DBRS Downgrades the Rating on Locat SV S.r.l. – Series 2011

DBRS, Inc. (DBRS) has downgraded the Class A notes to AA (low) (sf) from AAA (sf) issued by Locat SV S.r.l. – Series 2011. Additionally, DBRS has removed the Class A notes from Under Review with Negative Implications.

The downgrade is based upon the following analytical considerations:
• Transaction performance is outside of DBRS initial expectations.
• The transaction’s available credit enhancement is insufficient to cover DBRS expected losses at the original rating level.

This rating action also considered the following:
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance. The additional stress was prompted by the recent downgrade by DBRS of the Republic of Italy’s sovereign from A (high) Under Review with Negative Implications to A, with the Negative Trend maintained.
• The transaction parties continue to meet DBRS criteria.

Notes:
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.”

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by Unicredit Leasing SpA. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on DBRS European ABS ratings, please refer to the linking document.

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.

Lead Analyst: Lain Gutierrez
Rating Committee Chair: Chuck Weilamann
Initial Rating Date: February 17, 2011
Most Recent Rating Update: December 1, 2011