DBRS Publishes Italian Salary-Assignment Loan Securitisations Methodology

DBRS Ratings Limited (DBRS) has today published its methodology for “Italian Salary-Assignment Loan Securitisations - Methodology” (the Methodology). Publication of the Methodology follows the conclusion of the Request for Comments period that began on 31 March 2017. No comments were received during the Request for Comments period and no material changes were made to the final methodology. The Methodology is effective today and details DBRS’s approach to outstanding Italian salary-assignment loan securitisations.

The Methodology details DBRS’s analysis for securitisations of Italian salary-assignment loans. It outlines how DBRS considers the specific aspects of these loans and portfolios when analysing such transactions with its “Rating European Consumer and Commercial Asset-Backed Securitisations” methodology. DBRS intends to add an appendix to the aforementioned methodology.

In analysing securitisations of salary-assignment loans, DBRS first assesses the level of job events and life events likely to occur under different stresses as a result of idiosyncratic borrower behaviour, employer default and the decisions of the Italian state. DBRS then considers the extent to which insurance policies will mitigate the losses based on the terms of the insurance contracts and the credit performance of insurers.

DBRS currently rates 14 classes of notes across seven Italian salary-ssignment loan transactions. DBRS expects positive and negative rating actions on most, but not all, of the rated tranches that DBRS rates. DBRS expects to publish the relevant rating actions in the near term. The 14 classes of notes are as follows:

-- Golden Bar (Securitisation) S.r.l. - Series 2016-1, Class A Notes, rated A (sf), UR-Dev.
-- Golden Bar (Securitisation) S.r.l. - Series 2016-1, Class B Notes, rated BBB (sf), UR-Dev.
-- Golden Bar (Securitisation) S.r.l. - Series 2016-1 Class C Notes, rated BB (sf), UR-Dev.
-- Golden Bar (Securitisation) S.r.l. - Series 2016-1 Class D Notes, rated B (sf), UR-Dev.
-- IBL CQS 2013 S.r.l., Class A, rated A (sf), UR-Dev.
-- IBL CQS 2013 S.r.l., Class B, rated BBB (high) (sf), UR-Dev.
-- IBL Finance S.r.l. (IBL CQS 2015), Class A Notes, rated A (low) (sf), UR-Dev.
-- Madeleine SPV S.r.l., Class A Notes, rated A (sf), UR-Dev.
-- Madeleine SPV S.r.l., Class B Notes, rated BBB (sf), UR-Dev.
-- Quarzo CQS S.r.l., Class A, rated A (sf), UR-Dev.
-- Quinto Sistema SEC 2016 S.r.l., Class A Notes, rated A (sf), UR-Dev.
-- Quinto Sistema SEC 2016 S.r.l., Class B Notes, rated BBB (sf), UR-Dev.
-- Towers CQ S.r.l., Class A Asset Backed Floating Rate Notes, rated A (sf), UR-Dev.
-- Towers CQ S.r.l., Class B Asset Backed Floating Rate Notes, rated BBB (sf), UR-Dev.

Notes:
The methodology providing DBRS's processes and criteria is available by contacting us at info@dbrs.com.

For more information on this industry, visit www.dbrs.com or contact us at info.dbrs.com