DBRS Confirms Foncaixa Leasings 2, FTA

DBRS Ratings Limited (“DBRS”) has reviewed the Notes issued by Foncaixa Leasings 2, FTA (the “Issuer”) and taken the following rating actions:

• Series A Notes confirmed at A (sf)
• Series B Notes confirmed at BB (high) (sf)

The confirmation of the ratings for the Series A and Series B Notes is based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of the 20 March 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance given the long-term foreign and local currency rating of ‘A’ (low) for the Kingdom of Spain.
• Current available credit enhancement to the Series A and Series B Notes to cover the expected losses at the A (sf) and BB (high) rating level, respectively.

Foncaixa Leasings 2 is a securitisation of a pool of Spanish lease receivables relating to real estate, equipment and vehicles originated and serviced by CaixaBank S.A. The transaction closed in March 2013.

As of the 20 March 2014 payment date, the 90+ delinquency ratio was 1.26%. The cumulative gross default ratio was 0.32% of the original collateral balance with zero cumulative recoveries to date.

Credit enhancement for the Series A Notes of a subordination of the Series is B Notes and a Cash Reserve Fund. Credit enhancement for the Series B Notes consists of the Cash Reserve Fund. Current credit enhancement (as a percentage of the collateral balance) is equal to 38.74% (Series A Notes) and 18.58% (Series B Notes). The current balance of the Cash Reserve Fund is equal to the current target level of EUR 184 million. The Cash Reserve Fund target level will be allowed to amortise following the March 2015 payment date, subject to performance triggers with a EUR 92 million floor.

CaixaBank S.A. holds the Treasury Account for the transaction. The DBRS public rating of CaixaBank S.A. complies with the threshold for the Account Bank given the rating assigned to the Series A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

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 investor reports provided by GestiCaixa (the Management Company) and data from the European DataWarehouse. 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 22 March 2013, when DBRS assigned the rating of A (sf) and BB (high) (sf) to Series A and Series B Notes, respectively.

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 Loss Given Default (LGD) 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 Base Case PD and LGD of the current pool of receivables are 10.52% and 92.58%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Series A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Series A Notes would be expected to remain at A (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to remain at A (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Series A Notes would be expected to remain at to A (sf), all else being equal.

Series A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of A (sf)
• 50% increase in LGD, expected rating of A (sf)
• 25% increase in PD, expected rating of A (sf)
• 50% increase in PD, expected rating of A (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Series B Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of BB (high) (sf)
• 50% increase in LGD, expected rating of BB (high) (sf)
• 25% increase in PD, expected rating of BB (high) (sf)
• 50% increase in PD, expected rating of BB (high) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BB (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: Alessio Pignataro
Initial Rating Date: 22 March 2013
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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.