Rating action

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

Alba 12 SPV S.r.l. Class B Floating Rate Notes (ISIN IT0005466138); EUR 226.2m outstanding; Upgraded to AAA_SF from A+_SF

Alba 13 SPV S.r.l. Class A1 Floating Rate Notes (ISIN IT0005548919); EUR 17.5m outstanding; Affirmed at AAA_SF

Alba 13 SPV S.r.l. Class A2 Floating Rate Notes (ISIN IT0005548927); EUR 263.1m outstanding; Affirmed at AAA_SF

Alba 13 SPV S.r.l. Class B Floating Rate Notes (ISIN IT0005548935); EUR 267.6m outstanding; Upgraded to A+_SF from A-_SF

Key transaction features

The transactions are Italian lease receivables securitisations. A detailed description of the transaction features and analytical assumptions, at closing, can be found in the respective transaction´s rating report, available at Scope´s website on the links: Alba 12 SPV S.r.l. and Alba 13 SPV S.r.l..

The issuers remain primarily exposed to the following counterparties: Alba Leasing S.p.A. as originator and servicer, Intesa San Paolo as servicer account bank, BNP Paribas as issuer account bank.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

Alba 12 class B, and Alba 13 class A1 and A2 notes’ current ratings reflect the updated quantitative analysis base case results.

Alba 13 class B notes’ current rating is 2 notches below the rating reflected by the quantitative analysis base case result. The rating is constrained due to insufficient liquidity support.

 Key rating drivers

Scope has made no changes to its assessment of the key rating drivers disclosed on our previous rating action release dated 20 September 2023 (Alba 12) and 16 May 2024 (Alba 13). None of the key rating drivers are ESG related.

Key quantitative assumptions

• Parametric default rate distribution defined by a mean default rate and a coefficient of variation parameter
   
• Rating conditional recoveries
   
• Base case prepayment rate
   
• Portfolio yield assumption
   
• Rating conditional interest rate vectors
   
• Amortisation vector
   
• Default-timing vector

Updates to the key assumption levels and to other relevant model parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics

Both transactions have exceeded Scope's performance expectations at closing. As of the reporting cut-off date (refer to ‘Key data sources’), key performance metrics for Alba 12 and 13, respectively, are as follows: a cumulative default rate of 2.0% and 2.2%; a 90-day past-due dynamic delinquency rate of 0.1% and 0.3%; an observed recovery rate on defaulted exposures of 25.1% and 12.0; and an annualised prepayment rate of 3.8% and 0.9%. These figures reflect the continued strong performance and resilience of both transactions.

Since closing, credit enhancement levels have increased across all rated notes, thereby enhancing protection against any potential deterioration in asset performance. Assuming prevailing interest rate conditions, the reserve fund currently provides liquidity coverage for up to two payment dates of senior fees and interest on the most senior outstanding notes—specifically, the class B notes in Alba 12 and the class A1 and class A2 notes in Alba 13.

Relevant changes to the key transaction features

As of the reporting cut-off date, the underlying portfolios of both transactions have an expected remaining weighted average life of approximately 2.2 years, assuming no defaults or prepayments. The pool factor stands at 35.9% and 59.6% for Alba 12 and 13 respectively. Each portfolio is migrating towards the real estate segment due to the faster amortisation of the transportation and equipment segments. For Alba 12 and 13 respectively, the real estate segment increased to 50.2% from 28.0% and to 25.4% from 18.8% since closing.

The reserve fund for both the transactions is at their respective target levels. The reserve fund in Alba 12 has reached its floor of 0.5% of the initial size of the rated notes.

Gross excess spread, defined as the realised annualised portfolio yield less the weighted average cost of the rated notes) is currently at 3.4% and 2.3% for Alba 12 and 13, respectively.

Key data sources

Scope’s review was based on servicer, investor and payment reporting as of January 2025 for Alba 12 and as of March 2025 for Alba 13.

The analysis also factored in Scope´s SME ABS outlook.

Rating-change drivers

A change to the key quantitative assumptions based on observed performance or new data sources, significant changes to the key transaction´s features, and a change in Scope’s credit views regarding the key rating drivers could impact the ratings.

The sensitivity analysis below provides an indication of the resilience of the credit ratings against deviations in key quantitative assumptions.

Sensitivity analysis

The following analysis has the sole purpose of illustrating the sensitivity of the credit ratings to assumption parameters, all else equal, and is not indicative of expected or likely scenarios.

Alba 12:

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

Alba 13:

• A 50% increase in the mean default rate assumption has a zero-notch quantitative impact on the class A1 and A2 notes and a one-notch quantitative impact on the class B notes.
   
• A 50% decrease in Scope´s rating-conditional recovery rate assumptions has a zero-notch quantitative impact on the class A1, A2 and B notes.

Quantitative analysis

This section provides non-exhaustive list of relevant quantitative analysis parameters and how they compare to those applied at the initial rating assignment:

Portfolio remaining lifetime default rates are approximated using an inverse Gaussian distribution. The distribution parameters are adjusted as follows:

Alba 12: Mean default rate has been revised to 3.1%, down from 5.3% at closing; coefficient of variation has been adjusted to 110.3%, up from 71.1% at closing.

Alba 13: Mean default rate has been revised to 4.1%, down from 5.5% at closing; coefficient of variation has been adjusted to 90.8%, up from 70.1% at closing.

The adjustments above reflects the portfolio's strong performance to date, a moderate macroeconomic growth outlook, and the increasing proportion of real estate assets within the portfolio.

For each segment, Scope made the following assumptions for Alba 12: a mean of 1.6% with a coefficient of variation of 142.0% for transport & air, naval, and rail; a mean of 1.9% with a coefficient of variation of 127.0% for equipment; and a mean of 4.9% with a coefficient of variation of 102.7% for real estate.

For each segment, Scope made the following assumptions for Alba 13: a mean of 2.8% with a coefficient of variation of 96.5% for transport & air, naval, and rail; a mean of 3.1% with a coefficient of variation of 89.5% for equipment; and a mean of 7.2% with a coefficient of variation of 90.5% for real estate.

Base case prepayment rate is assumed to be 5% and the recovery rate assumptions remain unchanged for both transactions.

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 weighed 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 Master Waterfall Version 1.0 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, 13 February 2025; Counterparty Risk Methodology, 10 July 2024), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for these Credit Ratings is (Cash Flow Model Master Waterfall Version 1.0), 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 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 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 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 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
The 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 final Credit Ratings for Alba 12 were first released by Scope Ratings on 16 November 2021. The Credit Ratings were last updated on 20 September 2023.
The Credit Ratings for Alba 13 were first released by Scope Ratings on 27 June 2023. The Credit Ratings were last updated on 16 May 2024.

Potential conflicts
See 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. Public Ratings are generally accessible to the public. Subscription Ratings and Private Ratings are confidential and may not be shared with any unauthorised third party.