DBRS Confirms the Rating on Asset-Backed Securitisation Transaction Four S.r.l.

DBRS Ratings Limited (DBRS) has confirmed the Class A notes issued by Asset-Backed Securitisation Four S.r.l. at AAA (sf) and removed the rating 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 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. Additionally, transaction counterparties continue to meet DBRS criteria.

Notes:

The principal methodologies applicable are:
• Rating 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 FGA Capital S.p.A. 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: Mike Babick
Initial Rating Date: 21 June 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Most Recent Rating Date: 13 March 2013
Rating Committee Chair: Chuck Weilamann