DBRS Assigns Ratings to Siena Lease 11-1 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a new rating of AAA (sf) to the Class A1 and Class A2 Asset-Backed Floating Rate Notes due February 2040 issued by Siena LEASE 11-1 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 Monte dei Paschi di Siena Leasing & Factoring, Banca per i Servizi Finanziari alle Imprese S.p.a. (“MPS Leasing”), 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, an amortising cash reserve and 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.

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

Lead Analyst: Alessio Pignataro, Assistant Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 21 December 2011