DBRS Finalises Provisional Ratings Previously Assigned to Asset-Backed Securitisation Transaction Ten Srl (“A-BEST 10”)

DBRS Ratings Limited (DBRS) has today finalised ‘AAA (sf)’, ‘A (sf)’, ‘BBB (sf)’, and ‘BBB (low) (sf)’ provisional ratings previously assigned respectively to the Class A Notes, Class B Notes, Class C Notes and Class D Notes (altogether the “Notes”) issued by Asset-Backed Securitisation Transaction Ten Srl (“A-BEST 10”). The securitised receivables are related to Italian auto loans granted to private individuals resident in Italy by FGA Capital SpA (“FGAC”).

The 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 in the form of subordination and a cash reserve: The €437.5m Class A Notes benefit from 12.5% of subordination that consists of €22.5m Class B Notes, €10m Class C Notes, €5m Class D Notes and €25m Class M Notes; The €22.5m Class B Notes benefit from 8% of subordination that consists of €10m Class C Notes, €5m Class D Notes and €25m Class M Notes; The €10m Class C Notes benefit from 6% of subordination that consists of €5m Class D Notes and €25m Class M Notes; the €5m Class D Notes benefit from 5% of subordination that consists of €25m Class M Notes; the Notes benefit from a €7m cash reserve to be funded at issuance.
• Credit enhancement levels are sufficient to support the DBRS projected expected cumulative net loss assumption under various stress scenarios at a ‘AAA (sf)’, ‘A (sf)’, ‘BBB (sf)’, and ‘BBB(low) (sf)’ standard respectively for the Class A, Class B, Class C, and Class D Notes to be issued by A-BEST 10.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. DBRS conducted an operational risk review of FGAC in March 2014 and deems FGAC as an acceptable servicer.
• FGAC’s capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR (€) unless otherwise noted.

The principal methodology applicable is the:
• Rating European Consumer and Commercial Asset-Backed Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include performance and portfolio data relating to the receivables provided by FGAC through the arrangers, Crédit Agricole Corporate & Investment Bank SA, Milan branch and UniCredit Bank AG, London branch. DBRS received historical performance default and recovery data relating to FGAC originations by quarterly vintage on a cumulative basis going back to January 2004. Data was also provided relating to monthly dynamic arrear levels from January 2003 to May 2014, dynamic prepayment data referring to previous FGAC originated Italian ABS transactions dating back to 2000, and final portfolio stratification tables and loan-by-loan data that allowed DBRS to further assess the portfolio. DBRS considers that the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

These ratings concern newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• Probability of Default Rate Used: Base Case PD of 2.25% (excluding sovereign stress), a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base Case Recovery Rate of 12.5% (excluding sovereign stress).
• Loss Given Default (LGD): Base Case LGD of 87.5%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a downgrade of the Class A Notes to ‘AA (high) (sf).
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘AA (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘AA (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘A (high) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘A (high) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘A (low) (sf)’.

DBRS concludes that for the Class B Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on the Class B Notes.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would not lead to a change in rating on the Class B Notes.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘A (low) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘BBB (high) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘BBB (high) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘BBB (sf)’.

DBRS concludes that for the Class C Notes:
• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on Class C Notes.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would not lead to a change in rating on Class C Notes.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on Class C Notes.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class C Notes to ‘BBB (low) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to ‘BBB (low) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to ‘BB (sf)’.

DBRS concludes that for the Class D Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on the Class D Notes.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would not lead to a change in rating on the Class D Notes.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on Class D Notes.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on the Class D Notes.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would not lead to a change in rating on the Class D Notes.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class D Notes to ‘BB (sf)’.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: October 8, 2014
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Derivative Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model Methodology for European Securitisations.