DBRS Ratings Limited Confirms 23 Classes from 19 Italian RMBS Transactions

DBRS Ratings Limited (DBRS) has today confirmed 23 ratings from 19 Italian residential-mortgage backed securities (RMBS) and removed the ratings from Under Review with Negative Implications. The rating actions follow the ratings being placed Under Review with Negative Implications on 13 March 2013 due to the 6 March 2013 downgrade of the Republic of Italy’s long-term foreign and local currency to ‘A’ (low) from ‘A’ with both ratings remaining on Negative trend.

The confirmations are based upon a review of each transaction which incorporates a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance. Additionally, transaction counterparties continue to meet DBRS criteria.

Notes:

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Legal Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under 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”.

Below is the list of Italian RMBS transactions rated where the DBRS ratings have been confirmed and removed from Under Review with Negative Implications.

1. 24-7 Finance S.r.l.
2. Berica 10 Residential MBS S.r.l.
3. Berica ABS S.r.l.
4. Berica ABS 2 S.r.l.
5. BPL Mortgages – Series V
6. Cassa Centrale Finance 3 S.r.l.
7. Claris ABS 2011 S.r.l.
8. Credico Finance 8 S.r.l.
9. Credico Finance 9 S.r.l.
10. Credico Finance 10 S.r.l.
11. Creso 2 S.r.l.
12. Grecale ABS S.r.l. – Series 6
13. Italfinance RMBS S.r.l.
14. Malatesta Finance S.r.l. – Series 2012
15. Mars 2600 S.R.L. Series 4 2012
16. MondoMutuiCariparma – Series 2012
17. Padovana RMBS S.r.l.
18. ResLoc IT S.r.l.
19. Valsabbina SPV 1 S.r.l.

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by each seller. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please see the linking document.

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

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte