DBRS Assigns Rating to Indigo Lease S.r.l.

DBRS Ratings Limited (DBRS) has today assigned a rating of AA (sf) to the Class A Notes issued by Indigo Lease S.r.l. (the Issuer). The Class A Notes were issued in the context of a securitisation transaction structured under the Italian securitisation law. Lower-ranked Class B Notes were also issued in the context of the same transaction, but the Class B Notes are not rated by DBRS.

The notes are backed by a portfolio of lease receivables related to financial lease contracts granted by IFIS Leasing S.p.A. (formerly GE Capital Servizi Finanziari S.p.A.) to corporates, small businesses and individual enterprises with registered offices in Italy. IFIS Leasing S.p.A. is also the initial servicer.

The rating is based upon DBRS’s review of the following analytical considerations:

-- The sufficiency of available credit enhancement in the form of subordination, a cash reserve and excess spread.
-- The ability of the transaction’s structure and triggers to withstand cash flow assumptions and repay the Class A Notes according to the terms of the transaction documents at AA (sf) stress levels.
-- The capabilities of IFIS Leasing with respect to originations, underwriting and servicing, and their financial strength.
-- 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 and the default rates at which the Class A Notes did not return all specified cash flows in a timely manner were determined.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating 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.

An asset and a cash flow analysis were both conducted.

Other methodologies referenced in this transaction are listed at the end of this press release. These 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 commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The information used for this rating include performance data relating to the receivables sourced by Indigo Lease directly or through the transaction arrangers, Banca IMI S.p.A., Citigroup Global Markets Limited and Deutsche Bank AG, London Branch. DBRS received historical gross default and recovery data relating to IFIS Lease’s originations by monthly vintages on a cumulative basis from January 2009 to July 2016 and August 2016, respectively. Data was also provided relating to delinquencies and prepayments. A detailed summary and an amortisation schedule was provided for the portfolio selected by IFIS Lease as at 31 October 2016 that allowed DBRS to further assess the collateral.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was supplied with third party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be 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.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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):

-- Probability of default (PD): base case of 8.12%, a 25% and 50% increase on the Base Case PD.
-- Loss given default (LGD): base case of 79.3%, increase to 90% and 100%.

DBRS concludes that for the Class A Notes:
-- A hypothetical LGD of 79%, ceteris paribus, would maintain the rating of the Class A Notes at AA (sf).
-- A hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class A Notes at AA (sf).
-- A hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 79%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 79%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (low) (sf).

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

Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Chuck Weilamann, Managing Director, Head of US ABS, Global Structured Finance
Initial Rating Date: 15 December 2016

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

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

The rating methodologies most relevant for this transaction are:

-- Rating 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
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations
-- Rating CLOs and CDOs of Large Corporate Credit

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