DBRS Takes Rating Actions on Italian RMBS Transactions

DBRS Ratings Limited (DBRS) has today taken rating actions on 17 classes from 15 Italian RMBS transactions. From the 17 classes, 16 classes were confirmed the remaining 1 class remains Under Review with Negative Implications. Additionally, DBRS has removed all confirmed Notes from Under Review with Negative Implications.

The Class A notes of ResLoC IT S.r.l. remains Under Review with Negative Implications following recent increase in late stage delinquencies. DBRS will undertake a detailed analysis of this transaction as soon as possible.

The rating actions are based upon the following analytical considerations:
• 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 rating from ‘A’ (high) Under Review with Negative Implications to ‘A’, with the Negative Trend maintained (see “DBRS Downgrades Italy to ‘A’ on Deteriorating Growth Outlook and Rising Systemic Risks”).
• The transaction parties continue to meet DBRS criteria.

The following transactions were reviewed:
• 24-7 Finance S.r.l.
• Berica ABS S.r.l.
• Cassa Centrale Finance 3
• Claris ABS 2011 S.r.l.
• Credico Finance 8 S.r.l.
• Credico Finance 9 S.r.l.
• Credico Finance 10 S.r.l.
• Creso 2 S.r.l.
• Grecale ABS S.r.l. - Series 6
• Italfinance RMBS S.r.l.
• Malatesta Finance S.r.l. – Series 2012
• Mars 2600 S.R.L. – Series 4 2012
• MondoMutui Cariparma – Series 2012
• Padovana RMBS S.r.l.
• ResLoC IT S.r.l.
• Valsabbina SPV 1 S.r.l.

Notes:
The principal methodologies applicable are:
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• 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 investor remittance reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on this rating, please see linking document

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Claire Mezzanotte/ Quincy Tang