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

DBRS Ratings Limited (DBRS) has today confirmed its AAA (sf) rating on the €999,100,000 Notes issued by Green FCT Lease 2012-1 (the Issuer).

The confirmation of the rating on the Notes is based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of the July 2015 payment date.
-- 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 Notes sufficient to cover expected losses in line with a AAA (sf) rating level.

The Issuer is a French securitisation of leases and rental agreements granted to corporates and small and medium enterprises. It involves a secured loan extended by Crédit Agricole Corporate and Investment Bank to Lixxbail, and then transferred to the special-purpose vehicle. The lessor is Lixxbail, a Crédit Agricole indirect subsidiary for moveable-asset leasing.

The pool is composed of receivables arising from the leases and rentals on vehicles and any receivable generated by sale of the vehicle to a party other than the lessee. The transaction is exposed to Residual Value risk, which represented 7.04% of the portfolio as of the July 2015 payment date.

The transaction closed in June 2012 and had a three-year revolving period. However, the Notes started being amortised on the November 2014 payment date due to the occurrence of a Loan Partial Amortisation Event.

As of the July 2015 payment date, delinquencies were at 0.04% of the collateral balance and the gross cumulative default ratio was at 0.60% of the aggregated collateral balance.

Credit Enhancement is provided exclusively by overcollateralisation (19.00%), and it has remained stable since the closing date.

According to the Eligibility Criteria, Collateralised Receivables must be payable in euros and the Implicit Interest Rate must be fixed. As both the Notes and the Loan Receivable are denominated in euros and yield a fixed-rate coupon (2.20% and 2.30%, respectively), Noteholders are not exposed to currency or interest rate risk.

Crédit Agricole Corporate and Investment Bank acts as Account Bank for this transaction. The DBRS private rating of Crédit Agricole Corporate and Investment Bank complies with the Minimum Institution Rating given the rating assigned to the 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 “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’s legal documents was not conducted, as the 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. This may be found at:
http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include monthly investor reports provided by Eurotitrisation (the Management Company).

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 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 21 August 2014, when DBRS confirmed the rating assigned to the Notes at AAA (sf).

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

To assess the impact of the changing transaction parameters on the rating, DBRS considered the following stress scenarios compared with 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 portfolio 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 current pool of receivables are 4.12% and 50.00%, 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 assumptions. For example, if the LGD increases by 50%, the rating for the Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the rating for the Notes would be expected to remain AAA (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating for the Notes would be expected to fall to AA (high) (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)
-- 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, 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 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: Richard Zogheb
Initial Rating Date: 12 June 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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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.