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. (the Issuer):

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

The above-mentioned rating actions are based on the following analytical considerations, as described more fully below:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the June 2015 payment date.
-- Actual gross default rate, recovery rate and expected losses are within DBRS’s expectations.
-- Current available credit enhancement to the Class A, Class B, Class C and Class D notes to cover the expected losses.

Asset-Backed Securitisation Transaction Nine S.r.l. is a securitisation of a portfolio of 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. As of January 2015, FCA Bank S.p.A. is regulated as a bank by the Bank of Italy under the Italian Banking Act (formerly, it was regulated as a financial institution).

The pool comprises auto loans extended to buy new (91.68%) and used cars (8.32%). The portfolio is static and neither revolving nor ramp-up is permitted.

The portfolio is performing in line with DBRS’s expectations. The gross cumulative default ratio (as a percentage of the original portfolio) is 0.08% as of June 2015, below DBRS’s base case gross loss rate of 2.28%. The 90+ delinquency ratio (as a percentage of the performing portfolio) marginally increased to 0.04% in the last reporting dates.

The Class A notes are supported by subordination of the Class B, Class C, Class D and Class M notes; the Class B notes are supported by subordination of the Class C, Class D and Class M notes; the Class C notes are supported by subordination of the Class D and Class M notes; and the Class D notes are supported by the Class M notes only. Credit enhancement for the Class A notes (as a percentage of the performing portfolio) increased to 19.50% in June 2015, up from 12.50% in June 2014. Credit enhancement for the Class B notes increased to 12.51% from 8.00%. Credit enhancement for the Class C notes increased to 9.40% from 6.00%. Credit enhancement for the Class D notes increased to 7.85% from 5.00%.

The transaction benefits from a non-amortising cash reserve of EUR 7.0 million funded through a subordinated loan 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 initial and target level of EUR 7.0 million.

Elavon Financial Services Limited serves as account bank for the transaction. The DBRS private ratings of U.S. Bank Global Trust Services is at least equal to the Minimum Institution Rating given the rating assigned to the Class A notes, as described in the DBRS methodology Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the 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. Other methodologies referenced in this transaction are listed at the end of this press release.

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

The sources of information used for this rating include investor reports provided by Crédit Agricole Corporate and Investment Bank. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed Upon Procedures (AUP) are included in the requested documentation. DBRS was not supplied with AUP documents. Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

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.

The last rating action on this transaction took place on 10 June 2014, when DBRS Finalised Provisional Ratings Assigned to this transaction.

Information regarding DBRS ratings, including definitions, policies and methodologies are 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 with the parameters used to determine the rating (the base case):
-- DBRS expected a base case probability of default (PD) and loss given default (LGD) for the pool based on a review of the transaction performance. 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 and LGD of the current pool of receivables are 2.28% and 87.50%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A, Class B, Class C and Class D notes 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 for the Class A notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the rating for the Class A notes would be expected to remain at AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A notes would be expected to remain at AAA (sf), all else being equal.

Class A 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 LGD and 25% increase in PD, expected rating of AAA (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AAA (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AAA (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of AAA (sf).

Class B 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 LGD and 25% increase in PD, expected rating of AA (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AA (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AA (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of AA (sf).

Class C Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf).
-- 50% increase in LGD, expected rating of A (sf).
-- 25% increase in PD, expected rating of A (sf).
-- 50% increase in PD, expected rating of A (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of A (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of A (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of A (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of A (sf).

Class D Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in LGD, expected rating of A (low) (sf).
-- 25% increase in PD, expected rating of A (low) (sf).
-- 50% increase in PD, expected rating of A (low) (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of A (low) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of A (low) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of A (low) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of A (low) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Bruno Franco
Initial Rating Date: 10 June 2014
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

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 and are as follows:

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

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.