DBRS Assigns AAA (sf), A (high) (sf), BBB (high) (sf) and BBB (sf) Ratings to A-BEST 14

DBRS Ratings Limited (DBRS) has today assigned ratings to the Class A, Class B, Class C and Class D 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 Fourteen (A-BEST 14 or the Issuer) as follows:

-- AAA (sf) on Class A Asset-Backed Fixed Rate Notes
-- A (high) (sf) on Class B Asset-Backed Fixed Rate Notes
-- BBB (high) (sf) on Class C Asset-Backed Fixed Rate Notes
-- BBB (sf) on Class D Asset-Backed Fixed Rate Notes
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 ratings are based on the considerations listed below:

-- The sufficiency of available credit enhancement in the form of subordination (13.5% for Class A, 7.5% for Class B, 4.5% for Class C and 2% for Class D Notes), 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.”

The transaction was modelled in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable 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.

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

The sources of information used for this rating include historical performance of default and recovery of the loans originated by FCAB by monthly vintage on a cumulative basis from 2008 to 2015 through the arrangers (Banca IMI, UniCredit Bank AG and Crédit Agricole Corporate and Investment Bank). In addition, DBRS received stratification tables and scheduled amortisation related to the provisional collateral portfolio.

DBRS does 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 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.

These ratings were disclosed to the arrangers, Banca IMI, UniCredit Bank AG and Crédit Agricole Corporate and Investment Bank.

These ratings concern newly issued financial instruments. This is the first DBRS rating on these financial instruments.

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

To assess the impact of the 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 (PD): base case of 3.08%, a 25% and 50% increase on the Base Case PD.
-- Loss given default (LGD): base case of 87%, increase to 90% and 100%.

DBRS concludes that for the Class A Notes:
-- A hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class A Notes at AAA (sf).
-- A hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class A Notes at AAA (sf).
-- A hypothetical LGD of 100%, ceteris paribus, would maintain the rating of the Class A Notes at AAA (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class A Notes at AAA (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class A Notes at AAA (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 87%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (sf).

DBRS concludes that for the Class B Notes:
-- A hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class B Notes at A (high) (sf).
-- A hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class B Notes at A (high) (sf).
-- A hypothetical LGD of 100%, ceteris paribus, would maintain the rating of the Class B Notes at A (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class B Notes at A (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class B Notes at A (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would maintain the rating of the Class B Notes at A (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 87%, ceteris paribus, would result in a downgrade of the rating of the Class B Notes to A (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the rating of the Class B Notes to A (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class B Notes to A (low) (sf).

DBRS concludes that for the Class C Notes:
-- A hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical LGD of 100%, ceteris paribus, would maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would

maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class C Notes at BBB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the rating of the Class C Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class C Notes to BBB (sf).

DBRS concludes that for the Class D Notes:
-- A hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class D Notes at BBB (sf).
-- A hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class D Notes at BBB (sf).
-- A hypothetical LGD of 100%, ceteris paribus, would maintain the rating of the Class D Notes at BBB (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 87%, ceteris paribus, would maintain the rating of the Class D Notes at BBB (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would maintain the rating of the Class D Notes at BBB (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would result in a downgrade of the rating of the Class D Notes to BB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 87%, ceteris paribus, would result in a downgrade of the rating of the Class D Notes to BB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would result in a downgrade of the rating of the Class D Notes to BB (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would
result in a downgrade of the rating of the Class D Notes to B (high) (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: Kevin Chiang
Initial Rating Date: 16 May 2016
Initial Rating Committee Chair: Chuck Weilamann

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
Operational Risk Assessment for European Structured Finance Servicers
Operational Risk Assessment for European Structured Finance Originators
Unified Interest Rate Model for European Securitisations
Rating European Consumer and Commercial Asset-Backed Securitisations

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