DBRS Takes Rating Actions on Asset-Backed Securitisation Transaction Nine S.r.l.

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the Notes issued by Asset-Backed Securitisation Transaction Nine S.r.l. (A-BEST 9 or the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class C Notes upgraded to AA (high) (sf) from AA (low) (sf)
-- Class D Notes upgraded to AA (sf) from A (high) (sf)

Today’s rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies and defaults.
-- Portfolio Default Rate (PD) and Recovery Rate (RR) assumptions for the remaining collateral pool.
-- The credit enhancement (CE) available to the Notes to cover the expected losses at their respective rating levels.

A-BEST 9 closed in May 2014 and is a securitisation of a portfolio of Italian auto loans originated and serviced by FCA Bank S.p.A., a joint venture 50%-owned by Fiat Group and 50%-owned by Crédit Agricole Consumer Finance.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
The transaction’s collateral portfolio continues to perform within DBRS’s expectations. As of April 2017, loans more than 90 days delinquent as a percentage of the outstanding portfolio balance was low at 0.18%. The cumulative default as a percentage of the initial portfolio balance was also low at 0.28%. DBRS also notes that the portfolio’s pool factor is low at 14.04%.

DBRS downgraded the Long-Term Issuer Rating of the Republic of Italy in January 2017 to BBB (high) from A (low). Consequently, DBRS applied more sovereign stresses on the portfolio assumptions. The base case PD and RR assumptions are updated to 2.50% and 12.66%, respectively.

CREDIT ENHANCEMENT
As the transaction continues to deleverage, the CE available to all tranches have increased. As of the May 2017 payment date, the CE for the Class A, B, C and D Notes are 87.89%, 55.83%, 41.58% and 34.45%, respectively. The CE is provided through the subordinated Notes.

The transaction also benefits from a non-amortising cash reserve of EUR 7.0 million funded through the subordinated loans provided by the originator. The cash reserve is available to cover senior expenses and interest on the Notes, but does not provide credit enhancement until the last payment date when the Notes are to be paid in full. The cash reserve is currently at the target level.

Elavon Financial Services DAC acts as Account Bank to the transaction. The DBRS private rating on the Account Bank meets the Minimum Institution Rating criteria given the rating assigned to all the Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

UniCredit Bank AG (UniCredit) and Credit Agricole Corporate & Investment Bank S.A. (Credit Agricole) are the swap counterparties to the transaction. UniCredit’s DBRS private rating is below the first rating threshold, given the rating assigned to the Notes, and UniCredit is ready to post collateral when the swap is in-the-money for the Issuer. Credit Agricole’s DBRS private rating meets the first rating threshold given the rating assigned to the Notes, as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Master European Structured Finance Surveillance Methodology.”

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

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

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 source of data and information used for this rating includes the monthly investor reports from U.S. Bank Trustees Limited and the monthly loan-by-loan data from European DataWarehouse GmbH.

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

At the time of the initial rating, DBRS was not 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.

The last rating action on this transaction took place on 9 June 2016 when DBRS confirmed the Class A Notes and upgraded the Class B, C and D Notes.

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):

DBRS expected a Base Case PD and loss given default (LGD) for the portfolios based on a review of the current assets. Adverse changes to asset performance may cause stresses to Base Case assumptions and, therefore, have a negative effect on credit ratings.

-- The Base Case PD is 2.50% and RR is 12.66%, which translates to an 87.34% of LGD.

-- The Risk Sensitivity overview below illustrates the rating expected if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increases by 50%, the rating on the Class A Notes would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A Notes would be expected to be at AAA (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class C Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Class D Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (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: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 16 May 2014

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

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

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

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.