DBRS Confirms Ratings on A-BEST 14 Following November 2016 Amendment

DBRS Ratings Limited (DBRS) has today confirmed the ratings of 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 Notes, the Notes) issued by Asset-Backed European Securitisation Transaction Fourteen S.r.l. (A-BEST 14 or the Issuer) upon the execution of the proposed amendment (Amendment) as follows:

-- AAA (sf) on the Class A Notes,
-- A (high) (sf) on the Class B Notes,
-- BBB (high) (sf) on the Class C Notes,
-- BBB (sf) on the Class D Notes.

The Amendment envisages a retranching of the Notes amount and, following the Amendment, the overcollaterlisation as the result of the amendment made in June 2016 (see DBRS’s press release dated 8 August 2016) would no longer be available and subordination levels as percentages of the loan collateral, in addition to the cash reserve, would increase to:

-- 16.31% from 13.5% for the Class A Notes;
-- 11.71% from 7.5% for the Class B Notes;
-- 7.82% from 4.5% for the Class C Notes;
-- 4.82% from 2% ofor the Class D Notes.

DBRS recalibrated its cash flow analysis and concluded that the Amendment has no adverse rating impact on the Notes. DBRS has also updated the rating report to incorporate related changes.

The transaction initially closed on 16 May 2016 and has a revolving period of 25 months during which the Issuer may acquire additional receivables, subject to certain conditions such as a minimum weighted-average portfolio yield of 3.5%.

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.

DBRS’s rating confirmations are based on the following considerations:
-- The sufficiency of available credit enhancement in the form of subordination, 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 and the default rates at which the rated notes did not return all specified cash flows in a timely manner were determined.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Rating 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.

An asset and a cash flow analysis were both conducted.

Other methodologies referenced in this transaction are listed at the end of this press release. These 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 these ratings include historical performance of default and recovery of 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 updated stratification tables and scheduled amortisation related to the collateral portfolio.

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

DBRS was not supplied with updated 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 to be 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 on the Rated Notes took place on 16 May 2016 when DBRS assigned the initial ratings.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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):

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

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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.

Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Chuck Weilamann, Managing Director, Head of US ABS, Global Structured Finance
Initial Rating Date: 16 May 2016

Lead Surveillance Analyst: Kevin Ma

DBRS Ratings Limited
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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

Rating Consumer and Commercial Asset-Backed Securitisations
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

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