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 AA (high) (sf) from AA (sf)
-- Class C Notes upgraded to AA (low) (sf) from A (sf)
-- Class D Notes upgraded to A (high) (sf) from A (low) (sf)

The rating actions are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults, is within DBRS’s expectations.
-- Current credit enhancement (CE) available to the Notes to cover the expected losses at each tranche’s 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
The collateral pool is performing in line with DBRS’s expectations. As of 21 April 2016, the collateral pool factor is 36%. The gross default as a percentage of the discounted portfolio balance at the closing of the transaction is 0.51%, below DBRS’s 2.28% default assumption. The outstanding loan delinquencies are trending upward but remain low. Loans more than 90 days delinquent but not defaulted increased to 0.17% from 0.09% of the outstanding discounted portfolio balance year over year. The prepayment rate remains low at 0.708%.

Credit Enhancement
The CE available to the Notes has increased since the last rating review, as the transaction continues to deleverage. As of 10 May 2016, the available CE increased to 37% for the Class A Notes, to 23.6% for the Class B Notes, to 17.7% for the Class C Notes and to 14.7% for the Class D Notes. The CE is provided through the subordinated Notes.

The transaction 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 of EUR 7.0 million.

Elavon Financial Services Limited 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 the Class A 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 minimum required rating, given the rating assigned to the Class A 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 required rating given the rating assigned to the Class A 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 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 these 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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for the rating actions include the investor reports from Elavon Financial Services Limited and the loan-by-loan data from European Data Warehouse GmbH.

DBRS does not rely upon 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 these ratings 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.

The last rating action took place on 9 Jun 2015, when DBRS confirmed the rating on the Class A Notes at AAA (sf), and upgraded the ratings on the Class B, C, D Notes to AA (sf), A (sf) and A (low) (sf), respectively.

The lead responsibilities for this transaction have been transferred to Kevin Ma.

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 lifetime base case PD and LGD for the pool 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 and LGD of the current pool of loans are 2.28% and 87.5%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings 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 LGD increase by 50%, the rating on the Class A Notes would be expected to be at AAA (sf).

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

Class D Notes Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (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: Bruno Franco, Senior Vice President
Initial Rating Date: 16 May 2014
Initial Rating Committee Chair: Claire Mezzanotte, Managing Director

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Diana Turner, Senior Vice President

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