DBRS Confirms 24-7 Finance S.r.l.

DBRS Ratings Limited (“DBRS”) confirms the ‘A’ (high) (sf) rating for the Class A Notes (the “Notes”) issued by 24-7 Finance S.r.l. and removes the rating from Under Review with Negative Implications. The Notes were previously place Under Review on 18 June 2013 due to increasing delinquency trends and defaults on the underlying receivables, as well as declining credit enhancement available to the Notes. The confirmation follows a review of the current pool of receivables and the Amendment Agreement signed between the Issuer and the transaction counterparties on 7 August 2013.

Under the Amendment Agreement, changes to certain conditions of the original transaction documents were made, including changes to the definitions to the Cash Reserve Amount and Required Liquidity Reserve Amount, as well changing the swap counterparty. Also, Unione di Banche Italiane S.c.p.A. (“Ubi Banca”), the Originator and Servicer of the receivables, contributed additional funds in the amount of €52.1 million to the transaction through an Additional Limited Recourse Loan. The funds formed part of the Issuer Available Funds on the 20 August 2013 payment date through the Pre-Acceleration Order of Priority. The result of the Amendment Agreement and the additional funds were:

--Credit to the Liquidity Reserve Account with the Required Liquidity Reserve Amount equal to €35,100,000
--Credit to the Cash Reserve Account with Required Cash Reserve Amount equal to €6,219,268
--Credit to the Cash Reserve Account with additional funds equal to €28,810,625 due to the Cash Trapping Condition being triggered
--Debit to the Principal Deficiency Ledger to bring the balance to zero
--Increase the credit enhancement to the Class A Notes to from 14.86% from 14.22% in May 2013

DBRS reviewed the current pool of receivables and performance trends of the transaction to estimate an updated rating specific Portfolio Default Rate (“PDR”) and Loss Given Default (“LGD”) using the DBRS Loan-Level European RMBS Credit Model. The updated base case PDR and LGD are 19.11% and 15.45%, respectively. The updated ‘A’ (high) PDR and LGD are 41.32% and 30.47%, respectively. The analysis incorporates a sovereign related stress component in the analysis to address the impact of macroeconomic variables on collateral performance. Given the updated PDR and LGDs, the Class A Notes have sufficient credit enhancement to withstand cash flow stresses at the ‘A’ (high) (sf) level.

The Account Bank for the transaction is Ubi Banca. Given the ‘A’ (high) (sf) rating on the Class A Notes, Ubi Banca is an eligible Account Bank per the Legal Criteria for European Structured Finance Transactions. Additionally, the replacement counterparty for the interest rate swaps is JP Morgan Securities plc. JP Morgan Securities plc is an eligible swap counterparty per the Derivative Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.

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
• Derivative 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”.

The sources of information used for this rating include data European DataWarehouse, Ubi Banca and JP Morgan. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances.

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

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.

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

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 27 July 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960