DBRS Maintains Class A Notes of Cassa Centrale Finance 3 S.r.l. Under Review with Negative Implications

DBRS Ratings Limited (DBRS) has today maintained the Under Review with Negative Implications (UR-Neg) status on the rating of the Class A Notes issued by Cassa Centrale Finance 3 S.r.l. (the Issuer).

The placement of the Class A Notes rating UR-Neg was a result of the further downgrade of the private rating on Deutsche Bank S.p.A. (the Transaction Bank). DBRS subsequently notified the Issuer of the Transaction Bank’s downgrade.

The Issuer has since indicated to DBRS that the replacement of the Transaction Bank is in process, but is taking longer than expected. As the Issuer is still resolving the condition leading to the assignment of the review status on the Class A Notes, DBRS has consequently maintained the UR-Neg status.

DBRS will continue to monitor the progress of the Transaction Bank replacement and will resolve the UR-Neg status accordingly, normally within 90 days from the date of this rating action.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

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 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 action are the communications from the Issuer.

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 on this transaction took place on 20 July 2016, when DBRS maintained the UR-Neg status on the rating of the Class A Notes.

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

The ratings are Under Review with Negative Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. As this is an Under Review Rating Action, sensitivity analysis is not applicable.

For further information on DBRS historical 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.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 16 November 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President

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The rating methodologies 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
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

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.