DBRS Confirms the Rating on Asset-Backed Securitisation Transaction Four S.r.l. Following Amendment to the Transaction

DBRS Ratings Limited (DBRS) has confirmed the Class A notes issued by Asset-Backed Securitisation Transaction Four S.r.l. at AAA (sf) following amendment to the Transaction. On 21 February 2013, the parties to the transaction executed an Amendment Agreement. Under the Amendment Agreement, the parties agreed, inter alia, to:
• Extend the revolving period end date until July 2013 payment date
• Extend the definition of the Cumulative Write-Off Threshold in order to cover the extension of the revolving period
• Increase the payment frequency from quarterly to monthly
• Amend the swap agreement to reflect the change in payment frequency
• Increase the Non-Consumer Debtors Limit to 20%
• Increase the Used Car Limit to 15%

The rating action reflects the following analytical considerations:
• Update to the base case loss expectation to take into account the changes to the collateral concentration limits, extension of the revolving period and updated historical data provided by the issuer
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance.
• The transaction parties continue to meet DBRS criteria

Notes:

The principal methodologies applicable are:
• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under 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”.

The sources of information used for this rating include investor remittance reports and performance data related to the receivables provided by FGA Capital S.p.A. 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 see the linking document.

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

The lead responsibilities for this transaction have been transferred to Keith Gorman.

Initial Lead Analyst: Mike Babick
Initial Rating Date: 21 June 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Most Recent Rating Date: 24 September 2012
Rating Committee Chair: Chuck Weilamann