Press Release

DBRS Morningstar Confirms Rating of Adriano Lease Sec. S.r.l. - Adriano Lease II

Consumer/Commercial Leases
November 27, 2020

DBRS Ratings GmbH (DBRS Morningstar) confirmed its A (sf) rating on the Class A Notes issued by Adriano Lease Sec. S.r.l. – Adriano Lease II (the Issuer).

The rating addresses the timely payment of interest and ultimate payment of principal on or before the final maturity date in January 2049.

The confirmation follows an annual review of the transaction and is 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 A (sf) rating level;
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.
Adriano Lease Sec. S.r.l. - Adriano Lease II is a securitisation of lease receivables granted by Mediocredito Italiano S.p.A. (Mediocredito) to corporate clients, small businesses, and individual enterprises with their registered offices in Italy. The transaction closed in November 2017, when the special-purpose vehicle issued one senior class of floating-rate notes (the Class A Notes) and one junior class of floating-rate and additional return notes (the Class B Notes). In November 2019, Mediocredito was merged by incorporation into Intesa Sanpaolo S.p.A. (Intesa Sanpaolo), which already owned and controlled the entity. Intesa Sanpaolo replaced Mediocredito in every role in the context of the securitisation, and currently services the collateral portfolio.


As of the September 2020 cut-off, loans that were two to three months in arrears represented 0.1% of the outstanding portfolio balance, stable from the September 2019 cut-off. The 90+ delinquency ratio was 0.1%, slightly down from 0.2% in September 2019. The gross cumulative default ratio stood at 2.0% of the initial portfolio balance, increasing from 1.3% last year.


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 23.9% and 77.3%, respectively, taking into account coronavirus-related adjustments. These adjustments were applied to loans belonging to certain industry sectors. Please refer to the below related section for more information.


Overcollateralisation of the outstanding collateral portfolio provides credit enhancement. As of the October 2020 payment date, credit enhancement to the Class A Notes was 55.6%, up from 46.1% as of the October 2019 payment date.

The transaction structure benefits from an amortising cash reserve, which provides liquidity support and is available to cover shortfalls on senior fees, expenses, and interest payments on the Class A Notes. As of the October 2020 payment date, the cash reserve was equal to EUR 21.5 million, which is also its floor level.

Intesa Sanpaolo acts as the account bank for the transaction. Based on the account bank reference rating of Intesa Sanpaolo at A (low), one notch below its DBRS Morningstar Long-Term Critical Obligations Rating of “A”, the downgrade provisions outlined in the transaction documents, and structural mitigants 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 increase in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and 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, 20.8% 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 holidays in the portfolio. Reported payment holidays were also considered in the cash flow analysis. As of the 30 September 2020 cut-off, around 40.0% of the current portfolio balance benefitted from a coronavirus-related payment moratorium (mostly deriving from the application of the state moratorium, as per the Cura-Italia Decree). In addition, another 11.7% of the pool is currently in a payment holiday, granted on the basis of Intesa Sanpaolo’s own private moratorium initiative. Therefore, the total amount of active payment holidays in this leasing portfolio is around 51.7%.

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 global-macroeconomic-scenarios-application-to-credit-ratings. 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 payment and investor reports provided by Banca Finanziaria Internazionale S.p.A., servicer reports and additional information provided by Intesa Sanpaolo 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 29 November 2019, when DBRS Morningstar confirmed its A (sf) rating on the Class A Notes.

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

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

-- DBRS Morningstar 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 are 23.9% and 77.3%, 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 remain at A (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 be expected to fall to BBB (sf).

Class A 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 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 US regulations only.

Lead Analyst: Daniele Canestrari, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 30 November 2017

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

-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
-- Master European Structured Finance Surveillance Methodology (22 April 2020)
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (3 September 2020)
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020)
-- Rating CLOs and CDOs of Large Corporate Credit (21 July 2020)
-- Rating European Structured Finance Transactions Methodology (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