Press Release

DBRS Assigns Ratings to IBL CQS S.r.l. – Private Transaction - Series 2012-1

Consumer Loans & Credit Cards
July 06, 2012

DBRS Ratings Limited (DBRS) has today assigned final ratings of ‘A’ (high) (sf) – Under Review with Negative Implications to the Class A fixed rate notes and BBB (sf) – Under Review with Negative Implications to the Class B fixed rate notes to be issued by IBL CQS S.r.l. The Notes are backed by a pool of salary assignment and delegation of payment receivables originated in Italy by IBL Banca S.p.A.

The ratings relate to the notional amount of the Programme. The final ratings are assigned to the proportion paid up at the closing date. It is anticipated that the Issuer will increase obligations up to the notional amount on various pre-determined dates until July 2013, assuming pre-determined conditions have been met.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement is in the form of subordination and an amortising cash reserve which provide credit support only at final maturity date. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at an ‘A’ (high) (sf) standard for the Class A Notes and BBB (sf) for the Class B Notes.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
• As of the date of issuing the rating, the Italian sovereign rating is rated ‘A’ (high), Under Review with Negative Implications. Consequently, this is reflected in the rating of ‘A’ (high) (sf) - Under Review with Negative Implications for the Class A notes and BBB (sf) - Under Review with Negative Implications for the Class B notes.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:

• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Unified Interest Rate Model Methodology for European Securitisations

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”.

The sources of information used for this rating include performance data relating to the receivables provided by IBL Banca S.p.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

For additional information on this rating, please see the linking document.

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

Lead Analyst: Alessio Pignataro
Rating Committee Chair: Chuck Weilamann
Initial Rating Date: 29 June 2012

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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