Rating action

Scope Ratings GmbH (Scope) has taken the following rating actions:

• Alba 11 SPV S.r.l. Class A2 (ISIN IT0005413239); EUR 0.0m outstanding; withdrawn from AAA_SF
   
• Alba 11 SPV S.r.l. Class B (ISIN IT0005413247); EUR 0.0m outstanding; withdrawn from AAA_SF
   
• Alba 11 SPV S.r.l. Class C (ISIN IT0005413254); EUR 98.5m outstanding; upgraded to AAA_SF from AA_SF
   
• Alba 11 SPV S.r.l. Class J (ISIN IT0005413262); EUR 187.0m outstanding; not rated

Class A2 and class B ratings are withdrawn due to notes’ full repayment.

Transaction overview

The transaction is an Italian lease receivables securitisation issued in June 2020. A detailed description of the transaction features and analytical assumptions, at closing, can be found in the transaction´s rating report, available at Scope´s website.

As of the reporting cut-off date (December 2024), the underlying portfolio of assets has an expected remaining weighted average life of approximately 2.8 years, assuming no defaults or prepayments. The pool factor stands at 22.4%.

The reserve fund is at its target level, equal to its floor of 0.5% of the initial size of the rated notes.

Gross excess spread (calculated as the realised portfolio yield minus the weighted average cost of the rated notes, annualized) is 2.5%.

The issuer remains primarily exposed to the following counterparties: Alba Leasing S.p.A. as originator and servicer, Intesa San Paolo as servicer account bank, Citibank N.A. Milan Branch as issuer account bank, Citibank N.A. London Branch as paying agent and Securitisation Services S.p.A. as back-up servicer.

Rating rationale

The review addressed a) the observed performance of the collateral as of the review cut-off date, b) Scope´s forward-looking performance assumptions, in the context of the expected macro-economic environment over the remaining life of the transaction, c) the transaction´s updated asset and liability structure, and d) the issuer´s exposure to key transaction parties.

Beyond the key rating drivers, the main analytical considerations addressed during this review are:

Good collateral performance^1,2: The portfolio has outperformed Scope's expectations at closing. As of the reporting cut-off date, key performance metrics include a cumulative default rate of 3.2%, a 90-day past-due dynamic delinquency rate of 0.1%, an observed recovery rate on defaulted exposures of 38.3%, and an annualised prepayment rate of 1.2%.

Notes subordination¹. Since closing, the credit enhancement for the class C notes has significantly increased, rising from 15.0% to 66.7%.

Liquidity protection¹: The reserve fund currently covers up to two payment dates of senior fees and interest, assuming prevailing interest rate conditions.

Key rating drivers

The key rating drivers continue to be aligned with those disclosed in Scope’s last rating action release dated 22 January 2024.

Key rating-change drivers

A change to the transaction’s key Cash Flow Model assumptions based on observed performance or new data sources, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transition’s Key Rating Drivers could impact the ratings.

Quantitative analysis and assumptions

Scope used a proprietary cash flow model to calculate the expected loss and expected weighted average life of each rated tranche, considering the transaction´s assets and liability structure. Asset cash flows are projected based on the securitised portfolio amortisation schedule and on committee-agreed upon performance assumptions, which reflect the characteristics and quality of the portfolio. The model replicates the transaction’s key structural features, including the capital structure, the order of priority of the issuer´s liabilities, and enhancement features such as excess spread and cash reserves.

Portfolio remaining lifetime default rates are approximated using an inverse Gaussian distribution. The mean parameter has been revised to 3.9%, down from 5.7% at closing, reflecting the portfolio's strong performance to date and a moderate macroeconomic growth outlook. The coefficient of variation has also been adjusted to 131.5%, up from 77.8% at closing, to account for the lower mean and the increasing proportion of real estate assets within the portfolio.

For each segment, Scope assumed the following: a mean of 1.5% and a coefficient of variation of 151.5% for Transport & Air, Naval, and Rail; a mean of 1.9% and a coefficient of variation of 138.5% for Equipment; and a mean of 5.4% and a coefficient of variation of 130.0% for Real Estate.

In addition, recovery rate assumptions have been updated. For the non-real estate segments, the recovery rate has been increased to 35% from 30%, while for the real estate segment, it was risen to 15% from 10%. These adjustments reflect higher-than-expected recoveries compared to Scope’s base case. Prepayment assumptions remain unchanged.

Sensitivity analysis

Scope tested the resilience of the credit rating against deviations in the main input parameters: the portfolio mean default rate and the portfolio recovery rate. This analysis has the sole purpose of illustrating the sensitivity of the rating to input assumptions and is not indicative of expected or likely scenarios.

• A 50% increase in the mean default rate assumption has a zero-notches quantitative impact on the class C notes.
   
• A 50% decrease in Scope´s rating-conditional recovery rate assumptions has a zero-notches quantitative impact on the class C notes.

Rating driver references
1. Investor reports (Confidential)
2. Servicer reports

Stress testing
Stress testing was considered in the quantitative analysis by considering scenarios that stress factors, like defaults and Credit-Rating-adjusted recoveries, contributing to sensitivity of Credit Ratings and consider the likelihood of severe collateral losses or impaired cash flows. The impact on the rated instruments is weighted by the assumptions of the likelihood of the events in such scenarios occurring.

Cash flow analysis
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Version 2.0 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

Methodology
The methodologies used for these Credit Ratings, (SME ABS Rating Methodology, 16 May 2024; General Structured Finance Rating Methodology, 6 March 2024; Counterparty Risk Methodology, 10 July 2024), are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for these Credit Ratings is (Cash Flow Model Version 2.0), available in Scope Ratings’ list of models, published under https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at https://scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Ratings: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting these Credit Ratings originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit was considered when preparing the Credit Ratings and it has no impact on the Credit Ratings.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Ratings and the principal grounds on which the Credit Ratings are based. Following that review, the Credit Ratings were not amended before being issued.
 
Regulatory disclosures
These Credit Ratings are issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Ratings are UK-endorsed.
Lead analyst: Shashank Thakur, Senior Analyst
Person responsible for approval of the Credit Ratings: Paula Lichtensztein, Senior Representative
The Credit Ratings were first released by Scope Ratings on 25 June 2020. The Credit Ratings were last updated on 22 January 2024.

Potential conflicts
See www.scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties. 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.

Conditions of use / exclusion of liability
© 2025 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Innovation Lab 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.