DBRS Places 24-7 Finance S.r.l. Under Review with Negative Implications

DBRS Ratings Limited (“DBRS”) has placed Under Review with Negative Implications the Class A Notes (the “Notes”) issued by 24-7 Finance S.r.l. The rating action is due to increasing delinquency trends and defaults on the underlying receivables, as well as declining credit enhancement available to the Notes. Additionally, as of the May 2013 Interest Payment, the Cash Reserve had a balance of zero. The Cash Reserve was funded at the close of the transaction (June 2008) to provide liquidity and credit support to the Notes.

The receivables are a portfolio of Italian mortgages originated by Banca 24-7 and serviced by Unione di Banche Italiane S.c.p.A. (“Ubi Banca”). Ubi Banca also serves the role of Account Bank for the transaction. JP Morgan Chase Bank, NA is the swap counterparty.

Notes:
All figures are in Euros unless otherwise noted.

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

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 quarterly payment report and servicer reports provided by BNY Mellon Corporate Trustee Services Limited and Ubi Banca, respectively. 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 at http://dbrs.com/research/241173/linking-document-24-7-finance-s-r-l.pdf

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

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 27 July 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Most Recent Rating Date: 4 April 2013
Rating Committee Chair: Erin Stafford