DBRS Assigns Rating to ICCREA SME CART S.r.l.

DBRS, Inc. (DBRS) has today assigned a new rating of AAA (sf) to the Class A 2011 Asset-Backed Floating Rate Notes due March 2042 issued by ICCREA SME CART S.r.l. The notes are backed by a portfolio of monetary claims and other connected rights arising under financial lease contracts governed by Italian law granted by Banca Agrileasing to small and medium size enterprises.

The rating is based upon a review by DBRS of the following analytical considerations:

•The transaction structure and form and sufficiency of available credit enhancement. Credit enhancement is in the form of subordination and excess spread. Credit enhancement levels are sufficient to support the rating assigned. The Class A is be the most senior class of notes in the structure and is be supported by Class Z subordinate notes, which are not be rated by DBRS. Total credit support for the Class A notes is 52.6%. This support is comprised of Class Z (50.4%), and a debt service reserve fund (2.2%). The structure also benefits from excess spread.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms on which they have invested.
•The transaction parties’ financial strength and capabilities with regards to originations, underwriting and servicing.
•The credit quality of the collateral and the ability of the Servicer to perform collection activities on the collateral.
•The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
•Incorporation of a sovereign related stress component in our stress scenario due to the recent downgrade by DBRS of the Republic of Italy’s sovereign from AA (low) Negative Trend to A (high) Negative Trend.

Note:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are Rating European Consumer and Commercial Asset-Backed Securitisations and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies. Readers should also consider the DBRS commentary The Effect of Sovereign Risk on Securitisations in the Euro Area.

The sources of information used for these ratings include performance data relating to the receivables provided by BAL in its capacity as originator for the transaction and DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

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

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

Lead Analyst: Lena Katsnelson, Senior Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 16 November 2011