DBRS Places 21 Classes from 13 European SF Transactions Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today placed 21 ratings from 13 European Structured Finance transactions Under Review with Negative Implications.

The rating actions reflects the potential impact on certain ratings of European Structured Finance transactions stemming from the review of the credit DBRS gives to systemic support when assigning and monitoring financial institutions ratings in Europe.

The list of public ratings affected by today’s rating actions can be found listed below.

The Bank Recovery & Resolution Directive (BRDD) was enacted on 15 May 2014 and has been effective in European Union countries since January 2015, with the bail-in option to be available from January 2016. To date, Germany, the U.K. and Austria have enacted the BRRD into national legislation. Other countries are expected to complete the process within the next few months. Under the BRRD, the requirement that at least 8% of total liabilities absorb losses before any funding can be provided by resolution funds means that the risk of senior bondholders absorbing losses at the point of failure is, in DBRS’s opinion, greater than before.

On 20 May 2015, DBRS placed 38 European banking groups’ senior debt and deposit ratings Under Review with Negative Implications. This rating action (see “DBRS Places 38 European Banking Groups Under Review Negative due to Systemic Support”) reflects DBRS’s view that recent developments in European regulation and legislation mean that there is less certainty about the likelihood of timely systemic support for these systemically important banks (SIBs).

Currently, the ratings of 41 European banks benefit from an uplift of one or more notches above their intrinsic assessment (IA). The banking groups that could see their ratings downgraded include 39 banking groups that currently have one notch of uplift in their senior debt and deposit rating and two banking groups with two notches of uplift. DBRS expects to resolve the Under Review with Negative Implications status of the 38 European banking groups in September 2015. Ratings Under Review with Negative Implications may either be downgraded or confirmed.

Everything else equal, today’s rating actions acknowledge the possibility that, should the ratings of all the banks placed Under Review with Negative Implications lose all credit for timely systemic support, and should no mitigant be put in place, this may impact the credit quality of 13 SF transactions rated by DBRS, as the banks may serve as an account bank, swap counterparty or in another capacity that exposes the transaction to credit risk. The transaction documentation for virtually all of the outstanding structured finance transactions sets forth thresholds for various remedies upon a downgrade of the entity below a certain level.

Should the ratings of these banks be subsequently downgraded below the guidelines outlined in DBRS’s Legal or Derivative Criteria for European Structured Finance Transactions, at the time of the downgrade of the bank, DBRS shall conduct a further analysis in accordance with the relevant rating methodology and take the appropriate rating action, resolving the current Under Review with Negative Implications status.

The ratings listed below are under review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90 day period. However, this time DBRS anticipates a lengthy Under Review with Negative Implications period, which will be resolved upon further analysis on the impacted transactions, to be conducted once the Under Review with Negative Implications of the related European banks has been resolved. DBRS reviews and ratings are under regular surveillance.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Legal Criteria for Structured Finance Transactions” and “Derivative Criteria for Structured Finance Transactions”.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release and may be found at http://www.dbrs.com/about/methodologies.

DBRS is undertaking a review and will remove the ratings from this status as soon as it is appropriate. A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include the issuers, originators, and other public sources. DBRS considers the information made available to it for the purposes of providing this rating to have been 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.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third party assessments. However, this did not have any impact on these rating actions.

As this is an Under Review Rating Action, sensitivity analysis is not applicable.

For further information on DBRS’s 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.

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

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

BPL Mortgages S.r.l., Series V

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 24 December 2012
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 16 April 2015

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Erin Stafford

BPL Mortgages S.r.l., Series VI

Initial Lead Analyst: Mudasar Chaudhry
Initial Rating Date: 12 March 2013
Initial Rating Committee Chair: Jerry Van Koolbergen
Most Recent Rating Update: 27 June 2014

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Erin Stafford

BPL Mortgages S.r.l., Series VII

Initial Lead Analyst: Marcello Bonassoli
Initial Rating Date: 30 June 2014
Initial Rating Committee Chair: Jerry Van Koolbergen
Most Recent Rating Update: 30 June 2014

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Erin Stafford

Cars Alliance Auto Loans Germany Master

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 18 March 2014
Initial Rating Committee Chair: Chuck Weilamann
Most Recent Rating Update: 18 May 2015

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Erin Stafford

Cars Alliance Auto Loans Germany V 2013-1

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 14 November 2013
Initial Rating Committee Chair: Chuck Weilamann
Most Recent Rating Update: 4 November 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Erin Stafford

Cassa Centrale Finance 3 S.r.l.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 05 May 2011
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 26 June 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Erin Stafford

Charles Street Conduit Asset Backed Securitisation 1 Limited
Initial Lead Analyst: Kali Sirugudi
Initial Rating Date: 28 October 2014
Initial Rating Committee Chair: Erin Stafford
Most Recent Rating Update: 25 November 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Erin Stafford

Credico Finance 10 S.r.l.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 24 April 2012
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 29 April 2015

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Erin Stafford

Credico Finance 8 S.r.l.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 6 April 2011
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 29 April 2015

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Erin Stafford

Credico Finance 9 S.r.l.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 11 July 2011
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 29 April 2015

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Erin Stafford

Quadrivio RMBS 2013 S.R.L.

Initial Lead Analyst: Alastair Bigley
Initial Rating Date: 16 August 2013
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 15 August 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Erin Stafford

Tricolore 2014 SPV S.r.l

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 18 December 2014
Initial Rating Committee Chair: Chuck Weilamann
Most Recent Rating Update: 18 December 2014

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Erin Stafford

TS Lago One GmbH

Initial Lead Analyst: Alastair Bigley
Initial Rating Date: 22 February 2013
Initial Rating Committee Chair: Claire Mezzanotte
Most Recent Rating Update: 11 March 2015

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Erin Stafford

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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

-- Derivative Criteria for European Structured Finance Transactions
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Rating CLOs and CDOs of Large Corporate Credit
-- Rating CLOs Backed by Loans to European Small and Medium-Sized Enterprises (SMEs)

A description of how DBRS analyses structured finance transactions and how its methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.