DBRS Assigns Ratings to Consumer One S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the Series A Notes issued by Consumer One S.r.l. The receivables securitised consist of special purpose loans, personal loans, and consumer auto loans.

The ratings are based upon review by DBRS of the following analytical considerations:

•Transaction capital structure and form and sufficiency of available credit enhancement.

•Relevant credit enhancement is in the form of subordination and a cash reserve. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at a AAA (sf) level.

•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.

•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.

•The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are Rating European Consumer Asset-Backed Securitisations, Legal Criteria for European Structured Finance Transactions and the Unified Interest Rate Model Methodology for European Securitisations, which can be found on our website under Methodologies.

The sources of information used for this rating include performance data relating to the receivables provided by Unicredit S.p.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please see the linking document.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 01 August, 2011