DBRS Confirms 6 Classes of Italian RMBS Transactions

DBRS Ratings Limited (DBRS) has today removed six ratings from six discrete Italian residential mortgage-backed securities (RMBS) transactions from Under Review with Negative Implications. DBRS has today subsequently confirmed six ratings from six discrete Italian RMBS.

As part of the monitoring process for outstanding securitisations, DBRS incorporates changes to the level of sovereign risk and subsequent changes to the level of risks related to transaction parties and counterparties into its analysis. 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 on securitisation ratings due to less favorable macroeconomic conditions, stress factors related to the transaction parties and increased likelihood for unknown events to occur.

The review of the outstanding securitisations was prompted by 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”).

Notes:
The principal methodologies applicable are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions 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.
RMBS Transactions

1.Credico Finance 8 S.r.l.

2.Credico Finance 9 S.r.l.

3.24-7 Finance S.r.l.

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

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

6.Italfinance RMBS S.r.l.