DBRS Takes Rating Actions on Alba 9 SPV S.r.l.

DBRS Ratings Limited (DBRS) took the following rating actions on the bonds issued by Alba 9 SPV S.r.l. (the Issuer):

-- Class A1 notes confirmed at AAA (sf)
-- Class A2 notes upgraded to AAA (sf) from AA (high) (sf)
-- Class B notes upgraded to AA (sf) from A (high) (sf)
-- Class C notes confirmed at BBB (sf)

The ratings on the Class A1, Class A2 and Class B Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in March 2039. The rating on the Class C Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults and losses as of the September 2018 payment date.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Notes to cover the expected losses at their respective rating levels.

Alba 9 SPV S.r.l. is a securitisation of lease receivables granted by Alba Leasing S.p.A. to corporates, small businesses and individual enterprises with registered offices in Italy. The transaction closed in October 2017 when the special-purpose vehicle issued two senior classes of floating-rate notes, two mezzanine classes of floating-rate notes and one class of junior notes: The Class A1 Notes and Class A2 Notes, the Class B Notes and Class C Notes, and the Class J Notes, respectively.

PORTFOLIO PERFORMANCE
As of August 2018, loans that were two- to three-months in arrears represented 0.1% of the outstanding portfolio balance, as in February 2018. The 90+ delinquency ratio was 0.1%, up from 0.0% in February 2018. The cumulative default ratio was 1.0%, one year from closing.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions as follows:

--Class A1 and Class A2 Notes to 8.5% and 84.6%, respectively.
--Class B Notes to 8.5% and 84.3%, respectively.
--Class C Notes to 8.5% and 84.1%, respectively.

CREDIT ENHANCEMENT
The credit enhancement available to the Notes has continued to increase as the transaction deleverages. The credit enhancement consists of the overcollateralisation provided by the outstanding collateral portfolio. As of the September 2018 payment date, the respective credit enhancements available to the Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes were 71.1%, 44.9%, 28.7%, 17.5% increasing from 57.0%, 36.0%, 22.9% and 13.9% at the DBRS initial rating.

The transaction structure benefits from a EUR 8.0 million cash reserve (the debt service reserve), which provides liquidity support. The reserve is currently at its target level and is available to cover senior fees and interest on the Notes.

Citibank NA, Milan Branch acts as the account bank for the transaction. The DBRS private rating of Citibank NA, Milan Branch is consistent with the Minimum Institution Rating, given the rating assigned to the 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 the “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 “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 payment and investor reports provided by Securitisation Services S.p.A. and servicer reports provided by Alba Leasing S.p.A. and loan-level data provided by the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence 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 these ratings 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 this transaction took place on 30 October 2017, when DBRS finalised its provisional ratings of the Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes at AAA (sf), AA (high) (sf), A (high) (sf) and BBB (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Ilaria Maschietto.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with 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.
-- The base case PD and LGD of the current pool of loans for the Issuer are 8.5% and 84.6% for the Class A1 and Class A2 Notes, 8.5% and 84.3% for the Class B Notes and 8.5% and 84.1% for the Class C Notes, 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 Class A1 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A1 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 A1 Notes would be expected to fall to AA (high) (sf).

Class A1 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 AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Class A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (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 B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (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 B (high) (sf)
-- 50% increase in LGD, expected rating of B (high) (sf)
-- 25% increase in PD, expected rating of B (high) (sf)
-- 50% increase in PD, expected rating of B (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of B (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of CCC (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of CCC (sf)

For further information on DBRS historic 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, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 12 October 2017

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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
-- 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.