DBRS Ratings Limited Puts 47 Classes from 39 European RMBS Structured Finance Transactions Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today placed 47 ratings from 39 European residential mortgage-backed securities (RMBS) Under Review with Negative Implications.

The rating actions reflect the May 22, 2012 DBRS placement of the Kingdom of Spain’s, Republic of Italy’s, Republic of Portugal’s, and Republic of Ireland’s long-term foreign and local currency debt ratings Under Review with Negative Implications (see the related press releases regarding the sovereign actions in the “Related Research” section).

DBRS will undertake a review to determine the impact of any potential sovereign downgrades on the transactions and will promptly publish updated rating actions that may either result in a confirmation or a downgrade. 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.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology
• Swap Criteria For European Structured Finance Transactions

These can be found on dbrs.com under Methodologies. 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”.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Below is the list of European RMBS transactions rated by DBRS Rating Limited that have been placed Under Review with Negative Implications.

RMBS Transactions:

1. 24-7 Finance S.r.l.
2. Atlantes Mortgage No. 2
3. Atlantes Mortgage No. 3
4. Atlantes Mortgage No. 4
5. Atlantes Mortgage No. 5
6. Atlantes Mortgage No. 7
7. AyT Colaterales Global Hipotecario, FTA Series AyT Colaterales Global Hipotecario Caixa Manlleu I
8. AyT Goya Hipotecario IV, Fondo de Titulizacion de Activos
9. AyT Goya Hipotecario V, Fondo de Titulizacion de Activos
10. Berica 10 Residential MBS S.r.l.
11. Berica ABS S.r.l.
12. Bocage Mortgages No. 2
13. Cassa Centrale Finance 3 S.r.l.
14. Claris ABS 2011 S.r.l.
15. Cordusio RMBS Securitisation S.r.l. Cordusio 6
16. Credico Finance 10 S.r.l.
17. Credico Finance 8 S.r.l.
18. Credico Finance 9 S.r.l.
19. GAMMA - Sociedade de Titularização de Creditos, S.A. (Azor 2)
20. Grecale ABS S.r.l. - Series 6
21. Hipocat 18 Fondo de Titulizacion de Activos
22. Hipocat 19 Fondo de Titulizacion de Activos
23. Hipototta No. 11
24. Hipototta No. 7 Limited
25. IM Sabadell RMBS 2 Fondo De Titulizacion De Activos
26. IM Sabadell RMBS 3 Fondo De Titulizacion De Activos
27. Italfinance RMBS S.r.l.
28. Lusitano Mortgages No.7 Limited
29. Magellan Mortgages No. 5 Limited
30. Magellan Mortgages No. 6 Limited
31. Mars 2600 S.R.L. Series 4 2012
32. Mespil1 RMBS Limited
33. Pelican Mortgages No. 6
34. Sagres STC (Pelican Mortgages No. 4)
35. Sagres STC (Pelican Mortgages No. 5)
36. Sociedade de Titularizac?o de Creditos, S.A. Douro Mortgages No. 4
37. Sociedade de Titularizac?o de Creditos, S.A. Douro Mortgages No. 5
38. TAGUS Sociedade de Titularização de Creditos, S.A (Aqua Mortgage No. 1)
39. Valsabbina SPV 1 S.r.l.