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I AGREE
Rating Action:

Moody's has assigned Aa3 (sf) ratings to Indigo Lease S.r.l.

15 Dec 2016

Madrid, December 15, 2016 -- Moody's Investors Service, ("Moody's") has assigned the following definitive ratings to ABS notes issued by Indigo Lease S.r.l., (the "Issuer"):

....EUR 366,300,000 Class A Asset-Backed Floating Rate Notes due July 2029, Assigned Aa3 (sf)

Moody's has not assigned ratings to the EUR 138,000,000 Class B Asset-Backed Variable Return Notes due July 2029 which were also issued.

Indigo Lease S.r.l. is a cash securitisation of lease receivables originated by IFIS Leasing S.p.A. (NR) (previously incorporated under the name of GE Capital Servizi Finanziari S.p.A.) (the "Seller") and granted to individual entrepreneurs and small and medium-sized enterprises (SME) domiciled in Italy mainly in the regions of Lombardia, Veneto and Emilia Romagna. The assets are composed of the installment component of auto leases. The securitized portfolio does not include residual value payments, i.e. the final instalment amount to be paid by the lessee (if the option is chosen) to acquire full ownership of the leased asset. The residual value payments are not financed - i.e. it is not accounted for in the portfolio purchase price - and and are not assigned to the SPV .

As of the valuation date (31 October 2016), the portfolio principal balance amounted to EUR 488,617,881. The portfolio is composed of 32,273 leasing contracts granted to 23,923 lessees, mainly small and medium-sized companies. The leasing contracts were originated between 2010 and 2016, with a weighted average seasoning of 1.3 years and a weighted average remaining life of approximately 3.3 years. The interest rate is floating and indexed to 3m Euribor for 66.3% of the pool while the remaining part of the pool bears a fixed interest rate. The weighted average spread on the floating portion is 6.0%, while the weighted average interest on the fixed portion is 5.8%.

RATINGS RATIONALE

Our analysis focused, amongst other factors, on (i) loan-by-loan an evaluation of the underlying portfolio; (ii) historical performance on defaults and recoveries from 01/2009 to 07/2016; (iii) the credit enhancement provided by subordination and cash reserve; (iv) the liquidity support available in the transaction by way of principal to pay interest and the cash reserve, excess spread, and (v) the legal and structural aspects of the transaction.

Moody's notes that the transaction benefits from credit strengths such as (i) the granular portfolio composition as reflected by low single lessee concentration (with the top lessee and top 5 lessees group exposure being 0.37% and 0.92% respectively); (ii) the static nature of the pool reducing portfolio volatility introduced by the purchase of new assets; (iii) limited industry sector concentration (i.e. lessees from top 2 sectors represent not more than 15.7% of the pool with 3.5% in the building and real estate industry according to Moody's classification); (iv) The exclusion of the residual value component of the leases, removing potential exposure to market value risk on the underlying vehicles; (v) independent calculation agent able to calculate payment of interest if no servicer report is available.

Moody's notes that the transaction also features a number of credit weaknesses, such as: (i) the unrated nature of the servicer; (ii) the possibility that upon originator's default, recovery cash flows could be trapped within the bankruptcy estate; (iii) the lack of previous public transactions by the originator (iv) the potential losses resulting from commingling risk that are not structurally mitigated but are reflected in the credit enhancement levels of the transaction. Moody's viewed positively the appointment of Securitisation Services S.p.A. as back up servicer on the closing date.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected defaults of 7.75%, Aa2 portfolio credit enhancement ("PCE") of 19.0%, and mean recoveries fixed at 35%, which reduces to 10% upon insolvency of the originator. The expected defaults and recoveries capture our expectations of performance considering the current economic outlook, while the PCE captures the loss we expect the portfolio to suffer in the event of a severe recession scenario. Expected defaults and PCE are parameters used by Moody's to calibrate its lognormal portfolio loss distribution curve and to associate a probability with each potential future loss scenario in the ABSROM cash flow model to rate Auto ABS.

Portfolio expected defaults of 7.75% are higher than the EMEA Auto Lease ABS average but in line with Italian leases with similar pool composition, and are based on Moody's assessment of the lifetime expectation for the pool taking into account (i) historic performance of the lease book of the originator, (ii) benchmark transactions, and (iii) other qualitative considerations, such as the static and seasoned nature of the pool.

Portfolio expected recoveries of 35% - when the originator is not insolvent - are lower than the EMEA Auto Lease ABS average but in line with Italian leases with similar pool composition, and are based on Moody's assessment of the lifetime expectation for the pool taking into account (i) historic performance of the lease book of the originator, (ii) benchmark transactions, and (iii) other qualitative considerations. We have also assumed a lower recovery rate of 10% upon insolvency of the originator to take into account the risk that recovery flows coming from the sale of the asset -- but not those coming from the voluntary payment of the lessee - may end up being trapped within the bankruptcy estate should the originator defaults. This is in line with other Italian lease transactions.

PCE of 19.00% - based on defaults and recoveries when the originator is not insolvent - is higher than the EMEA Auto Lease ABS average but lower than Italian leases with similar pool composition and is based on Moody's assessment of the pool which reflects its static and seasoned nature. The PCE level of 19.00% results in an implied coefficient of variation ("CoV") of 46.1%. By assuming a lower expected recovery rate of 10% when originator is insolvent, the default distribution obtained from a PCE of 19% and recovery rate of 35% is altered by applying a lower recovery rate to a default probability that has been calibrated on a higher recovery rate, which results on a higher implied PCE of around 26.3%.

METHODOLOGY

The principal methodology used in this rating was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

The rating addresses the expected loss posed to investors by the legal final maturity of the Class A Notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Class A Notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed but may have a significant effect on yield to investors.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

Factors that may lead to an upgrade of the Class A rating include significantly better than expected performance of the pool and an increase in credit enhancement of notes due to deleveraging.

Factors that may lead to a downgrade of the rating of the Class A notes include (i) a decline in the overall performance of the pool, (ii) a significant deterioration of the credit profile of transaction parties like Citibank, N.A. (London Branch) as interest rate hedge counterparty.

LOSS AND CASH FLOW ANALYSIS:

Moody's used its cash-flow model Moody's ABSROM as part of its quantitative analysis of the transaction. Moody's ABSROM model enables users to model various features of a standard European ABS transaction - including the specifics of the loss distribution of the assets, their portfolio amortisation profile, yield as well as the specific priority of payments, swaps and reserve funds on the liability side of the ABS structure.

STRESS SCENARIOS:

In rating auto lease ABS, default rate and recovery rate are two key inputs that determine the transaction cash flows in the cash flow model. Parameter sensitivities for this transaction have been tested in the following manner: Moody's tested nine scenarios derived from a combination of mean default rate: 4.00% (base case), 7.75% (base case + 0.5%), 8,25% (base case + 1.0%) and recovery rate: 35.0% (base case), 30.0% (base case - 5%), 25.0% (base case - 10%).

The model output results for Class A Notes under these scenarios vary from Aa3 (base case) to A2 assuming the mean default rate is 8.75% and the recovery rate is 30.0%, all else being equal. Parameter sensitivities provide a quantitative/model indicated calculation of the number of notches that a Moody's rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather how the initial model output for Class A Notes might have differed if the two parameters within a given sector that have the greatest impact were varied.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's describes its loss and cash flow analysis in the section "Ratings Rationale" of this press release.

Moody's describes the stress scenarios it has considered for this rating action in the section "Ratings Rationale" of this press release.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Greg O'Reilly
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Anthony Parry
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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