DBRS Confirms Ratings on Alba 8 SPV S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the following Notes issued by Alba 8 SPV S.r.l. (the Issuer):

-- Class A-1 Notes confirmed at AAA (sf)
-- Class A-2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at A (high) (sf)
-- Class C Notes confirmed at A (sf)

The confirmations reflect an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults, as of the April 2017 payment date.
-- Updated default, recovery and loss assumptions on the remaining receivables.
-- Current available credit enhancement (CE) to the Class A-1, Class A-2, Class B and Class C Notes to cover the expected losses at the AAA (sf), A (high) (sf) and A (sf) rating levels, respectively.

The Notes are backed by a pool of lease receivables, comprising real estate leasing, equipment lease, vehicle lease and naval-air receivables, granted by Alba Leasing S.p.A. (Alba) to small and medium-sized private businesses and other individual entrepreneurs with their registered office in Italy.

PORTFOLIO PERFORMANCE
As of the April 2017 payment date, the 90+ delinquency ratio arrears stand at 0.11% of the performing receivables balance of the portfolio. The current gross cumulative default ratio is currently at 0.69% of the original receivables balance.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the outstanding pool of receivables and updated the probability of default (PD) and loss given default (LGD) assumptions on the remaining collateral pool to 9.16% and 85.58% (including sovereign adjustment), respectively. For the Class B and C Notes, LGD is slightly lower at 85.18%.

CREDIT ENHANCEMENT
As of April 2017, CE to the Class A-1 and Class A-2 Notes was 82.83% and 45.83% of the performing receivables balance, respectively, up from 67.00% and 37.00% at closing. CE to the Class B and Class C Notes was 30.41% and 24.86%, respectively, up from 24.50% and 20.00% at closing. The CE is provided by the subordination of the junior notes, net of the proceeds used to fund the Reserve Fund.

The transaction benefits from a Reserve Fund (the Debt Service Reserve), currently at the target level of EUR 8.54 million. The Debt Service Reserve covers senior fees and interest on the rated notes and amortises during the life of the transaction, which is equal to 1.25% of the outstanding balance of the rated notes up to a floor of EUR 4.06 million.

Citibank N.A., Milan Branch is the Account Bank for the transaction. DBRS’s private rating of the Account Bank complies with the minimum institution rating, given the rating assigned to the most senior class of rated notes as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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 sources of data and information used for this rating include servicer report provided by Alba, payments and investors report provided by Securitisation Services S.p.A. and loan-by-loan data from the European DataWarehouse GmbH.

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

At the time of the initial rating DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Antonio Di Marco.

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”):

-- DBRS expected a lifetime base-case probability of default (PD) and loss given default (LGD) for the pool based on a review of the current assets. 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 leases for the Issuer are 9.16% (including sovereign stress) and 85.58%, respectively. For the Class B and C Notes, LGD is slightly lower at 85.18%.
-- The Risk Sensitivity overview below illustrates the ratings expected 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 of the Class A-1 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A-1 Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A-1 Notes would be expected to be downgraded to AAA (sf).

Class A-1 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in LGD, expected rating of AAA (sf).
-- 25% increase in PD, expected rating of AAA (sf).
-- 50% increase in PD, expected rating of AAA (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf).

Class A-2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in LGD, expected rating of AAA (sf).
-- 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in PD, expected rating of AA (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf).

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf).
-- 50% increase in LGD, expected rating of A (high) (sf).
-- 25% increase in PD, expected rating of A (high) (sf).
-- 50% increase in PD, expected rating of A (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf).

Class C Notes 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 (low) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (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: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 20 June 2016

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

-- 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
-- Unified Interest Rate Model for European Securitisations

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