Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed a monitoring review of the following notes issued by Alba 12 SPV S.r.l. on 13 October 2022 and considered the servicer and investor reporting up to July 2022 payment date. The credit ratings remain as follows:

Class A1 (ISIN IT0005466112): EUR 330m outstanding amount: AAA_SF

Class A2 (ISIN IT0005466120): EUR 225.2m outstanding amount: AAA_SF

Class B (ISIN IT0005466138): EUR 238.4m outstanding amount: BBB+_SF

Class J (ISIN IT0005466146): EUR 175.1m outstanding amount: not rated

Alba 12 SPV S.r.l. is a true-sale cash securitisation of a EUR 1,104m pool of lease receivables originated by Alba Leasing S.p.A. to Italian SMEs, individuals and large corporates. The portfolio is used to finance regular business needs of customers in Italy. The leases relate to transportation assets, equipment, and real estate, as well as air, naval and rail assets. This transaction is not exposed to residual value risk because the assets’ residual value is not securitised.

The review was conducted considering available investor reports up to the July 2022 payment date.

This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

The transaction performs well. The gross cumulative default ratio of 0.72% is well below the cash trapping trigger level of 3.75% and class B notes interest subordination trigger of 35%. Leases 90+ days past due are at very low level of only 0.01%. Portfolio segmentation is slowly shifting towards more real estate, due to the segment’s slower amortisation. The credit enhancement for all rated classes has increased. The impact from increasing Euribor is to a large extent mitigated by 92% of assets being linked to the same reference rate as the notes and another 2% are linked to 1-month Euribor, leaving the unhedged exposure at 6%.

CREDIT-POSITIVE (+)

Credit enhancement. Class A1, A2 and B credit enhancement has increased to 66.6%, 46.5% and 18.3% from 57.9%, 37.5% and15.9% at closing, respectively.

CREDIT-NEGATIVE (-)

Macroeconomic uncertainties. After Covid, the Italian economy is facing major new challenges. The war in Ukraine and COVID-related disruptions to global supply chains have pushed up energy prices and inflation more broadly and intensified shortages of key products, even as global demand is slowing. The unemployment rate is expected to average 8.3% in 2022 and decline to 8.1% in 2023. Bankruptcy levels have remained low compared to pre-covid levels, driven by the moratorium which only ended recently in December 2021. These challenges might reflect negatively on the portfolio’s credit quality.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 17 December 2021; SME ABS Rating Methodology, 16 May 2022; Counterparty Risk Methodology, 14 July 2022) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
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
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.

© 2022 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin