DBRS Assigns Final Ratings to Auto ABS Italian Loans Master SRL

DBRS Ratings Limited (DBRS) has today assigned ‘AA (sf)’ ratings to the Class A1 notes and Class A2 notes issued by Auto ABS Italian Loans Master SRL. The securitised receivables are related to Italian auto loans originated in Italy by Banque PSA Finance SA through its Italian branch.

The ratings relate to the notional amount of the programme. The final ratings are assigned to the proportion paid up at the closing date. It is anticipated that the issuer will increase obligations up to the notional amount on various pre-determined dates until January 2016, assuming pre-determined conditions have been met.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of a reserve fund and subordination. Credit enhancement levels are sufficient to support the DBRS projected expected cumulative net loss assumption under various stress scenarios at ‘AA (sf)’ standard for the Class A1 Notes and Class A2 Notes issued by Auto ABS Italian Loans Master SRL.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties' capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro (€) unless otherwise noted.

The principal methodology applicable is the Rating European Consumer and Commercial Asset-Backed Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for these ratings include performance data relating to the receivables provided by Banque PSA Finance SA, Banque PSA Finance, Italian branch and PSA Peugeot Citroën SA via the Arrangers HSBC France SA and Unicredit Bank AG, London branch. DBRS received historical performance data relating to Banque PSA Finance, Italian branch’s originations by quarterly vintage on a cumulative net loss basis going back to 2007. Data was also provided relating to delinquencies, prepayments and provisional portfolio stratification tables that allowed DBRS to further assess the collateral. 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.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting DBRS at info@dbrs.com

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 Rate Used (PD): Base Case PD of 3.73% (excluding sovereign stress), a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base Case Recovery Rate of 15.06% (excluding sovereign stress).
• Loss Given Default (LGD): Base Case LGD of 84.14%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A1 Notes and Class A2 Notes:
• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to ‘AA(low) (sf)’.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to ‘A (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to ‘A (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to ‘A(low) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to ‘A(low) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to ‘BBB (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: Paolo Conti
Initial Back-up Analyst: Eric Levassor
Initial Rating Date: 29 September 2014
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable as no last rating date.

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: www.dbrs.com/about/methodologies

• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Derivative Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.