DBRS Takes Rating Actions on Notes Issued by Leo Consumo 1 S.r.l.

DBRS Ratings Limited (“DBRS”) has taken the following rating actions on the notes issued by Leo Consumo 1 S.r.l. (the “Issuer”) following the 18 October 2013 payment date:

• Class A Notes previously rated ‘A’ (low) (sf) discontinued due to repayment.
• Class B Notes previously rated BB (low) upgraded to ‘A’ (low) (sf).

The Class A Notes were repaid in full on the 18 October 2013 payment date.

The Class B Notes are upgraded based upon the following analytical consideration:

• Updated default, recovery and loss assumptions on the outstanding performing receivables balance as of the 18 October 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.

Prior to the 18 October 2013 payment, the Class B Notes had a cumulative interest shortfall of €1.2 million. The cumulative interest shortfall for the Class B Notes was repaid in full as well as the current interest payment on the Class B Notes. Additionally, the Class B Notes began to receive principal payments following the repayment of the Class A Notes. Credit enhancement for the Class B Notes as a percentage of the performing balance is currently 67.15%.

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 14.72%. The high current delinquencies, further expected delinquencies and sovereign related stress contribute to a remaining expected portfolio default rate of 25.04%. The assumed expected recovery rate on future defaults is 8.00%.

Deutsche Bank S.p.A. is the Accounts Bank for the transaction. The DBRS private rating of Deutsche Bank S.p.A. is above the Minimum Institution Rating given the rating of the most senior series of rated Notes as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.
The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securities.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

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.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 10 May 2013 when the Class A Notes and Class B Notes were upgraded.

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case PD and LGD of the current pool of receivables for the Issuer are 25.04% and 96.00%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class B Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class B Notes would be expected to remain at A (low) (sf), all else being equal. If the PD increases by 50% the rating for the Class B Notes would be expected to decrease to BBB (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class B Notes would be expected to decrease to BBB (low), all else being equal.
  Class B Risk Sensitivity:
• 25% increase in LGD, expected rating of A (low) (sf).
• 50% increase in LGD, expected rating of A (low) (sf).
• 25% increase in PD, expected rating of BBB (high) (sf).
• 50% increase in PD, expected rating of BBB (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of BBB (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of BBB (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of BBB (low) (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of BBB (low) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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.

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

Last Rating Date: 10 May 2013
Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Rating European Consumer and Commercial Asset-Backed Securitisations