DBRS Confirms Rating on the Class A Notes issued by Dolomiti Mortgage S.r.l. and Removes UR-Negative

DBRS Ratings Limited (“DBRS”) has today confirmed the AAA (sf) rating on the EUR 103,600,000 Class A Notes issued by Dolomiti Mortgage S.r.l. (“the Issuer”) and has removed them from Under Review with Negative Implications.

The transaction is a cash flow securitisation collateralised by (i) a portfolio of bank loans to Italian Small and Medium Sized Enterprises (“SMEs”) and (ii) a portfolio of mortgage loans to homeowners, both of which were originated by Hypo Alpe – Adria Bank S.p.A. (“Hypo”). The rating on the Rated Notes addresses the timely payment of principal and interest payable on or before the Maturity Date, on the Payment Date in July 2051.

The principal methodology is the Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

Hypo acts as the Originator and Servicer of the portfolio, and the Cash Manager. J.P. Morgan Securities Limited (“J.P. Morgan”) is the Hedge Counterparty. The Bank of New York Mellon (Luxembourg) S.A. is the Italian Account Bank, and The Bank of New York Mellon (London) is the English Account Bank. In addition, Unipol Banca S.p.A. is the Back-Up Servicer.

The rating actions reflect 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, including the incorporation of a sovereign related stress component in the rating analysis, related to the A (low) rating on trend Negative, to address the impact of macroeconomic variables on collateral performance.

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”, located at http://dbrs.com/research/239786.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to the Originator, the Issuer and its agents.

Further information on DBRS’s analysis of this transaction is available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

For additional information on DBRS European SME CLO(s), please see European Disclosure Requirements, located at http://dbrs.com/research/235269.

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

Initial Lead Analyst: Simon Ross
Initial Rating Date: 6 December 2012
Lead Surveillance Analyst: Alfonso Candelas
Most Recent Rating Update: 14 March 2013
Rating Committee Chair: Jerry van Koolbergen

Note:
All figures are in Euros unless otherwise noted.