DBRS Upgrades Class A of Leasetotta No.1 Limited

DBRS Ratings Limited (“DBRS”) has reviewed the Notes issued by Leasetotta No.1 Limited (the “Issuer”) and upgrades the rating of the Class A Notes to AAA (sf) from AA (high) (sf).

The upgrade of the rating for the Class A 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 15 April 2014 payment date.
• Current available credit enhancement to the Class A Notes to cover the Expected Losses at the AAA (sf) rating level.
• Treasury Account holder sitting in the United Kingdom

Leasetotta No.1 Limited is a securitisation of receivables which consists of Portuguese leases relating to real estate (48.4%), equipment (46.1%), and vehicles (5.6%) underwritten to SMEs (portfolio of EUR 1.3 billion at closing) originated and serviced by Totta - Crédito Especializado, Instituição Financeira de Crédito, S.A. The transaction closed in April 2009 and initially had an eighteen months revolving period.

As of the 15 April 2014 payment date, the current 90+ delinquency ratio was 2.28%. The gross cumulative default ratio (loans having more than 18 outstanding and unpaid monthly instalments) was 1.50% of the aggregated collateral balance.

Credit enhancement for the Class A Notes (as a percentage of the collateral balance) consists of subordination of the Class B Notes (83.90%), and a Cash Reserve Fund (18.92%). The current balance of the Cash Reserve Fund is EUR 58.9 million compared to the outstanding balance of the Class A Notes, EUR 50.1 million.

The transaction also benefits from a Principal Deficiency Ledger (“PDL”) for each collaterised Class of the Notes, where any amounts standing in the Cash Reserve Fund account for the transaction are available to pay down debits in the PDLs. The Cash Reserve Fund was initially funded via the EUR 65 million issuance of the Class C Notes. As of April 2014, both PDLs were cleared, however there was a EUR 6.1 million shortfall to the Cash Reserve Fund target, amount which prevented the Cash Reserve Fund from amortising.

Deutsche Bank AG/London holds the Treasury Account for the transaction. The DBRS private ratings of Deutsche Bank AG/London complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Banco Santanter Totta S.A (“Totta”) is acting as swap counterparty in order to hedge the basis risk. Totta is not currently posting collateral as described within the DBRS Derivative Criteria for European Structure Finance Transactions given the DBRS public rating of Totta. Hence, DBRS did not give any credit to the cashflows resulting from the swap. Additionally, the interest rate risk is mitigated by sufficient amounts in the Cash Reserve Fund to cover interest rate stresses in the cash flow analysis.

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 Deutsche Bank AG/London (the Paying Agent) 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 07 March 2013, when DBRS confirmed the rating of AA (high) (sf) to Class 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 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 5.35% and 74.17%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class 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 Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to remain at to AAA (sf), all else being equal.

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (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: Mike Babick
Initial Rating Date: 14 February 2011
Initial Rating Committee Chair: Claire Mezzanotte

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

DBRS Ratings Limited
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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.
• Derivative 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.