DBRS Ratings Limited Puts 23 Classes from 19 Italian RMBS Transactions Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today placed 23 ratings from 19 Italian residential-mortgage backed securities (RMBS) Under Review with Negative Implications. The rating actions reflect the 6 March 2013 downgrade of the Republic of Italy’s long-term foreign and local currency debt to ‘A’ (low) from ‘A’ with both ratings remaining on Negative trend.

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.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Swap Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology

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”.

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

1. 24-7 Finance S.r.l.
2. Berica 10 Residential MBS S.r.l.
3. Berica ABS S.r.l.
4. Berica ABS 2 S.r.l.
5. BPL Mortgages – Series V
6. Cassa Centrale Finance 3 S.r.l.
7. Claris ABS 2011 S.r.l.
8. Credico Finance 8 S.r.l.
9. Credico Finance 9 S.r.l.
10. Credico Finance 10 S.r.l.
11. Creso 2 S.r.l.
12. Grecale ABS S.r.l. – Series 6
13. Italfinance RMBS S.r.l.
14. Malatesta Finance S.r.l. – Series 2012
15. Mars 2600 S.R.L. Series 4 2012
16. MondoMutuiCariparma – Series 2012
17. Padovana RMBS S.r.l.
18. ResLoc IT S.r.l.
19. Valsabbina SPV 1 S.r.l.

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

The lead analyst responsibilities for each transaction have been transferred to Keith Gorman (if applicable).

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte