DBRS Confirms Rating to Green FCT Lease 2012-1

DBRS Ratings Limited (DBRS) has reviewed assets of Green FCT Lease 2012-1 (the “Issuer”) and confirms the AAA (sf) rating on the Series A Notes (the “Notes”).

The confirmation of the ratings for the Notes is based upon the following analytical considerations, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of 25 July 2014 payment date.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• Current available credit enhancement to the Series A Notes to cover expected losses assumed in line with a AAA (sf) rating level.

The securitisation is backed by a secured loan extended by Credit Agricole CIB to Lixxbail which was then transferred to the Issuer. The assets constituting the security for the loan are the receivables arising from leases and rental agreements, as well as any receivable generated by sale of the vehicle to a party other than the lessee. The leases and rental agreements are primarily on industrial vehicles, commercial cars, trucks and buses. The transaction is in revolving period until June 2015 payment date.

The credit enhancement stems from an overcollaterisation of 18.97% (of the performing collateral balance).

As of the 25 July 2014 payment date, the delinquency ratio was 0.04%. The cumulative gross default ratio was at 0.51% of the aggregated collateral balance. Receivables are classified as defaulted as soon as they remain unpaid for more than 120 days.

The transaction has a Commingling Reserve Account sized to 1.5 times the aggregate of all expected monthly collections in the succeeding collection period (including an assumed prepayment percentage as a result of early buyouts under leases). The Commingling Reserve Account is in place in case of insolvency of Lixxbail where either Lixxbail or the Management Company will need to provide notification to the Lessees Debtor to redirect payments. As of 25 July 2014, the Commingling Reserve Account was at EUR 95.547 million.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on:
http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include monthly investor reports provided by EuroTitrisation (the “FCT Management Company”). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 24 June 2013, when DBRS confirmed the ratings to AAA (sf) of the Series A Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• DBRS expected a Base Case Probability of Default (PD) and Exercise Rate (ER) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The PD and LGD of the current pool of receivables are 3.45% and 100%, respectively.
• To stress the Residual Value risk of the transaction, DBRS applied a 30% haircut on Residual Values in the loss analysis and a base case Exercise Rate of 95% for those leases with Residual Value risk.
• The Risk Sensitivity overview below illustrates the ratings expected for the Series A Notes if the PD and ER decrease by a certain percentage over the Base Case assumption. For example, if the ER decrease by 20% the rating for the Series A Notes would be expected to decrease to AA (high) (sf), all else being equal. If the PD increases by 50% the rating for the Series A Notes would be expected to remain to AAA (sf), all else being equal. If both the ER decrease by 20% and PD increase by 50%, the rating of the Series A Notes would be expected to decrease to AA (high) (sf), all else being equal.

Series A Notes Risk Sensitivity:
• 10% decrease in ER, expected rating of AAA (sf)
• 20% decrease in ER, expected rating of AA (high) (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 10% decrease in ER, expected rating of AAA (sf)
• 25% increase in PD and 20% decrease in ER, expected rating of AA (high) (sf)
• 50% increase in PD and 10% decrease in ER, expected rating of AA (high) (sf)
• 50% increase in PD and 20% decrease in ER, expected rating of AA (high) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Chuck Weilamann
Initial Rating Date: 12 June 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte

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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.