TEXT-Fitch cuts Zephyros Finance Class A2, affirms Class A1

Wed Dec 19, 2012 10:35am EST

Dec 19 - Fitch Ratings has taken various rating actions on Zephyros Finance
S.r.l.'s (Zephyros) notes as follows:

EUR40.8m class A1 floating-rates notes: affirmed at 'AAAsf'; Outlook Stable
EUR37.0m class A2 floating-rates notes: downgraded to 'A-sf' from 'AAsf';
Outlook Negative

The downgrade reflects the transaction's performance, which continues to be
worse than expected. As of November 2012, the cumulative default ratio stood at
14.45% while the 30+ delinquency ratio rocketed up to 20.56% of the outstanding
collateral. The increasing share of real estate and bigger tickets due to the
ongoing amortisation of the shortest leases significantly reduced the
diversification. The Negative Outlook on the class A2 notes reflects the
deteriorating composition of the pool, the risk of unexpected additional shocks
on the pool performance as well as the harsh economic environment.

The European Investment Fund ('AAA'/'F1+') issued an irrevocable and
unconditional guarantee with respect to interest and principal for the benefit
of class A1 noteholders. Therefore, the class A1 notes rating is supported by a
floor at the rating of the guarantor.

Since the end of the revolving period, Zephyros's portfolio has performed
poorly, worse than any other Italian leasing transaction rated by Fitch. As of
August 2012, the unpaid principal deficiency ledger (PDL) increased to EUR19.6m
(20.6% of the class J notes) due to the increasing amount of defaulted leases
over time and total delinquencies as a percentage of the outstanding collateral
(after new purchase and excluding default) increased to 21.2% in August 2012
from 15.9% as of May 2012. Given the very high late delinquency rate, Fitch
revised its default base case to 21%.

The current residual value exposure yields reachedEUR26.6m and represents 25.6%
of the performing collateral as of November 2012. As there is no legal certainty
under the Italian law that the SPV will be entitled to receive the proceeds from
the sale of the asset, Fitch did not give credit to the residual value exposure.

The credit enhancement (CE) available to the rated notes and solely provided by
the subordination of the unrated class J notes has increased to 45.9% as of
August 2012 from the original 25.0% as a result of the ongoing pro rata
amortisation of the senior notes. Those figures include the residual value.
However CE as of August 2012 falls to 27.36% when excluding the EUR26.6m
residual value exposure from the collateral amount.

Nevertheless Zephyros has been benefiting from healthy levels of gross excess
spread to date, averaging 4.9% of the non-defaulted portfolio over the past
year, which have helped to contain the rise of the unpaid PDL.

Zephyros is a securitisation of performing receivables arising from mixed
finance lease contracts (Real Estate, Equipment, Industrial Vehicles, Autos)
originated in Italy by Commercio e Finanza S.p.A. Leasing e Factoring (CFLF, not
rated) belonging to Cassa di Risparmio di Ferrara S.p.A. (Carife, not rated).
The deal closed on the 30 July 2008 and had a 15-month revolving period that
ended in October 2009.


Additional information is available at www.fitchratings.com.

The ratings above were solicited by, or on behalf of, the issuer, and therefore,
Fitch has been compensated for the provision of the ratings.

Sources of information - in addition to those mentioned in the applicable
criteria, the sources of information used to assess these ratings were Investor
and Servicer Reports as well as discussions with the servicer.

Applicable criteria, "Global Structured Finance Rating Criteria", dated 2 August
2012, "EMEA Consumer ABS Rating Criteria", dated 12 July 2012, "EMEA Consumer
ABS Rating Criteria - Auto Residual Value Addendum", dated 12 July 2012 and
"Counterparty Criteria for Structured Finance Transactions", dated 30 May 2012,
are available at www.fitchratings.com.

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
EMEA Consumer ABS Rating Criteria
EMEA Consumer ABS Rating Criteria - Auto Residual Value Addendum
Counterparty Criteria for Structured Finance Transactions
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