Scope Ratings completed the monitoring review for Alba 11 SPV S.r.l. on 28 May 2021. The review was conducted based on available payment information and investor and servicer reporting as of 29 March 2021 payment date. The transaction is a static true-sale cash securitisation of Italian lease receivables originated by Alba Leasing S.p.A. (Alba). The portfolio comprises leases mainly granted to Italian SMEs and smaller amounts to larger corporate borrowers and individual entrepreneurs used to finance transportation assets, equipment, real estate properties and air, naval & rail assets. This transaction is not exposed to residual value risk because the assets’ residual value is not securitised.

The credit ratings remain as follows:

Class A1 (ISIN IT0005413205), EUR 397.7m outstanding: AAA_SF

Class A2 (ISIN IT0005413239), EUR 300.0m outstanding: AA_SF

Class B (ISIN IT0005413247), EUR 143.6m outstanding: A_SF

Class C (ISIN IT0005413254), EUR 131.1m outstanding: BB+_SF

Class J (ISIN IT0005413262), EUR 187.0m outstanding: not rated

Scope reviews its ratings on an ongoing basis, and at least once a year. Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodologies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

This monitoring note does not constitute a rating action, nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

Credit enhancement (including the cash reserve) increased across all tranches. Class A1 credit enhancement has increased to 66.4% from 61% at closing, Class A2 credit enhancement has increased to 40.2% from 37% at closing, Class B has increased to 27.7% from 25.5% at closing and Class C has increased to 16.3% from 15% at closing. This credit enhancement build-up is mainly driven by structural deleveraging due to portfolio amortisation (8%) since closing. The EUR 11.8m cash reserve (1.16% of rated notes) serves as a form of credit enhancement, in addition to providing liquidity coverage for senior fees and interest.

A significant portion of the pool is currently in moratorium according to the Law Decree "Cura Italia" under which lessees are not accounted as non-payers. As of February 2021, around 47.5% of the initial portfolio balance benefits or has benefitted from a payment moratorium. Around 42% of the outstanding balance benefit from a payment moratorium with a run-out scheduled after the February cut-off date. The payment suspension from lessees under moratorium reflects negatively on the amortisation of the pool and subsequently the notes, resulting in slower amortisation compared to Scope’s assumption at closing. Delinquencies more than 90 days past due represent 0.04% of the outstanding non-defaulted assets. However, lessees under moratorium are not accounted as non-payers and lessees in arrears will most likely go up after the end of the moratorium in June 2021. Cumulative observed defaults are 0.29% of the asset balance at closing, well below Scope’s projection at closing.

Transaction counterparties continue to support the ratings.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, published on 14 December 2020, SME ABS Rating Methodology, published on 17 May 2021, Consumer and Auto ABS Rating Methodology published on 3 March 2021 and the Methodology for Counterparty Risk in Structured Finance published on 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Martin Hartmann, Associate Director

Potential conflicts*
Please see www.scoperatings.com for a list of potential conflicts of interest related to the issuance of credit ratings. A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, a related third party to this transaction. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.

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*Editor's note: The 'Potential Conflicts' section was added on 28 September 2021.