DBRS Assigns Rating to IBL Finance S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a rating of A (low) (sf) to the Class A Asset-Backed Fixed Rate Notes (the Class A notes) issued by IBL Finance S.r.l. (IBL CQS 2015 or the Issuer).

The rating on the Class A notes is based upon the following analytical considerations, as described more fully below:
-- 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 are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at an A (low) (sf) standard for the Class A notes issued by IBL CQS 2015.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The transaction parties' 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.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Rating European Consumer and Commercial Asset-Backed Securitisations” methodology. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies referenced in this transaction are listed at the end of this press release.

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

The sources of information used for this rating include performance data relating to the receivables provided by IBL Banca S.p.A. through the arranger Banca IMI S.p.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due assessment in order to conduct its analysis with no impact to the rating analysis.

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.

This rating concerns a newly issued financial instrument.

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 8.15% and 49.45%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increases by 50% the rating for the Class A notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A notes would be expected to drop to AA (high) (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 drop to AA (sf), all else being equal.

Class A Risk Sensitivity:

-- 25% increase in LGD, expected rating of BBB (sf).
-- 50% increase in LGD, expected rating of BB (sf).
-- 25% increase in PD, expected rating of BBB (sf).
-- 50% increase in PD, expected rating of BB (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of BB (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of B (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of B (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of CCC (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: Alessio Pignataro
Initial Rating Date: 22 May 2015
Initial Rating Committee Chair: Erin Stafford

Lead Surveillance Analyst: Erin Stafford
Rating Committee Chair: Erin Stafford

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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:

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