DBRS Confirms the Ratings on IBL CQS S.r.l. – Private Transaction – Series 2012-1

DBRS Ratings Limited (“DBRS”) has confirmed the following ratings on the Notes issued by IBL CQS S.r.l. – Private Transaction – Series 2012-1 (“the Issuer”):
• Class A Notes confirmed at AA (sf), and
• Class B Notes confirmed at BBB (sf).

The confirmation follows amendments to the legal documentation executed on 30 July 2014. The amendments result in the following changes:
• definition of Cash Reserve Target Amount, and
• definition of Residual Management Fee.

DBRS has taken into consideration the reduction of the Cash Reserve as well as the Residual Management Fee which will be now reduced to a fixed percentage of the Collateral Portfolio Outstanding Principal Due. Moreover, given the combination of the current rating of the Italian Account Bank and English Account Bank and the replacement provision envisaged in the legal documentation, additional cash flow analysis included scenarios where the transaction did not benefit from the cash reserve.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include payment reports and investor reports provided by Securitisation Services S.p.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 16 June 2014, when DBRS upgraded the rating of the Class A Notes at AA (sf) from A (high) (sf) and confirmed the rating of the Class B Notes at BBB (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case PD and LGD of the current pool of receivables are 13.56% and 48.49%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to be AA (low) (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to be AA (low) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to be lowered to BBB (high) (sf), all else being equal.

Class A Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of AA (sf).
• 50% increase in LGD, expected rating of AA (low) (sf).
• 25% increase in PD, expected rating of AA (sf).
• 50% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of A (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of A (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of BBB (high) (sf).

Class B Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of BBB (sf).
• 50% increase in LGD, expected rating of BB (sf).
• 25% increase in PD, expected rating of BBB (sf).
• 50% increase in PD, expected rating of BB (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of BB (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of B (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of B (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of CCC (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 6 July 2012
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.