DBRS Assigns Provisional Ratings to Alba 7 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned provisional ratings as follows to the notes to be issued by Alba 7 S.r.l. (the Issuer).

-- Class A1 Notes at AAA (sf)
-- Class A2 Notes at AAA (sf)
-- Class B1 Notes at A (low) (sf)
-- Class B2 Notes at A (low) (sf)

The Class A1 Notes, Class A2 Notes, Class B1 Notes and Class B2 Notes (the Notes) are expected to be backed by a pool of lease receivables related to Italian lease contracts granted to small and medium enterprises with their registered office in Italy by Alba Leasing SpA (Alba).

The 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 in the form of subordination and a cash reserve.
-- Credit enhancement levels sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at a AAA (sf) and A (low) (sf) standard for the Class A1/A2 Notes and the Class B1/B2 Notes, respectively, to be issued by Alba 7 S.r.l.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- Alba’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral. DBRS conduced an operational risk review of Alba and deems Alba as an acceptable servicer.
-- 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” methodology.

The above-mentioned ratings are provisional. Ratings will be finalised upon receipt of execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Notes or may avoid assigning final ratings to the Notes altogether.

Notes:
All figures are in euro unless otherwise noted.

The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securitisations.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

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

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 performance and portfolio data relating to the receivables sourced by Alba through the transaction arranger, Banca IMI SpA and Société Génerale SA. DBRS received historical performance default and recovery data relating to Alba’s originations by quarterly vintage on a cumulative basis going back to 2010 and up to and including 2014. Data was also provided relating to monthly dynamic arrear levels and dynamic prepayment data from to 2010 up to 2014. In addition DBRS received portfolio stratification tables of the assigned collateral portfolio and loan-by-loan data related to a provisional portfolio selected by Alba that allowed DBRS to further assess the portfolio. DBRS considers that 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.

These ratings concern newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

DBRS will publish a full report shortly that will provide additional analytical detail on this rating action. If you are interested in receiving this report, contact us at info@dbrs.com.

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):
-- Probability of Default (PD) Rate Used: Base Case PD of 9.86% (excluding sovereign stress), a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Base Case Recovery Rate of 26% (excluding sovereign stress).
-- Loss Given Default (LGD): Base Case LGD of 74%, a 25% and 50% increase on the Base Case LGD.

DBRS concludes that for the Class A1 Notes:
-- A hypothetical increase of the Base Case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change of the rating of Class A1 Notes.
-- A hypothetical increase of the Base Case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to downgrade of the Class A1 Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade of the Class A1 Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 Notes to AA (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 Notes to A (high) (sf).

DBRS concludes that for the Class A2 Notes:
-- A hypothetical increase of the Base Case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade of the Class A2 Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to downgrade of the Class A2 Notes to AA (low) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade of the Class A2 Notes to AA (low) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A2 Notes to A (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A2 Notes to A (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A2 Notes to A (low) (sf).

DBRS concludes that for the Class B Notes:
-- A hypothetical increase of the Base Case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change of the rating of the Class B Notes.
-- A hypothetical increase of the Base Case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to downgrade of the Class B Notes to BBB (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade of the Class B Notes to BBB (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (low) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (low) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Paolo Conti
Initial Rating Date: 8 April 2015
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations