Press Release

DBRS Places 18 EU SF Transactions Under Review with Negative Implications (UR-Neg.), Following Republic of Italy Sovereign Rating Being Placed UR-Neg.

Structured Credit, Consumer Loans & Credit Cards

August 23, 2016

DBRS Ratings Limited (DBRS) has today placed 27 ratings from 18 European Structured Finance Transactions Under Review with Negative Implications (UR-Neg.).

The rating actions reflect the Republic of Italy (Italy) Long-Term Foreign Currency – Issuer Rating being placed UR-Neg. on 5 August 2016 (http://www.dbrs.com/research/297987/dbrs-places-italy-a-low-under-review-with-negative-implications-on-heightened-risks.html).

DBRS considers that the ratings listed below could be negatively impacted by a potential downgrade of the sovereign rating of Italy (A (low), UR-Neg.), as envisaged in the aforementioned rating action taken on 5 August 2016. DBRS has identified three different groups of transactions potentially affected:

Securitisations collateralised by a sovereign inflation-linked bond issued by the Republic of Italy (the Collateral) where the noteholders are effectively exposed to the risk that either the Collateral or the counterparties default. As such, DBRS regards the ratings of the Notes to be linked to those of the Collateral and Hedging Counterparty, and uses the the ratings of Italy to evaluate the credit risk of the Collateral and monitor its credit risk on an ongoing basis.
Securitisations where the notes are backed by salary-backed loan receivables (the Receivables) originated in Italy. The Receivables may include salary assignment loans (Cessione del Quinto di Stipendio), pension assignment loans (Cessione del Quinto di Pensione) and payment delegation loans (Delegazione di Pagamento) (CQS transactions). Given the relevance of the exposure to Italian sovereign risk, DBRS’s rating analysis assumes the credit risk of the rated notes of CQS transactions to be highly correlated with the sovereign rating.
Transactions where DBRS, as part of its analysis, has investigated the sensitivity of the transaction base case default and recovery base case assumptions to a potential downgrade of the Italian sovereign rating. The sovereign stress is incorporated into DBRS structured finance analysis following “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary
(http://www.dbrs.com/research/239786/the-effect-of-sovereign-risk-on-securitisations-in-the-euro-area.pdf).
The list of ratings affected by today’s rating action can be found listed below.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable are “Master European Structured Finance Surveillance Methodology” and “Rating CLOs and CDOs of Large Corporate Credit”.

DBRS is undertaking a review and will remove the rating from this status as soon as it is appropriate.

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

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

The source of information used for this rating action is solely the potential impact of a downgrade of the sovereign rating of Italy, as envisaged in the rating action taken on 5 August 2016. DBRS ratings are under regular surveillance.

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 impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be 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 date for each transaction is listed at the end of this press release.

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

The ratings listed below are UR-Neg. Generally, the conditions that lead to the assignment of reviews are resolved within a 90 day period. However, this time DBRS anticipates a longer UR-Neg. period, which will be resolved upon further analysis of the impacted transactions, to be conducted once the UR-Neg. status of the sovereign rating has been resolved. DBRS reviews and ratings are under regular surveillance.

For further information on DBRS historic default rates published by the European Securities and Markets Authority (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.

DBRS Ratings Limited
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United Kingdom

Registered in England and Wales: No. 7139960

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

-- Master European Structured Finance Surveillance Methodology
-- Rating CLOs and CDOs of Large Corporate Credit
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations

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

Arianna SPV S.r.l.
Initial Lead Analyst: Paolo Conti
Initial Rating Date: 23 December 2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Action Date: 16 December 2015

Lead Surveillance Analyst: Andrew Lynch, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Golden Bar (Securitisation) S.r.l. - Series 2015-1

Initial Lead Analyst: Eric Levassor
Initial Rating Date: 9 October 2015
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Action Date: This is the first rating action since the initial rating date. The lead responsibilities for this transaction have been transferred to Andrew Lynch.

Lead Surveillance Analyst: Andrew Lynch, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Golden Bar (Securitisation) S.r.l. - Series 2016-1

Initial Lead Analyst: Davide Nesa
Initial Rating Date: 2 August 2016
Initial Rating Committee Chair: Erin Stafford

Last Rating Action Date: This is the first rating action since the initial rating date. The lead responsibilities for this transaction have been transferred to Andrew Lynch.

Lead Surveillance Analyst: Andrew Lynch, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

IBL CQS 2013 S.r.l.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 20 December 2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Action Date: 22 July 2016

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

IBL CQS S.r.l. Series 2012-2

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 17 July 2012
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Action Date: 22 July 2016

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

IBL Finance S.r.l. (IBL CQS 2015)

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 22 May 2015
Initial Rating Committee Chair: Erin Stafford

Last Rating Action Date: 19 May 2016

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Madeleine SPV S.r.l.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 17 July 2014
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Action Date: 29 September 2015. The lead responsibilities for this transaction have been transferred to Antonio Di Marco.

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Quarzo CQS S.r.l.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 9 March 2015
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Action Date: 1 April 2016.

Lead Surveillance Analyst: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Towers CQ S.r.l.

Initial Lead Analyst: Kevin Chiang
Initial Rating Date: 2 June 2016
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Action Date: This is the first rating action since the initial rating date. The lead responsibilities for this transaction have been transferred to Joana Seara da Costa.

Lead Surveillance Analyst: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Senior Vice President

Palladium Securities 1 S.A. Acting in Relation to Compartment 114-2013-14

Initial Lead Analyst: Simon Ross
Initial Rating Date: 6 June 2013
Initial Rating Committee Chair: Jerry van Koolbergen

Last Rating Action Date: 1 June 2016