DBRS Downgrades Rating on Class A Notes Issued by Cassa Centrale Finance 3 S.r.l.

DBRS Ratings Limited (DBRS) has today concluded the rating review on the Class A Notes (the Notes) issued by Cassa Centrale Finance 3 S.r.l. (Cassa Centrale 3 or the Issuer) and downgraded the Notes to AA (sf) from AA (high) (sf). The rating downgrade was prompted by the lack of replacement of the current Transaction Bank, Deutsche Bank S.p.A. (DB SpA).

DBRS first placed the Notes rating Under Review with Negative Implications (UR-Neg.) on 29 May 2015, following DB SpA being placed UR-Neg. Since then, DBRS has downgraded DB SpA’s private rating on 29 September 2015 and on 7 July 2016. The downgrades of the Transaction Bank indicated the transaction’s increased commingling and payment disruption risks. As a result, the rating on the Notes was downgraded to AA (high) (sf) on 16 June 2016 and remained UR-Neg.

There has been no replacement of DB SpA with a new entity that meets the Minimum Institution Rating criteria given the rating assigned to the Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology. Consequently, DBRS has now downgraded the Notes rating to AA (sf) and removed the UR-Neg. status.

The Republic of Italy’s sovereign rating is currently UR-Neg. In this review, DBRS applied additional sovereign credit stresses in its cash flow analysis assuming a downgrade of the Italian sovereign rating by up to two notches. DBRS concluded that the rating of the Notes would not be negatively impacted in the above scenario.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is 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 source of data and information used for this rating includes the correspondence regarding the Transaction Bank replacement status with the Issuer.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and the information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 21 October 2016, when DBRS maintained the Class A Notes on UR-Neg.

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

As this is a conclusion of UR-Neg. status, the sensitivity analysis results have not changed since the last transaction annual review on 16 June 2016.

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.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 5 May 2011

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY 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
-- Legal Criteria for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- 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