DBRS Upgrades the Ratings on Leo Consumo 1 S.r.l.

DBRS Ratings Limited (DBRS) has upgraded the following notes issued by Leo Consumo 1 S.r.l. (the “Issuer”):
• Class A notes - upgraded to ‘A’ (low) (sf) from BBB (low) (sf)
• Class B notes - upgraded to BB (sf) from B (sf)

Additionally, DBRS has removed the ratings of each class of notes from Under Review with Developing Implications. The ratings on the notes were previously placed Under Review with Developing Implications on 11 April 2013 following DBRS receiving updated historical recovery data for the transaction.

The upgrades are based upon the following analytical considerations:
• Updated default, recovery and loss assumptions on the outstanding performing receivables balance as of the 10 April 2013 reporting date.
• Current available credit enhancement to each class of notes to cover the expected losses at the respective rating level.
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on the collateral performance.

DBRS was notified by the Issuer that historical recovery data reported on the monthly servicer reports was reported incorrectly prior to December 2012. Prior to December 2012, the cumulative recoveries on the portfolio were reported as zero. DBRS has received updated recovery data from Securitisation Services S.p.A. (the Sub Servicer). As of 10 April 2013, the reported cumulative recovery on the portfolio was 8.96% (as a percentage of defaults as of the default date and including receivables at December 2010). DBRS has assumed an expected recovery rate of 8.00% on future defaults.

Current delinquencies (excluding defaults) as a percentage of the performing balance of the portfolio are at a relatively high level. Loans greater than 1-month in arrears and not in default are 14.02%. The high current delinquencies, further expected delinquencies and sovereign related stress contribute to a remaining expected portfolio default rate of 25.04%.

The Class A notes have paid down significantly and currently have a class factor of 8.45% with current credit enhancement of 69.62% (as a percentage of the current performing balance). The Class B notes have not received any principal payments and have 48.56% current credit enhancement. Additionally, the Class B notes are currently deferring interest payments and will not receive interest or principal until the Class A notes are paid off in full.

Notes:

The principal methodologies applicable are:
• Rating European Consumer and Commercial Asset-Backed Securities.
• Legal Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Master European Structured Finance Surveillance Methodology.

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 investor remittance reports and performance data relating to the receivables provided by the Issuer and the Sub Servicer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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

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

Initial Lead Analyst: Mike Babick
Initial Rating Date: 30 December 2010
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Most Recent Rating Date: 11 April 2013
Rating Committee Chair: Chuck Weilamann