DBRS Rates Senior Notes Issued by LEO CONSUMO 1 S.R.L.

DBRS Ratings Limited (DBRS) has today assigned a BBB (sf) rating to the €326,100,000 Class A Notes and a BB (sf) rating to the €19,100,000 Class B Notes (together the “Senior Notes”) issued by LEO CONSUMO 1 S.R.L. The assets supporting the Senior Notes consist of Italian consumer loans, mortgage loans and financial leases.

The final ratings are based upon review by DBRS of the following analytical considerations:

•Transaction capital structure and form and sufficiency of available credit enhancement.

•Relevant credit enhancement is in the form of overcollateralisation. Credit enhancement levels are sufficient to support DBRS’s projected expected Cumulative Net Loss (CNL) assumption under various stress scenarios at a BBB (sf) and BB (sf) standard, for the Class A Notes and Class B notes, respectively.

•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.

•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.

•The credit quality of the collateral and ability of the Servicer and Sub-servicer to perform collection activities on the collateral.

DBRS derives expected and stressed loss forecasts based upon historical data. For consumer loan transactions, the primary variables stressed include frequency and severity upon default.

In addition to reviewing results encompassing sensitivities on loss levels, DBRS also reviews three different modeling scenarios whereby losses are distributed more heavily in the beginning, middle, or end of the transaction’s life than is suggested by the historical data (front-loaded, belly, back-loaded).

Note:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are Rating European Consumer Asset-Backed Securitisations and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies. This is a newly created financial instrument.

The sources of information used for this rating include performance data relating to the receivables provided by the transaction arranger, Deutsche Bank. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on DBRS European ABS ratings, please refer to the linking document located below.