DBRS Ratings Limited Confirms 5 Classes of Italian ABS Transactions

DBRS Ratings Limited (DBRS) has today removed five ratings from five discrete Italian asset-backed securities (ABS) transactions from Under Review with Negative Implications. DBRS has today subsequently confirmed five ratings from five 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 Legal Criteria for European Structured Finance Transactions, Rating European Consumer and Commerical Asset-Backed Securitisations 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.