DBRS Assigns New Ratings to Tricolore 2014 SPV S.r.l.

DBRS Ratings Limited (DBRS) has today assigned new ratings of AA (sf) to the Class A floating-rate notes and BBB (sf) to the Class B floating-rate notes (collectively, the Notes) issued by Tricolore 2014 SPV S.r.l. (Tricolore 2014). The Notes are backed by a pool of mixed-lease receivables originated in the Republic of Italy by Banca Privata Leasing S.p.A. (BPL).

The ratings are based on DBRS’s review of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of subordination and a cash reserve. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at a AA (sf) standard for the Class A notes and a BBB (sf) standard for the Class B notes to be issued by Tricolore 2014.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
• The transaction parties' capabilities with respect to originations, underwriting, servicing and financial strength.
• The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

Notes:
The principal methodologies applicable is the Rating European Consumer and Commercial Asset-Backed Securitisations, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include performance data relating to the receivables provided by BPL through the arranger (Banca IMI S.p.A.). 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.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

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 compared with the parameters used to determine the rating (the base case):
• Probability of default (PD) rate used: base-case PD of 11.78%, a 25% and 50% increase on the base-case PD.
• Recovery Rate used: base-case Recovery Rate of 19.36%.
• Loss given default (LGD): base-case LGD of 80.64%, a 25% and 50% increase on the base-case LGD.

DBRS concludes that for the Class A notes:
• A hypothetical increase of the base-case PD by 25%, ceteris paribus, would lead to a downgrade of the Class A notes to A (high) (sf).
• A hypothetical increase of the base-case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A notes to A (low) (sf).
• A hypothetical increase of the base-case LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A notes to A (high) (sf).
• A hypothetical increase of the base-case LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A notes to A (low) (sf).
• A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A notes to A (low) (sf).
• A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A notes to BBB (sf).
• A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A notes to BBB (sf).
• A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A notes to BB (high) (sf).

DBRS concludes that for the Class B notes:
• A hypothetical increase of the base-case PD by 25%, ceteris paribus, would maintain the rating of the Class B notes at BBB (sf).
• A hypothetical increase of the base-case PD by 50%, ceteris paribus, would maintain the rating of the Class B notes at BBB (sf).
• A hypothetical increase of the base-case LGD by 25%, ceteris paribus, would maintain the rating of the Class B notes at BBB (sf).
• A hypothetical increase of the base-case LGD by 50%, ceteris paribus, would maintain the rating of the Class B notes at BBB (sf).
• A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would maintain the rating of the Class B notes at BBB (sf).
• A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B notes to BBB (low) (sf).
• A hypothetical increase of the base-case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B notes to BBB (low) (sf).
• A hypothetical increase of the base-case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B notes to BB (low) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: December 18, 2014
Initial Rating Committee Chair: Chuck Weilamann
Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

Rating European Consumer and Commercial Asset-Backed Securitisations.
Legal Criteria for European Structured Finance Transactions.
Operational Risk Assessment for European Structured Finance Servicers.
Unified Interest Rate Model for European Securitisations.