DBRS Takes Rating Actions on IBL CQS S.r.l. – Public Transaction – Series 2012-2

DBRS Ratings Limited (DBRS) has downgraded the rating of the Class A Notes issued by IBL CQS S.r.l. to ‘A’ (sf) from ‘A’ (high) (sf), and confirmed the Class B Notes at BBB (low) (sf). Additionally, DBRS has removed the ratings from Under Review with Negative Implications. The rating action follows the ratings 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 Notes are backed by a pool of salary assignment and delegation of payment receivables originated in Italy by IBL Banca S.p.A. The collateral consists of loans to pensioners or individuals working in the public sector. As such the performance of the Class A Notes is assumed to be highly correlated with the sovereign rating. The downgrade of the Class A Notes is a based upon the downgrade of the Republic of Italy.

The confirmation of the Class B Notes 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. Upon incorporation of the sovereign related stress component, the transaction is performing within DBRS expectations and available credit enhancement for the notes is sufficient to cover DBRS stresses expectations.

The Bank of New York Mellon, London Branch and the Bank of New York Mellon (Luxembourg) S.A., Italian Branch are the English Account Bank and Italian Account Bank, respectively, for the transaction. Both entities comply with the DBRS Legal Criteria for European Structured Finance Transactions given the ratings of the Notes.

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 Instituto Bancario del Lavoro 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: Alessio Pignataro
Initial Rating Date: 29 June 2012
Rating Committee Chair: Claire Mezzanotte

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