DBRS Confirms the Ratings on Siena Lease 11-1 S.r.l.

DBRS Ratings Limited (“DBRS”) has reviewed Siena Lease 11-1 S.r.l. (“the Issuer”) and confirms the following ratings:
• Class A1 Notes at AAA (sf)
• Class A2 Notes at AAA (sf)

The confirmation of the rating on the Class A1 and Class A2 Notes is based upon the following analytical considerations:
• Portfolio performance, in terms of defaults and delinquencies, as of the March 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance given the long-term foreign and local currency rating of ‘A’ (low) for the Republic of Italy.
• Current available credit enhancement to the Class A1 and Class A2 Notes to cover the expected losses at the AAA (sf) rating level.

Siena Lease 11-1 S.r.l. is a securitisation of lease receivables granted to small and medium entities in Italy. The portfolio was originated and is serviced by Monte dei Paschi di Siena Leasing & Factoring, Banca per i Servizi Finanziari alle Imprese S.p.A. (“MPS”). The transaction follows the standard structure under the Italian Securitisation Law and closed in December 2011.
The pool is granular and the borrowers are mostly concentrated in the region of Lombardy (19.71%) and Tuscany (15.62%). The portfolio is static and the residual value option has not been securitised. Assets are represented by financial lease receivables belonging to three different pools: real estate (66.50%), equipment (27.10%) and transport (6.39%).

The portfolio is performing within DBRS initial expectations in terms of delinquencies and defaults. The current 90+ delinquency rate is 0.87%. The cumulative default rate showed an increasing trend over the life of the transaction reaching the peak of 7.50% in March 2014. Cumulative recoveries to date are low, but in line with DBRS assumptions from its initial rating analysis.

The Class A1 and Class A2 Notes rank pari passu in respect of both interest and principal and are supported by subordination of the Class B Notes. Credit enhancement (as a percentage of the performing portfolio balance) of the Class A1 and Class A2 Notes increased to 89.65% from 54.00% at rating. A cash reserve of EUR 35.45 million was funded at transaction close with the proceeds of the Class C Notes. The cash reserve provides liquidity support to the structure and will be available to repay the notes at maturity only. The cash reserve is allowed to amortise but would need to remain at 1.5% of the aggregate outstanding balance of the Class A1, Class A2 and Class B Notes, subject to the floor of €7.00mn. The cash reserve is at the current target level of EUR 21.47 million.

BNP Paribas Securities Services, Milan branch is the account bank for the transaction. The DBRS private rating of BNP Paribas Securities Services, Milan branch is at least equal to the Minimum Institution Rating given the rating assigned to the Class A1 and Class A2 Notes, as described in the DBRS Legal Criteria for European Structured Finance.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Securitisation Services S.p.A. and servicer reports provided by MPS. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 25 April 2013, when DBRS confirmed the ratings of the Class A1 and Class A2 Notes at AAA (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the 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 Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 23.31% and 90.00%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A1 Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A1 Notes would be expected to be AA (high) (sf), all else being equal. If the PD increases by 50% the rating for the Class A1 Notes would be expected to fall to AA (low) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A1 Notes would be expected to fall to A (high) (sf), all else being equal.

Class A1 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 (sf).
• 50% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of A (high) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of A (high) (sf).

Class A2 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 (sf).
• 50% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of A (high) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of A (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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 regulations only.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 25 December 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria 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.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.