DBRS Confirms Rating on Salina Leasing S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its rating of the Class A notes of Salina Leasing S.r.l. (the Issuer) at A (sf).

The confirmation of the rating on the Class A notes is based upon the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of defaults and level of delinquencies, as of the January 2015 payment date.
-- Actual gross default rate, recovery rate and expected losses are within DBRS’s expectations.
-- Current available credit enhancement to the Class A notes to cover the expected losses at the A (sf) rating level.

Salina Leasing S.r.l. is a securitisation of lease receivables extended to small and medium entities in Italy. The portfolio was originated and is serviced by Hypo Alpe-Adria-Bank S.p.A. The transaction follows the standard structure under the Italian Securitisation Law and closed in July 2012.

The portfolio is granular and geographically concentrated in the regions of Lombardy (43.34%) and Veneto (33.86%). Four different types of underlying assets compose the pool: cars (0.10%), trucks (0.98%), equipment (1.57%) and real estate assets (97.36%).

The portfolio is performing in line with DBRS’s expectations. As per the January 2015 payment date, the 90+ delinquency ratio as a percentage of the performing balance of the portfolio stayed at 7.22%. The gross cumulative default ratio as a percentage of the original portfolio increased over the year to 5.29%, but it is still below DBRS’s base case gross loss rate of 38.20%.

Credit enhancement to the Class A notes is mainly provided by subordination of the Class B notes. The credit enhancement for the Class A Notes as a percentage of the outstanding performing balance of the portfolio increased steadily over the year, reaching 96.51% in January 2015, up from 70.79% in January 2014. This has been the result of the amortisation of the Class A Notes. Given the current Class A notes factor at 0.03, the Class A notes are expected to be redeemed in full on the next payment date (30 April 2015).

A non-amortising cash reserve of EUR 10.83 million, equal to 5.00% of the aggregate balance of the Class A and Class B notes, provides liquidity support to the Class A notes. The cash reserve is currently at the initial and target level of EUR 10.83 million.

BNP Paribas Securities Services, Milan branch is the account bank for the transaction. The DBRS private rating of BNP Paribas Securities Services, Milan branch is at least equal to the Minimum Institution Rating given the rating assigned to the Class A 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 the Master European Structured Finance Surveillance Methodology. 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

The sources of information used for this rating include documentation provided by Securitisation Services S.p.A. 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 14 April 2014, when DBRS confirmed the rating on the Class A notes at A (sf).

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

To assess the impact of 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 are 38.20% and 90.00%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes and 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 A notes would be expected to remain at A (sf), all else being equal. If the PD increases by 50% the rating for the Class A notes would be expected to remain at A (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A notes would be expected to remain at A (sf), all else being equal.

Class A Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf).
-- 50% increase in LGD, expected rating of A (sf).
-- 25% increase in PD, expected rating of A (sf).
-- 50% increase in PD, expected rating of A (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of A (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of A (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of A (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of A (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: Paolo Conti
Initial Rating Date: 26 July 2012
Initial Rating Committee Chair: Claire Mezzanotte

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

DBRS Ratings Limited
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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 and are as follows:

-- 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.