Press Release

DBRS Morningstar Confirms Rating on Multi Lease AS S.r.l.

Consumer/Commercial Leases
November 05, 2020

DBRS Ratings GmbH (DBRS Morningstar) confirmed its rating on the Class A Notes issued by Multi Lease AS S.r.l. (the Issuer) at AA (sf).

The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in July 2044.

The confirmations 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 October 2020 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AA (sf) rating level;
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

The Issuer is a securitisation of financial lease contracts granted by Sardaleasing S.p.A. to retail and corporate customers in Italy. The securitised receivables are financial claims towards the payment of regular installments by lessees but exclude the final optional instalments that include residual value.

As of the October 2020 payment date, the balance of the Class A Notes was EUR 350.3 million, down from EUR 794.7 million at closing, and the balance of the Class B Notes was EUR 340.5 million, the same as at closing because of the sequential amortisation. The EUR 737.6 million securitised portfolio consisted of real estate leasing (78.9% by loan balance), equipment leases (11.0%), vehicle leases (2.9%), and energetic (2.6%) and naval receivables (4.6%).

As of the October 2020 payment date, there were no reported loans that were one to two months and two to three months delinquent while loans that were more than three months delinquent represented 0.1%. There were no gross cumulative defaults reported so far.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions to 24.7% and 63.7%, respectively, including coronavirus-related adjustments.

The subordination of the Class B Notes provides credit enhancement to the Class A Notes. As of the October 2020 payment date, credit enhancement to the Class A Notes was 52.5% up from 42.5% as of the last annual review.

The transaction benefits from an amortising cash reserve account, which is available to cover senior expenses and missed interest payments on the Class A Notes. This account was funded at closing with EUR 11.4 million, and its target balance is equal to 1.0% of the outstanding principal of the portfolio as at the beginning of the preceding collection period, with a floor of EUR 5.7 million. The reserve currently stands at EUR 7.6 million and has been at its target since closing.

BNP Paribas Securities Services, Milan branch (BNP Milan) acts as the account bank for the transaction. Based on the DBRS Morningstar private rating of BNP Milan, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, additional adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus
For this transaction, DBRS Morningstar increased the expected default rate for obligors in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus. As per DBRS Morningstar’s assessment, 17.6% of the outstanding portfolio balance belonged to industries classified in mid-high and high-risk economic sectors, respectively, which leads to the underlying one-year PDs to be multiplied by 1.5 and 2.0, respectively, as per the commentaries mentioned below. In addition, DBRS Morningstar conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment suspensions in the portfolio. Reported payment suspensions were also considered in the asset and cash flow analysis. As of October 2020, around 49.2% of the current portfolio balance benefitted from a coronavirus-related payment suspensions.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 10 September 2020. For details, see the following commentaries: and The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

On 8 May and on 18 May 2020, DBRS Morningstar published commentaries outlining how the coronavirus is likely to affect the DBRS Morningstar-rated ABS and Structured Credit transactions, respectively, in Europe. For more details, please see:, and

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology” (22 April 2020). DBRS Morningstar 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 at:

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for this rating include quarterly reports provided by Zenith Service S.p.A. (the Master Servicer) and loan-level data provided by the European DataWarehouse GmbH.

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

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

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

DBRS Morningstar 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 6 November 2019 when DBRS Morningstar upgraded its rating on the Class A Notes to AA (sf) from A (high) (sf).

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies is available at

To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the base case):

-- DBRS Morningstar expected a lifetime base case PD and LGFD 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 24.7% and 63.7%, 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 A Notes would be expected to fall to AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to fall to A (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would also be expected to fall to BB (high) (sf).

Class A 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 AA (low) (sf)
-- 50% increase in PD, expected rating of A (low) (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 BB (high) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and U.S. regulations only.

Lead Analyst: Petter Wettestad, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 6 November 2018

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Master European Structured Finance Surveillance Methodology (22 April 2020),
-- Rating European Structured Finance Transactions Methodology (21 July 2020),
-- Rating European Consumer and Commercial Asset-Backed Securities (3 September 2020),
-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020),
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020),
-- Rating CLOs Backed by Loans to European SMEs (30 September 2020) and DBRS Morningstar SME Diversity Model,
-- Rating CLOs and CDOs of Large Corporate Credit (21 July 2020),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at

For more information on this credit or on this industry, visit or contact us at