DBRS, Inc. Puts 17 Classes from 11 European ABS Structured Finance Transactions Under Review with Negative Implications

DBRS, Inc. (DBRS) has today placed 17 ratings from 11 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”.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Below is the list of European ABS transactions rated by DBRS, Inc. that have been placed Under Review with Negative Implications.

ABS Transactions

1. Asset-Backed Securitisation Transaction Four S.r.l.
2. AyT Unicaja Financiacion I, FTA
3. Golden Bar (Securitisation) S.r.l. 2
4. GC Sabadell Empresas 2
5. GC Sabadell Empresas 4
6. ICCREA SME CART S.r.l.
7. IM Grupo Banco Popular Leasing 2, FTA
8. LEO CONSUMO 1 S.R.L.
9. Locat SV S.r.l.
10. TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No.1)
11. TAGUS SOCIEDADE DE TITULARIZAÇÃO DE CRÉDITOS, S.A. (EnergyOn No.2)