Fitch Affirms Turin Capital Leasing FIDCs Ratings

Fitch Ratings has affirmed the ratings of Turin Capital Leasing Fundo de Investimento em Direitos Creditorios’ (Turin FIDC) R$46,690,000 Senior Cotas as follows:

–Local Currency rating at ‘A-sf’;

–Brazilian National Scale rating at ‘AAAsf(bra)’.

The Rating Outlook is Stable.

The transaction is backed by a static pool of finance leases originated by Banco CNH Capital S.A. (Banco CNH) to companies and individuals throughout Brazil for heavy equipment. The FIDC consists of a sequential-pay structure of Senior Cotas and unrated Junior Cotas with the legal final maturity in January 2014.

The assets of the fund consist of a pool of 359 highly seasoned equipment leases and liens on the leased equipment. The financings are primarily monthly pay construction equipment leases with a small percentage of mining, forestry and agricultural equipment leases with semi-annual or annual payments. There is no residual exposure.

Credit enhancement is provided to the senior cotas through subordination of the junior cotas and a liquidity reserve. The subordination amount increased from an initial level of 15% to 40% at the end of November, given the sequential-pay amortization structure. The trust also receives enhancement through a limited performance guaranty provided by Banco CNH of up to 15% of the initial collateral balance; however, Fitch gives no credit to this arrangement. Repurchases under this agreement totaled 1.78% of the initial collateral balance through November 2012.

Total credit enhancement is more than sufficient to support loss coverage multiples in excess of the 6,0x base case losses. In addition, the senior class can withstand the default of greater than the top 20 obligors. These stresses are consistent with ratings of ‘AAAsf(bra)’ and ‘A-sf’. The gross loss expectation on the collateral is approximately 2.5% with no credit to recoveries.

Information was provided to Fitch by Banco CNH, BEM DTVM Ltda. and Banco Credit Agricole Brasil.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ dated June 6, 2012;

–‘Criteria for Rating U.S. Equipment Lease and Loan ABS’ dated Jan. 11, 2012;

–‘Criteria for Existing Asset Securitisation in Emerging Markets: Sovereign Constraints’ dated June 28, 2012.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

Criteria for Rating U.S. Equipment Lease and Loan ABS

Criteria for Existing Asset Securitisation in Emerging Markets: Sovereign Constraints