Morningstar DBRS Assigns Credit Ratings to Alba 15 SPV S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) assigned credit ratings to the following classes of notes (the Rated Notes) issued by Alba 15 SPV S.r.l. (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at A (high) (sf)

The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit rating on the Class B Notes addresses the ultimate payment of scheduled interest while the class is subordinate but the timely payment of scheduled interest when it is the most senior class, and the ultimate repayment of principal by the legal final maturity date.

Morningstar DBRS did not assign a credit rating to the Class J Notes (together with the Rated Notes, the Notes), also issued in this transaction.

The transaction is a static cash flow securitisation collateralised by a portfolio of performing financial lease contracts granted by Alba Leasing S.p.A. (Alba Leasing or the servicer) to Italian small and medium-size enterprises (SME), corporate entities, and individual entrepreneurs. The securitised receivables are financial claims toward the repayment of regular instalments by lessees. The receivables exclude the final optional instalments that comprise the residual value.

As of the initial valuation date of 29 March 2025, the initial portfolio consisted of 8,597 lease contracts extended to 5,010 borrowers, with an aggregate outstanding principal balance of EUR 906.1 million. The portfolio consisted of 25.0% vehicle leases; 43.9% equipment leases; 27.7% real estate leases; and 3.3% air, naval, and train leases.

The initial portfolio exhibits geographic concentration in the northern Italian regions of Lombardy, Emilia-Romagna, and Veneto, accounting for 27.0%, 11.7%, and 9.4% of the portfolio, respectively. The initial portfolio exhibits good industry diversification, with the top three sector exposures per Morningstar DBRS' industry classifications being Business Services, Transportation, and Industrial Products and representing 13.2%, 12.9%, and 9.8% of the portfolio, respectively. The portfolio also shows a low borrower-group concentration as the largest, top 10, and top 20 lessee exposures account for 0.9%, 6.0%, and 10.1% of the portfolio, respectively.

Alba Leasing services the lease portfolio while Banca Finanziaria Internazionale S.p.A. acts as the backup servicer for this transaction. Agenzia Italia S.p.A. and Moltiply Tech S.r.l. have been appointed as sub-backup servicers. If the Servicer's appointment is terminated, the Issuer will appoint the backup servicer as replacement servicer.

CREDIT RATING RATIONALE
The credit ratings are based on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued;
-- The credit quality and the diversification of the collateral portfolio, its historical performance, and the projected performance under various stress scenarios;
-- The operational risk review of Alba Leasing with regard to its originations, underwriting, servicing, and financial strength;
-- The transaction parties' financial strength with regard to their respective roles;
-- Morningstar DBRS' sovereign credit rating on the Republic of Italy, currently at BBB (high) with a Positive trend; and
-- The consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

TRANSACTION STRUCTURE
The Class A and Class B Notes benefit from a total credit enhancement of 34.0% and 13.0%, respectively, provided by the overcollateralisation of the portfolio and excluding the cash reserve. The amortising cash reserve will be available to cover expenses, senior fees, interest on the Class A and Class B Notes (if the relevant Class B Notes interest subordination event has not occurred). The cash reserve will be maintained at 1.0% of the principal outstanding of the Rated Notes, subject to a floor of 0.5% of the initial balance of the Rated Notes. The transaction allocates collections through a combined waterfall with a fully sequential notes repayment mechanism. A cash-trapping condition and a Class B Notes interest subordination event are also in place to protect the Class A Notes, both occurring upon deterioration of the portfolio's performance.

TRANSACTION COUNTERPARTIES
BNP Paribas, Italian Branch (BNP Italy) and Crédit Agricole CIB, Italian Branch (CA-CIB Italy) are the account bank and the investment account bank, respectively, for the transaction. Morningstar DBRS has a private credit rating on both entities and considers BNP Italy and CA-CIB Italy as meeting the relevant criteria to act in their capacity. The transaction documents contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

PORTFOLIO ASSUMPTIONS
The credit ratings are also based on the following analytical considerations:
-- Morningstar DBRS used historical dynamic arrears data to determine a conservative annualised probability of default (PD). Morningstar DBRS assumed an annualised PD of 1.5% for vehicle and equipment leases; 1.0% for real estate leases; and 10.1% for air, naval, and train leases. The weighted-average annualised PD of the portfolio is 1.6%.
--The assumed weighted-average life (WAL) of the portfolio is 3.2 years.
-- Morningstar DBRS used the PDs and WAL in its SME Diversity Model to generate the hurdle rates for the relevant credit ratings.

Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the Rated Notes are the related interest amounts and the principal amount.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/454196.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583.

Other methodologies referenced in this transaction are listed at the end of this press release.

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include performance data relating to the receivables provided by Alba Leasing directly or through the arrangers: Intesa Sanpaolo S.p.A. and Banca Akros S.p.A.

Morningstar DBRS received the following data information, split by vehicles, equipment, real estate, and air/naval/train lease sub-pool:
-- Static quarterly default data from Q1 2014 to Q4 2024,
-- Static quarterly recovery data from Q1 2015 to Q4 2024,
-- Dynamic quarterly delinquency data from Q1 2014 to Q4 2024,
-- Dynamic quarterly default data from Q1 2016 to Q4 2024, and
-- Dynamic quarterly prepayment data from Q1 2014 to Q4 2024.

In addition, Morningstar DBRS received loan-level characteristics, stratification data, and contractual amortisation profile as at 29 March 2025.

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

Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

These credit ratings concern newly issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.
Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

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

-- PD Rate Used: Base case annualised PD of 1.5% for vehicles and equipment leases; 1.0% for real estate leases; and 10.1% for air, naval, and rail leases. Default rate of 26.1% in the AAA (sf) scenario and 17.9% in the A (high) (sf) scenario, a 25% and 50% increase on the applicable base case PD.
-- Recovery Rate Used: Base case recovery rate of 53.0%.
-- Loss Given Default (LGD) Used: Base case LGD of 47.0%, 63.0% in the AAA (sf) scenario and 57.8% in the A (high) (sf) scenario.

Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios are:
-- Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf), and AA (high) (sf).
-- Class B Notes: A (low) (sf), BBB (high) (sf), A (low) (sf), BBB (high) (sf), BBB (low) (sf), BBB (high) (sf), BBB (low) (sf), and BB (high) (sf).

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniele Canestrari, Assistant Vice President
Rating Committee Chair: Carlos Silva, Senior Vice President
Initial Rating Date: 29 May 2025

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Rating European Consumer and Commercial Asset Backed Securitisations (18 September 2024),
https://dbrs.morningstar.com/research/439583
-- Rating CLOs Backed by Loans to European SMEs (19 November 2024) and Morningstar DBRS SME Diversity Model 2.7.1.5,
https://dbrs.morningstar.com/research/443198
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025),
https://dbrs.morningstar.com/research/454196

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.