Press Release

DBRS Morningstar Discontinues Ratings on Asset-Backed European Securitisation Transaction Fifteen S.r.l.

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July 19, 2022

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on the Class A, Class B, Class C, Class D, and Class E notes as well as on the Commingling Reserve Facility (together, the Rated Notes) issued by Asset-Backed European Securitisation Transaction Fifteen S.r.l.

The discontinuation reflects the full repayment of the notes at the payment date on 15 July 2022. Prior to their repayment, the ratings and the outstanding principal balance of the Rated Notes were as follows:

-- Class A Asset-Backed Notes rated at AAA (sf) with an outstanding principal balance of EUR 21,463,343.54
-- Class B Asset-Backed Notes rated at AAA (sf) with an outstanding principal balance of EUR 5,000,000.00
-- Class C Asset-Backed Notes rated at AA (high) (sf) with an outstanding principal balance of EUR 43,000,000.00
-- Class D Asset-Backed Notes rated at AA (sf) with an outstanding principal balance of EUR 15,000,000.00
-- Class E Asset-Backed Notes rated at A (high) (sf) with an outstanding principal balance of EUR 10,000,000.00
-- Commingling Reserve Facility rated at A (low) (sf) with an outstanding principal balance of EUR 35,000,000.00

The transaction is a securitisation of auto loan receivables granted to individuals and companies in Italy for the purchase of new and used motor vehicles. The receivables were originated by FCA Bank SpA, a joint venture that is 50.0% owned by Fiat Group and 50.0% owned by Crédit Agricole Consumer Finance. The revolving period ended on the payment date in May 2019 and the transaction has been amortising since. The legal final maturity date is on the payment date in April 2031.

Please refer to https://www.dbrsmorningstar.com/issuers/22532 for more information.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include a redemption notice provided by Allen & Overy Studio Legale Associato and investor report provided by Crédit Agricole CIB, Milan branch.

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

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

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

DBRS Morningstar 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 30 July 2021, when DBRS Morningstar confirmed its ratings on the Class A and Class B notes at AAA (sf) and upgraded its ratings on the Class C, Class D, and Class E notes as well as on the Commingling Reserve Facility to AA (high) (sf), AA (sf), A (high) (sf), and A (low) (sf) from AA (sf), A (high) (sf), A (low) (sf), and BBB (high) (sf), respectively.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As this is a discontinued-repaid rating action, sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniele Canestrari, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 16 May 2017

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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