DBRS Confirms Rating on the Series A Notes Issued by Green FCT Lease 2012-1 at AAA (sf)

DBRS Ratings Limited (DBRS) has today confirmed its AAA (sf) rating on the Green FCT Lease 2012-1 (Green 2012, or the Issuer) Series A notes.

The rating action reflects an annual review of the transaction and is based on the following analytical considerations:

-- The current receivables portfolio performance, in terms of delinquencies and losses.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms and conditions of the Series A notes.
-- Current credit enhancement (CE) available to the Series A notes to cover the expected losses assumed in line with the AAA (sf) rating level.

Green 2012 closed in June 2012, and is a securitisation of a Loan extended to Lixxbail by Crédit Agricole Corporate and Investment Bank (CA-CIB). The loan payments are backed by a portfolio of auto lease and rental agreement receivables as well as the proceeds from the sale of the vehicles. The lessor is Lixxbail and the lessees are corporates or associations, from sole traders to large entities. Lixxbail transferred, by way of security, the receivables to the Issuer. Lixxbail is an indirect subsidiary of Crédit Agricole Leasing & Factoring, which itself is a subsidiary of Crédit Agricole SA. The transaction is currently amortising.

Portfolio Performance
The collateral pool is performing in line with DBRS’s expectations. As of 30 June 2016, receivables in arrear were at 0.03% of the outstanding collateralised receivable balance. The cumulative gross loss ratio, as a percentage of the outstanding receivable balance plus the total receivable replenishment amount during the revolving period, was 0.72%. DBRS has maintained the default, recovery and credit net loss assumptions at 4.12%, 50.00% and 2.06%, respectively. Additionally, DBRS has maintained the turn-in rate of 100.00% and the residual value loss of 30.00% assumptions.

Credit Enhancement
The CE to Series A notes remained the same as at the transaction closing at 19.00% provided through the overcollateralisation of the receivables.

CA-CIB acts as Account Bank to the transaction. DBRS’s private long-term Critical Obligations Rating on the Account Bank meets the Minimum Institution Rating criteria given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as these documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the 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 source of information used for the rating actions includes the investor reports from EuroTitrisation.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be 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 20 August 2015, when DBRS confirmed the Series A notes rating at AAA (sf).

The lead responsibilities for this transaction have been transferred to Kevin Ma.

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

To assess the impact of 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 lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current assets and the transaction’s eligibility criteria. 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 remaining pool of receivables are 4.12% and 50.00%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating on the Series A notes would be expected to be at A (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Series A notes would be expected to be at A (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Series A notes would be expected to be at BBB (sf).

Series A notes sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (high) (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 (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Authority (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: Richard Zogheb
Initial Rating Date: 12 June 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Senior Vice President

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The rating methodologies 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.