DBRS Confirms the Rating on Quarzo S.r.l. Series 2009

DBRS Ratings Limited (DBRS) has today confirmed the Series A notes issued by Quarzo S.r.l. Series 2009 at AAA (sf) and removed the ratings from Under Review with Negative Implications. The rating action follows the rating being placed Under Review with Negative Implications on 13 March 2013 due to the 6 March 2013 downgrade by DBRS of the Republic of Italy’s long-term and local currency debt to ‘A’ (low) from ‘A’ with both ratings remaining on Negative trend.

The confirmation is based upon a review of the underlying receivables which incorporates a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance.

Mediobanca SpA is the swap counterparty for the transaction. Mediobanca SpA is below the minimum rating for the First Rating Trigger per the DBRS Swap Criteria for European Structured Finance Transactions. Mediobanca SpA is currently taking the appropriate remedial actions as defined within the Schedule to the ISDA Master Agreement for the transaction which comply with the DBRS Swap Criteria.

Deutsche Bank AG/London is the Account Bank for the transaction. Deutsche Bank AG/London meets the minimum institution rating necessary for the highest rated security to be rated AAA (sf) in accordance with the DBRS Legal Criteria for European Structured Finance Transactions.

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
• 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”.

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

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

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

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 24 February 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Most Recent Rating Date: 13 March 2013
Rating Committee Chair: Erin Stafford