risk Scale will bring, on average, a progressive reduction in the Credit Enhacement levels."