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

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

The rating action follows an annual review of the transaction and is based on the following analytical considerations, as described more fully below:

-- The current receivables portfolio performance, in terms of delinquencies and losses.
-- Default, recovery and loss assumptions for the remaining collateral pool.
-- 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 AND ASSSUMPTIONS
The collateral pool is performing in line with DBRS’s expectations. As of 30 June 2017, receivables in arrears were at 0.04% of the outstanding collateralised receivable balance. The cumulative gross loss ratio, as a percentage of the original receivable balance plus the total receivable replenishment amount during the revolving period, was 0.76%. 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 the Series A notes remained the same as at the transaction closing at 19.00%, and is provided through the overcollateralisation of the receivables.

CA-CIB acts as Account Bank to the transaction. The Account Bank reference rating of CA-CIB complies with the Minimum Institution Rating, given the rating assigned to the Series 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 to the rating is: “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 the legal 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 sources of data and information used for this rating include the investor reports provided by the management company EuroTitrisation.

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

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

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 19 August 2016, when DBRS confirmed the rating on the Series A notes at AAA (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 base case Probability of Default (PD) and Loss Given Default (LGD) for the remaining collateral pool based on a review of the current assets. 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 AA (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 AA (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 AA (sf).

Series A notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

For further information on DBRS historical 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 and US regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 12 June 2012

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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.