DBRS Assigns Ratings to UBI SPV Lease 2016 S.r.l.

DBRS Ratings Limited (DBRS) has today assigned ratings to UBI SPV Lease 2016 S.r.l. (the issuer) as follows:

-- Class A Notes: A (low) (sf)

The notes are backed by a EUR 3 billion pool of lease receivables related to real estate, vehicle and equipment lease contracts originated by UBI Leasing S.p.A. (UBIL) in Italy.

The ratings are based upon review by DBRS of the following analytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net losses under various stress scenarios at a A (low) (sf) standard for the Class A Notes.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a quarterly basis and principal by the legal final maturity date.
-- UBI Leasing and UBI Banca capabilities with regard to originations, underwriting, servicing and their financial strength.
-- DBRS conducted an operational risk review of UBIL premises in Brescia and deems it to be an acceptable sub-servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality and industry diversification of the collateral, historical, and projected performance of the seller’s portfolio.
-- The sovereign rating of the republic of Italy, currently at A (low).
-- 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” methodology.

The transaction was modelled in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for these ratings include performance data relating to receivables sourced by UBIL through the issuer’s agents, BNP Paribas SA and Finanziaria Internazionale S.p.A. DBRS received historical gross loss and recovery data on the entire leasing portfolio originated by UBIL by quarterly vintages dating back to 2000. Data was also provided relating to delinquencies and prepayments. A detailed summary and amortisation schedule were provided for the portfolio selected by UBIL as at 15 June 2016 that allowed DBRS to further assess the collateral. 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 diligence in order to conduct its analysis.

DBRS has been supplied with third-party assessments. However, this did not impact 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.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These ratings were disclosed to UBIL, BNP Paribas SA and Finanziaria Internazionale S.p.A.

These ratings concern a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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 Rate Used: Base Case PD of 22.68%, a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Base Case Recovery Rate of 28.38%.
-- Loss Given Default (LGD): Base Case LGD of 71.62%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A 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 a downgrade of the Class A Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (low) (sf).
-- A hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (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 a downgrade of the Class A Notes to BB (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 A Notes to C (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 A Notes to B (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 A Notes to C (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: Marcello Bonassoli, Assistant Vice President
Initial Rating Date: 28 July 2016
Initial Rating Committee Chair: Chuck Weilamann, Managing Director

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

The rating methodologies used in the analysis of this transaction are listed below:

--Rating European Consumer and Commercial Asset-Backed Securitisations (30 September 2015)
--Legal Criteria for European Structured Finance Transactions (19 February 2016)
--Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
--Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 October 2015)
-- Rating CLOs and CDOs of Large Corporate Credit (9 February 2016)

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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375