DBRS Ratings Limited Take Actions on 14 Classes of Italian ABS, RMBS and SME Transactions

DBRS Ratings Limited (DBRS) has today Under Review with Negative Implications 11 ratings for Italian asset-backed securities (ABS), residential mortgage-backed securities (RMBS) transactions. Actions were taken on five ABS ratings and six RMBS rating from 11 discrete transactions. Furthermore, DBRS confirms the three ratings from one discrete SME transaction.

The rating actions reflect the November 9th, 2011 DBRS downgrade of the Republic of Italy’s Long Term Foreign Currency and Long-Term Local Currency ratings from AA (low) to A (high) with the Negative Trend maintained (see press release “DBRS Downgrades Republic of Italy to A (high) on Fiscal and Market Risks; Trend Remains Negative”).

DBRS will undertake a review to determine the impact of the sovereign downgrade on each transaction. DBRS employs a case-by-case approach that is jurisdiction-specific and asset-class specific with the risks and protections of each transaction identified and considered. The lower the sovereign rating, the greater relevance and potential impact it has on securitisation ratings due to less favorable macroeconomic conditions, stress factors related to the transaction parties and increased likelihood for unknown events to occur.

Upon the conclusion of the rating analysis, DBRS will promptly publish rating actions for each transaction that may either result in a confirmation or a downgrade.

Notes:
The principal methodologies applicable are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Rating European Consumer and Commerical Asset-Backed Securitisations, Master European Granular Corporate Securitisations (SME CLOs) and Master European Structured Finance Surveillance Methodology which can be found on www.dbrs.com. 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”, located at http://dbrs.com/research/239786.

For a more detailed discussion of the rating actions taken on the transactions listed below, please refer to the links.
ABS Transactions

1. Sunrise S.r.l. - Series 2009

2. Quarzo S.r.l. Series 2008

3. Quarzo S.r.l. Series 2009

4. Quarzo Lease S.r.l.

5. Consumer One S.r.l.

RMBS Transactions

6. Credico Finance 8 S.r.l.

7. Credico Finance 9 S.r.l.

8. 24-7 Finance S.r.l.

9. Cassa Centrale Finance 3 S.r.l.

10. Grecale ABS S.r.l. - Series 6

11. Italfinance RMBS S.r.l.

SME Transaction

12. Impresa One S.r.l.