DBRS Takes Rating Actions on Alba 7 and Alba 8 SPV S.r.l.

DBRS Ratings Limited (DBRS) took the following rating actions on Alba 7 SPV S.r.l. (Alba 7) and Alba 8 SPV S.r.l. (Alba 8) transactions:

Alba 7:
-- Class B1 Notes upgraded to AA (high) (sf) from AA (low) (sf)
-- Class B2 Notes upgraded to AA (high) (sf) from AA (low) (sf)

Alba 8:
-- Class A-2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at A (high) (sf)
-- Class C Notes confirmed at A (sf)

The rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the latest payment date for each transaction;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions for the outstanding collateral pools; and
-- The current credit enhancement (CE) available to the rated Notes to cover the expected losses at their respective rating levels.

For Alba 7, the ratings on the Class B1 and Class B2 Notes address the timely payment of interest and ultimate payment of principal on or before the final maturity date.

For Alba 8, the ratings on the Class A-2, Class B and Class C Notes address the timely payment of interest and ultimate payment of principal on or before the final maturity date, in line with the definitions of the transaction agreements.

Alba 7 and Alba 8 are two securitisations of lease receivables, granted by Alba Leasing S.p.A. to small and medium-sized private businesses and other individual entrepreneurs with their registered office in Italy. The pools comprise real estate leasing, equipment leases, vehicle leases and naval-air receivables. Alba 7 closed in April 2015, whereas Alba 8 closed in June 2016. Alba Leasing S.p.A. finalised a third transaction of lease receivables in October 2017 (Alba 9 SPV S.r.l.).

PORTFOLIO PERFORMANCE
Both portfolios are performing within DBRS’s expectations. For Alba 7, the 90+ delinquency ratio, as of the March 2018 payment date, was at 0.04% of the collateral portfolio, while the current cumulative default ratio stood at 2.2% of the original portfolio balance. For Alba 8, as of the April 2018 payment date, the 90+ delinquency ratio was at 0.1% of the collateral portfolio, while the current cumulative default ratio stood at 1.8%.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the remaining collateral pools of receivables and updated its PD and LGD assumptions. For Alba 7, the base-case PD and LGD for the Class B1 and Class B2 Notes are 11.9% and 83.2%, respectively. For Alba 8, the base-case PD and LGD for the Class A-2 Notes are 9.5% and 85.5%, respectively, whereas for the Class B and Class C Notes they are 9.5% and 85.2%.

CREDIT ENHANCEMENT
The CEs available to all rated Notes have continued to increase as the transactions continue to deleverage. The CEs consist of the overcollateralisation provided by the outstanding collateral portfolios. For Alba 7, as of March 2018, CE to the Class B1 and Class B2 Notes was 64.1%, increasing from 22.9% at closing. For Alba 8, as of January 2018, CE to the Class A-2, Class B and Class C Notes was 59.1%, 39.3% and 32.2%, respectively, increasing from 37.0%, 24.5% and 20.0% at closing.

Alba 7 benefits from a Reserve Fund, currently at its target level of EUR 12.1 million. Alba 8 benefits from an amortising Reserve Fund, currently at its target level of EUR 6.2 million, equal to 1.25% of the outstanding balance of the rated Notes, up to a floor of EUR 4.06 million. Both Reserve Funds cover senior fees and interest on the rated notes.

BNP Paribas Securities Services, Milan branch is the Account Bank for Alba 7, whereas Citibank N.A., Milan Branch is the Account Bank for Alba 8. DBRS’s private ratings of the Account Banks are consistent 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 ratings 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 these transactions 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include servicer reports provided by Alba Leasing S.p.A., payments and investors reports provided by Securitisation Services S.p.A., and loan-by-loan level data from the European DataWarehouse GmbH.

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

For Alba 7, at the time of the initial rating, DBRS was not supplied with third-party assessments. For Alba 8, 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.

The last rating action on Alba 7 took place on 29 March 2018, when DBRS discontinued its rating on the Class A2 Notes, following its full repayment. Prior to that, on 21 April 2017, DBRS confirmed its rating on the Class A2 Notes at AAA (sf), and upgraded its ratings on the Class B1 and Class B2 Notes to AA (low) (sf) from A (sf).

The last rating action on Alba 8 took place on 2 February 2018, when DBRS discontinued its rating on the Class A-1 Notes, following its full repayment. Prior to that, on 19 June 2017, DBRS confirmed its ratings on the Class A-1 and Class A-2 Notes at AAA (sf), on the Class B Notes at A (high) (sf) and on the Class C Notes at A (sf).

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 PD and 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.
-- For Alba 7, the base case PD and LGD for the Class B1 and Class B2 Notes are 11.9% (including sovereign stress) and 83.2%, respectively.
-- For Alba 8, the base case PD and LGD for the Class A-2 Notes are 9.5% (including sovereign stress) and 85.5%, respectively. The base case PD and LGD for the Class B and Class C Notes are 9.5% (including sovereign stress) and 85.2%, respectively.
-- 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 Alba 7 Class B1 Notes would be expected to be maintained at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class B1 Notes would be expected to be downgraded to AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class B1 Notes would be expected to be downgraded to AA (low) (sf).

Alba 7:
Class B1 and Class B2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (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)

Alba 8:
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 AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (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 (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (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 (low) (sf)
-- 50% increase in PD, expected rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (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 and US regulations only.

Lead Analyst: Ilaria Maschietto, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date Alba 7: 9 April 2015
Initial Rating Date Alba 8: 20 June 2016

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960
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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.