DBRS Upgrades Commingling Reserve Facility of Asset-Backed European Securitisation Transaction Fifteen

DBRS Ratings Limited (DBRS) upgraded the Commingling Reserve Facility (CR Facility) of Asset-Backed Securitisation Transaction Fifteen S.r.l. (A-BEST 15, or the Issuer) to BBB (sf) from BBB (low) (sf).

A-BEST 15 is a securitisation backed by a pool of loans for new and used motor vehicles originated and serviced by FCA Bank S.p.A (FCAB), which is owned by FCA Italy S.p.A. and Crédit Agricole Consumer Finance. The loans were granted to private individuals residing in Italy and to individual enterprises with registered offices in Italy. The transaction closed in May 2017. FCAB is also the Swap Counterparty and CR Facility Provider of the transaction. The upgrade follows a review of DBRS’s private rating for FCAB and a reassessment of the likelihood of drawing on the CR Facility.

The CR Facility is currently at its target balance of EUR 35 million and was funded at the transaction closing by FCAB. The funds are deposited at the Account Bank, BNP Paribas Securities Services, Milan Branch. The Issuer pays a fixed 1% interest on the CR Facility balance to FCAB through Pre-Trigger Notice Interest Priority of Payments after the Class C Notes interest payment and before the Class D Notes interest payment.

The CR Facility balance does not amortise during the transaction revolving period, which ends in May 2019. Afterward, the CR Facility balance will amortise to the lower of EUR 35 million and the scheduled collections for the following collection period assuming a 15% CPR. The amortised CR Facility amount will be paid back to FCAB outside the transaction’s priority of payments. The CR Facility could only be drawn when FCAB is insolvent resulting in no transfer of the borrower collections to the Issuer or no indemnification in an Insurance Event.

DBRS incorporated the credit strength of FCAB, the Account Bank, the Class C Notes, and the Class D Notes to determine the likelihood of drawing and the timely interest payment of the CR Facility.

Notes:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating of the Commingling Reserve Facility is: “Legal Criteria for European Structured Finance Transactions”.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating actions.

Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

Other methodologies referenced in the 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The source of data and information used for this rating action is the DBRS internal rating database.

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

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

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 13 December 2017, when DBRS assigned a BBB (low) (sf) rating to the CR Facility and confirmed and upgraded other ratings in the same transaction.

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”):

The rating sensitivity of the CR Facility is linked to the rating sensitivity of Class C and D Notes, the Account Bank, and FCAB. For the sensitivity of Class C and D Notes, please refer to the last rating action’s press release at: https://www.dbrs.com/research/320542/asset-backed-european-securitisation-transaction-fifteen-srl-dbrs-rating-actions-on-asset-backed-european-securitisation-transaction-fifteen-following-amendments

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 and US regulations only.

Lead Analyst: Kevin Ma, Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 16 May 2017

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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions
-- 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.