DBRS Ratings Limited Puts 23 Classes from 16 European ABS Structured Finance Transactions Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today placed 23 ratings from 16 European asset-backed securities (ABS) 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, and Republic of Portugal’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:
• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO 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 ABS transactions rated by DBRS Rating Limited that have been placed Under Review with Negative Implications.

ABS Transactions

1. Adriano Lease Sec. S.r.l.
2. Consumer One S.r.l.
3. Financat 1, FTA
4. Foncaixa Leasings 1, FTA
5. Fondo De Titulizacion De Activos Santander Consumer Spain 2009-1
6. FTA Santander Financiacion 5
7. Leasetotta No. 1
8. Quarzo Lease S.r.l.
9. Quarzo S.r.l. Series 2008
10. Quarzo S.r.l. Series 2009
11. Rayo Finance Ireland (No. 1) Limited
12. Siena Lease 11-1 S.r.l.
13. Sunrise S.r.l. - Series 2009
14. Tagus Leasing No. 1
15. Tagus-Sociedade de Titularizacao de Creditos, S.A. (Aqua Finance No. 3)
16. Totta Consumer No. 1