OREANDA-NEWS. Fitch Ratings has assigned Roof Poland Leasing 2014 DAC (Roof) final ratings, as follows:

PLN636m Class A-1 floating rate secured notes: 'AA-sf'; Outlook Stable
PLN234.2m Class A-2 floating rate secured notes: 'AA-sf'; Outlook Stable
PLN383.5m Class B floating rate secured notes: 'BB-sf'; Outlook Stable
PLN221.23m subordinated loan: not rated

The transaction is a securitisation of lease receivables originated in Poland by Raiffeisen Leasing Polska S.A. (RLP).

Established Performance
RLP is a major company in the Polish leasing market, operating since 1998. Fitch derived performance assumptions based on leasing data from 2005 onwards. The agency expects a weighted average lifetime default rate of 4.4% under the transaction's definition before any adjustment, and 5.7% if early lease terminations are incorporated.

Limited Originator Dependence
Fitch's analysis assumes RLP's insolvency. This assumption mainly impacts the commingling of funds - for which Fitch has assumed a 6% loss - and the exclusion from assumed recoveries of asset sale proceeds, which the transaction might not be able to access after RLP's insolvency. The risk that the new owner of RLP, currently for sale, may relax underwriting standards during the revolving period is in our view addressed by our stressed assumptions.

Controlled Revolving
In our view, the risk of portfolio deterioration is reduced by the revolving covenants, as well as the random selection of new leases, as stated within the eligibility criteria. We consider the amortisation events reasonably stringent, but the residual risk of receivable repurchases decreasing the triggers' efficiency cannot be entirely eliminated.

Class B Notes' Carry Cost
We consider the structure particularly exposed in high default and interest rates scenarios to the risk that collections may be diverted away from the class A notes to service class B interest. This is because the class B notes are always due to be paid senior in the priority of payments, irrespective of portfolio performance.

Sovereign-Related Cap
Default and recovery stresses applied at each rating scenario depend on the Polish sovereign's local currency Issuer Default Rating (A/Stable). Therefore, rating action on the sovereign may lead to a review of the notes' ratings.

Stable Asset Outlook
Fitch expects economic growth in Poland to remain favourable in 2015-2017 at 3.5% on average, driven mainly by domestic demand. As a result we maintain a stable asset performance outlook for Polish leasing.

Rating sensitivity to increased default rate assumptions (class A / class B)
Current ratings: 'AA-sf' / 'BB-sf'
Increase in default rate by 10%: 'Asf' / 'B+sf'
Increase in default rate by 25%: 'A-sf' / 'Bsf'
Increase in default rate by 50%: 'BBBsf' / below 'Bsf'

Rating sensitivity to reduced recovery rate assumptions (class A / class B)
Current ratings: 'AA-sf' / 'BB-sf'
Decrease in recovery rate by 10%: 'A+sf' / 'B+sf'
Decrease in recovery rate by 25%: 'A+sf' / 'B+sf'
Decrease in recovery rate by 50%: 'A+sf' / 'B+sf'

Rating sensitivity to multiple factors (class A / class B)
Current ratings: 'AA-sf' / 'BB-sf'
Increase in default rate by 10%, decrease in recovery rate by 10%: 'Asf' / 'B+sf'
Increase in default rate by 25%, decrease in recovery rate by 25%: 'BBB+sf' / 'Bsf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'BBB-sf' / below 'Bsf'

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

The information below, provided by RLP, was used in the analysis:
- Provisional lease-by-lease portfolio data as at 28 July 2015, and final portfolio data as of 17 November 2015;
- Cumulative default data by vintage provided by RLP, and covering the period 1Q06 through to 2Q15. We received (i) data with a default definition identical to the one of the transaction, and broken down by asset type (new cars, used cars, trucks/trailers and machinery/equipment); and (ii) data on terminations in arrears prior to 120dpd, for all asset types together.
- Cumulative recovery data by vintage of default, for each asset type, with a distinction between asset sale recoveries and other recoveries.
- Evolution of the arrears breakdown of RLP's eligible lease book, over the period January 2005 through to May 2015.
- Prepayments on RLP's eligible lease book, over the period 3Q06 through to 2Q15.
- Monthly transaction investor reports, from December 2014 (transaction closing date) through to September 2015.

The publication of a representations, warranties and enforcement mechanisms (RW&Es) appendix is not required for this transaction because the transaction does not involve the use of offering documents. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 12 June 2015.