Morningstar DBRS Upgrades and Confirms Credit Ratings on Four Alba Leasing Transactions

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the Notes issued by Alba 11 SPV S.r.l. (A11), Alba 12 SPV S.r.l. (A12), Alba 13 SPV S.r.l. (A13), and Alba 14 SPV S.r.l. (A14):

A11:
-- Class C Notes upgraded to AAA (sf) from AA (high) (sf)

The credit rating on the Class C Notes addresses the timely payment of interest and ultimate payment of principal by the final maturity date.

A12:
-- Class B Notes upgraded to AAA (sf) from AA (high) (sf)

The credit rating on the Class B Notes addresses the timely payment of interest and ultimate payment of principal by the final maturity date.

A13:
-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)

The credit ratings on the Class A1 and Class A2 Notes address the timely payment of interest and ultimate payment of principal by the final maturity date. The credit rating on the Class B Notes addresses the ultimate payment of interest while junior, the timely payment of interest while the most senior outstanding, and the ultimate payment of principal by the final maturity date.

A14:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (low) (sf) from A (high) (sf)

The credit rating on the Class A Notes addresses the timely payment of interest and ultimate payment of principal by the final maturity date. The credit rating on the Class B Notes addresses the ultimate payment of interest while junior, the timely payment of interest while the most senior outstanding, and the ultimate payment of principal by the final maturity date.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the latest payment date for each transaction.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels.

Each transaction is a securitisation of financial lease receivables granted by Alba Leasing S.p.A. (Alba Leasing) to corporates, small businesses, and individual enterprises with registered offices in Italy. Financial leases typically provide an option for the lessee to acquire the asset upon payment of the last instalment (which incorporates the assets' residual value). In these transactions, the securitised receivables do not include the residual value. Alba Leasing also services the collateral portfolios, with Banca Finanziaria Internazionale S.p.A. (Banca Finint) appointed as the backup servicer in the four transactions.

PORTFOLIO PERFORMANCE
The portfolios are performing within Morningstar DBRS's expectations. The 60 to 90 day and 90+ day arrears ratios are as follows:
-- A11: 0.03% and 0.07%, respectively, as of the February 2025 cut-off date;
-- A12: 0.05% and 0.00%, respectively, as of the March 2025 cut-off date;
-- A13: 0.11% and 0.01%, as of the February 2025 cut-off date; and
-- A14: 0.03% and 0.01%, respectively, as of the March 2025 cut-off date.

The gross cumulative default ratios for A11, A12, A13, and A14 were equal to 3.3%, 2.2%, 2.3%, and 0.9% of the initial portfolio balances, respectively.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its one-year base case PD to 1.5% for vehicles; 1.5% for equipment leases; 1.0% for real estate leases; and 10.1% for air, naval, and train leases.
Morningstar DBRS assumes a base case lifetime LGD at 47.0% for all the transactions.

CREDIT ENHANCEMENT
Overcollateralisation of the outstanding collateral portfolios provides credit enhancement to the rated notes across the three transactions. As of their respective latest payment dates, credit enhancement levels were as follows:
A11:
-- Class C Notes: 73.8%, up from 44.7% as of the March 2024 payment date.
A12:
-- Class B Notes: 49.2%, up from 30.6% as of the April 2024 payment date.
A13:
-- Class A1 Notes: 97.7%, up from 70.0% as of the March 2024 payment date.
-- Class A2 Notes: 62.0%, up from 44.4% as of the March 2024 payment date.
-- Class B Notes: 25.8%, up from 18.3% as of the March 2024 payment date.
A14:
-- Class A Notes: 42.0%, up from 24.0% as at transaction closing in May 2024.
-- Class B Notes: 16.2%, up from 13.0% as at transaction closing in May 2024.

Each transaction benefits from an amortising cash reserve (debt service reserve), which provides liquidity support to the notes, covering senior expenses and interest payments on the rated notes (only prior to the occurrence of an interest subordination event for A11, with respect to the Class B and Class C Notes; and for A12, A13 and A14, with respect to the Class B Notes). For A11 and A12 the reserves are at their respective floor levels.
The reserves are currently equal to their target levels of EUR 5.4 million for A11, EUR 4.7 million for A12, EUR 6.2 million for A13, and EUR 6.2 million for A14.

Citibank N.A./Milan Branch (for A11) and BNP Paribas, Succursale Italia (for A12, A13, and A14) act as the account banks for the transactions. Based on Morningstar DBRS' private credit ratings on the account banks, the downgrade provisions outlined in the transaction documents, and mitigating factors inherent to the transaction structures, Morningstar DBRS considers the risk arising from the exposure to the account banks to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS's credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS's 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 "Master European Structured Finance Surveillance Methodology" (4 February 2025): https://dbrs.morningstar.com/research/447080.

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.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

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 investor reports provided by Banca Finanziaria Internazionale S.p.A., loan-level data provided by European DataWarehouse GmbH, and amortization plans and historical performance data provided by Alba Leasing, split by vehicles, equipment, real estate, and air/naval/train lease contracts:
-- Static quarterly default data from Q1 2014 to Q4 2024,
-- Static quarterly recovery data from Q1 2014 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.

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

At the time of the initial credit ratings, 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.

The last credit rating actions on these transactions were as follows:
-- A11: on 14 June 2024, Morningstar DBRS upgraded its credit ratings on the Class B and Class C Notes to AAA (sf) and AA (high) (sf), from AA (high) (sf) and AA (sf), respectively. Subsequently, on 27 December 2024, Morningstar DBRS discontinued its credit rating on the Class B Notes following their repayment in full.
-- A12: on 14 June 2024, Morningstar DBRS confirmed its credit rating on the Class A2 Notes at AAA (sf) and upgraded its credit rating on the Class B Notes to AA (high) (sf) from AA (sf). Subsequently, on 27 January 2025, Morningstar DBRS discontinued its credit rating on the Class C Notes following their repayment in full.
-- A13: on 14 June 2024, Morningstar DBRS confirmed its credit ratings on the Class A and Class A2 Notes at AAA (sf) and upgraded its credit rating on the Class B Notes to AA (high) (sf) from A (high) (sf).
-- A14: on 30 May 2024, Morningstar DBRS finalized its provisional credit ratings on the Class A and Class B Notes at AAA (sf) and A (high) (sf), respectively.

The lead analyst responsibilities for these transactions have been transferred to Daniel Rakhamimov.

Information regarding Morningstar DBRS credit ratings, including definitions, policies and methodologies is available at https://dbrs.morningstar.com.

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

-- Morningstar DBRS 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 for the Issuer at the B (sf) credit rating level are as follows:
-- A11: 5.0% and 47.0%, respectively,
-- A12: 5.1% and 47.0%, respectively,
-- A13: 5.8% and 47.0%, respectively, and
-- A14: 5.5% and 47.0%, respectively.

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

A11:
Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

A12:
Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

A13:
Class A1 Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

A14:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (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: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Credit Rating Dates:
-- A11: 25 June 2020
-- A12: 2 November 2021
-- A13: 27 June 2023
-- A14: 14 May 2024

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025),
https://dbrs.morningstar.com/research/454196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024),
https://dbrs.morningstar.com/research/439583
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- 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
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199

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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.