DBRS Ratings Limited Rates Natixis’ Liquidity Facility to MAGENTA S.T. Compartment 2010 – 007 – Free Mobility

DBRS Ratings Limited (DBRS) has today assigned an AA (sf) rating to the liquidity facility supporting the Registered Notes provided by Natixis within ABCP conduit, Managed and Enhanced TAP (MAGENTA) Funding S.T. to Compartment 2010-007-Free Mobility. The Liquidity Facility is in the amount of 102 million Euros. The rating on the liquidity facility mirrors the risk on the notes. The originator is FFS Bank GmbH, a company with limited liability, wholly owned by the FFS GmbH group, which in turn is wholly owned by the Emil Frey group. Receivables are auto-loans and include ancillary rights such as security right to the financed vehicle and any property insurance.

The final ratings are based upon review by DBRS of the following analytical considerations:

•Transaction capital structure and form and sufficiency of available credit enhancement.

•Relevant credit enhancement is in the form of cash reserve and overcollateralisation funded by a subordinated loan. Credit enhancement levels are sufficient to support DBRS’s projected expected cumulative net loss (CNL) assumption under various stress scenarios at an AA (sf) standard.

•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date.

•The transaction parties’ capabilities with respect to originations, underwriting servicing, and financial strength.

•The credit quality of the collateral and performance of FFS’s retail loan portfolio.

DBRS derives expected and stressed loss forecasts based upon historical data. For an auto loan transaction, the two key variables stressed are frequency of default and loss severity.

In addition to reviewing results encompassing sensitivities on loss levels, DBRS also reviews three different modeling scenarios where losses are distributed more heavily in the beginning, middle, or end of the transactions life than is suggested by the historical data (front-loaded, belly, back-loaded).

Note:
The principal methodologies applicable are Rating European Consumer Asset-Backed Securitizations and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on this rating, please refer to the linking document located below.