DBRS Assigns Ratings to A-BEST 15

DBRS Ratings Limited (DBRS) has today assigned ratings to the Class A, Class B, Class C, Class D and Class E Asset-Backed Fixed Rate Notes (the Rated Notes; and collectively with the unrated Class M1 Notes and Class M2 Note, the Notes) issued by Asset-Backed European Securitisation Transaction Fifteen (A-BEST 15 or the Issuer) as follows:

-- Class A Asset-Backed Fixed Rate Notes at AA (sf)
-- Class B Asset-Backed Fixed Rate Notes at A (high) (sf)
-- Class C Asset-Backed Fixed Rate Notes at BBB (sf)
-- Class D Asset-Backed Fixed Rate Notes at BB (high) (sf)
-- Class E Asset-Backed Fixed Rate Notes at B (high) (sf)

The Notes are backed by a pool of loans for new and used motor vehicles granted and serviced by FCA Bank S.p.A (FCAB), which is owned by FCA Italy S.p.A. and Crédit Agricole Consumer Finance. The loans have been granted to private individuals residing in Italy and to individual enterprises with their registered office in Italy.

The transaction has a scheduled revolving period of 24 months from the Issue Date, where principal collections may be used to purchase new receivables from the Originator. During the revolving period, no principal is repaid on the Notes unless a Partial Amortisation Event or a Purchase Termination Event occurs. The purchase of additional receivables is subject to certain concentration limits that stipulate thresholds for used vehicles, VAT borrowers, weighted-average yield and tenor and receivables relating to the financing of insuramce premiums, amongst others.

Compared with previous Italian A-BEST transactions rated by DBRS, the transaction incorporates certain changes, such as (1) amendments to concentration limits, e.g. less used cars permitted, a reduction in exposure to VAT customers, and (2) the commingling reserve is dynamic during the amortisation period, with amounts released payable to FCAB outside the priority of payments.

The ratings are based on DBRS’s review of the following analytical considerations:
-- The sufficiency of available credit enhancement in the form of subordination, a liquidity reserve, and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Rated Notes according to the terms of the transaction documents.
-- FCAB’s capabilities with respect to originations, underwriting and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modelled in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating European Consumer and Commercial Asset-Backed Securitisations”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis is based on the worst-case replenishment criteria set forth in the transaction legal documents.

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

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the 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 data and information used for this rating include:
-- Monthly static default data from 2008 to 2016 (where performance of individuals and VAT borrowers is further separated).
-- Monthly static recovery data from 2008 to 2016.
-- Stratification tables in relation to the loan pool as at 22 April 2017
-- A theoretical contractual amortisation profile based on the selected loan pool.

All information used for these ratings was sourced by FCAB directly or indirectly through the transaction arrangers (Banca IMI, UniCredit Bank AG and Crédit Agricole Corporate and Investment Bank).

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

These ratings concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument.

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

To assess the impact of 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 Rates Used: Base Case PD of 3.0%, a 25% and 50% increase on the base case PD.
-- Recovery Rates Used: Base case Recovery Rate of 13%.
-- Loss Given Default Rates Used: Base Case LGD of 87%, a 25% and 50% increase in the Base Case LGD.

DBRS concludes that for the Class A Notes:

-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
-- A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf).
-- A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
-- A hypothetical increase of the base case LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf).
-- A hypothetical increase of the base case LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
-- A hypothetical increase of the base case LGD by 50% and PD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (sf).
-- A hypothetical increase of the base case LGD by 25% and PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (sf).

DBRS concludes that for the Class B Notes:

-- A hypothetical increase of the base case PD and 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 and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BB (high) (sf).
-- A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf).
-- A hypothetical increase of the base case PD 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 LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf).
-- A hypothetical increase of the base case 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 LGD by 50% and PD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (sf).
-- A hypothetical increase of the base case LGD by 25% and PD 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 and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class C Notes to BB (low) (sf).
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to below B (sf).
-- A hypothetical increase of the base case PD 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 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to BB (sf).
-- A hypothetical increase of the base case 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 LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to BB (sf).
-- A hypothetical increase of the base case LGD by 50% and PD by 25%, ceteris paribus, would lead to a downgrade of the Class C Notes to B (sf).
-- A hypothetical increase of the base case LGD by 25% and PD by 50%, ceteris paribus, would lead to a downgrade of the Class C Notes to B (sf).

DBRS concludes that for the Class D Notes:

-- A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to a downgrade of the Class D Notes to B (high) (sf).
-- A hypothetical increase of the base case LGD by 25%, ceteris paribus, would lead to a downgrade of the Class D Notes to B (high) (sf).
-- Additional stresses to the above would lead to a downgrade of the Class D Notes to below B (sf).

DBRS concludes that for the Class E Notes:

-- A hypothetical increase of the base case PD and/or the base case LGD by 25%, ceteris paribus, would lead to a downgrade of the Class E Notes to below B (sf).
-- Additional stresses to the above would also lead to a downgrade of the Class E Notes to below B (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (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.

Lead Analyst: Alex Garrod: Senior Vice President - EU ABS, Global Structured Finance
Rating Committee Chair: Christian Aufsatz: Managing Director - Head of European Structured Finance Ratings
Initial Rating Date: 15 May 2017

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The rating methodologies 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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375