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

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the notes issued by Asset-Backed Securitisation Transaction Ten 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 October 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 Ten S.r.l. is a securitisation of a portfolio of auto loans originated and serviced by FCA Bank S.p.A. 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 (93.81%) and used cars (6.19%). 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 0.07% as of September 2015, below DBRS’s base case gross default rate of 2.25%. At the same time, the 90-day plus delinquency ratio (as a percentage of the performing portfolio) marginally increased to 0.14%.

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 17.18% in October 2015, up from 12.50% at closing. In the same period, the credit enhancement for the Class B notes increased to 11.03% from 8.00%, for the Class C notes increased to 8.29% from 6.00%, and for the Class D notes increased to 6.92% 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 target level of EUR 7.0 million.

Elavon Financial Services Limited serves as account bank for the transaction. The DBRS private rating for the account bank meets the Minimum Institution Rating criteria given the rating assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

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. This 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 “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/]

The sources of information used for this rating include investor reports provided by Crédit Agricole Corporate and Investment Bank.

DBRS does not rely on third party due diligence in order to conduct its analysis.

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

DBRS considers 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.

This is the first rating action since the Initial Rating Date.

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 to 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 2.25% and 87.53%, 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 be downgraded to AA (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 AA (high) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of AA (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 (low) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of A (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 BBB (high) (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 BBB (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: 28 October 2014
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Kevin Ma
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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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
-- 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