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

DBRS Ratings GmbH (DBRS) took the following rating actions on the 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 AAA (sf) from AA (high) (sf)
-- Class B2 Notes upgraded to AAA (sf) from AA (high) (sf)

Alba 8:
-- Class A-2 Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from 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.

The transactions structures were analysed in Intex DealMaker.
For Alba 7, the ratings on the Class B1 and Class B2 Notes address timely payments 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 timely payments of interest and ultimate payment of principal on or before the final maturity date.

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 registered offices in Italy. The pools comprise real estate leasing, equipment lease, vehicle lease and naval-air receivables. Alba 7 closed in April 2015, whereas Alba 8 closed in June 2016.

PORTFOLIO PERFORMANCE
Both portfolios are performing within DBRS’s expectations. The 90+ delinquency ratio of Alba 7, as of the March 2019 payment date, was at 0.0% of the collateral portfolio, while the current cumulative default ratio stood at 2.7% of the original portfolio balance. As of the January 2019 payment date, the 90+ delinquency ratio of Alba 8 was at 0.0% of the collateral portfolio, while the current cumulative default ratio stood at 2.5%.

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 12.8% and 84.4%, respectively. For Alba 8, the base-case PD and LGD for the Class A-2 Notes are 9.8% and 85.8%, respectively, whereas for the Class B and Class C Notes they are 9.8% and 85.5%.

CREDIT ENHANCEMENT
The CE available to all rated notes has continued to increase as the transactions continue to deleverage. The CE consists of the overcollateralisation provided by the outstanding collateral portfolios. For Alba 7, as of March 2019, CE to the Class B1 and Class B2 Notes was 95.0%, increasing from 64.1% as of March 2018. For Alba 8, as of January 2019, CE to the Class A-2, Class B and Class C Notes was 85.6%, 57.1% and 46.9%, respectively, increasing from 59.1%, 39.3% and 32.2% as of January 2018.

Alba 7 benefits from a Reserve Fund, currently at its floor level of EUR 9.08 million. Alba 8 benefits from an amortising Reserve Fund, currently at its floor level 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. Based on the private ratings of the Account Banks, the downgrade provisions outlined in the transaction documents, and structural mitigants, DBRS considers the risk arising from the exposure to the Account Banks to be consistent with the ratings 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: “Master European Structured Finance Surveillance Methodology”.

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

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

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 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 Alba 7 took place on 19 April 2018 when DBRS upgraded its ratings on the Class B1 and Class B2 Notes to AA (high) (sf) from AA (low) (sf).

The last rating action on Alba 8 took place on 19 April 2018 when DBRS confirmed its ratings on the Class A-2 Notes at AAA (sf), the Class B Notes at A (high) (sf) and the Class C Notes at A (sf).

The lead analyst responsibilities for Alba 7 and Alba 8 have been transferred to Ettore Grassini.

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 13.4% (including sovereign stress) and 84.4%, respectively.
-- For Alba 8, the base case PD and LGD for the Class A-2 Notes are 10.2% (including sovereign stress) and 85.8%, respectively. The base case PD and LGD for the Class B and Class C Notes are 10.2% (including sovereign stress) and 85.5%, 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 AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class B1 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 B1 Notes would be expected to remain at AAA (sf).

Alba 7:
Class B1 and Class B2 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)

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 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 B 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 (low) (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 BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (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 GmbH are subject to EU and US regulations only.

Lead Analyst: Ettore Grassini, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date Alba 7: 9 April 2015
Initial Rating Date Alba 8: 20 June 2016

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main – Deutschland

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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.