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Rating Action:

Moody's upgrades ratings in one Italian and one Irish Auto ABS transaction

11 Nov 2019

Frankfurt am Main, November 11, 2019 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of 5 Notes in one Italian and one Irish Auto ABS transaction. The rating action reflects the increased levels of credit enhancement for the affected Notes as well as better than expected collateral performance, which in the case of Asset-Backed European Securitisation Transaction Fifteen S.r.l is combined with the 24 months revolving period having ended in May 2019. Moody's affirmed the ratings of the Notes that had sufficient credit enhancement to maintain their current ratings.

Issuer: Asset-Backed European Securitisation Transaction Fifteen S.r.l

....EUR 911M Class A Notes, Affirmed Aa3 (sf); previously on Oct 25, 2018 Downgraded to Aa3 (sf)

....EUR 5M Class B Notes, Upgraded to A1 (sf); previously on Oct 25, 2018 Affirmed A2 (sf)

....EUR 43M Class C Notes, Upgraded to A2 (sf); previously on Oct 25, 2018 Affirmed Baa2 (sf)

....EUR 15M Class D Notes, Upgraded to Baa2 (sf); previously on Oct 25, 2018 Affirmed Baa3 (sf)

....EUR 10M Class E Notes, Upgraded to Baa3 (sf); previously on Oct 25, 2018 Affirmed Ba1 (sf)

....Commingling Reserve Facility Notes, Affirmed Baa3 (sf); previously on Oct 25, 2018 Downgraded to Baa3 (sf)

Issuer: Citizen Irish Auto Receivables Trust 2017 Designated Activity Company

....EUR 132.9M Class A Notes, Affirmed Aaa (sf); previously on Apr 15, 2019 Affirmed Aaa (sf)

....EUR 8.7M Class B Notes, Affirmed Aaa (sf); previously on Apr 15, 2019 Upgraded to Aaa (sf)

....EUR 6.3M Class C Notes, Affirmed Aa1 (sf); previously on Apr 15, 2019 Upgraded to Aa1 (sf)

....EUR 2.4M Class D Notes, Upgraded to Aa1 (sf); previously on Apr 15, 2019 Upgraded to Aa2 (sf)

Maximum achievable rating for structured finance transactions in Italy is Aa3 (sf), driven by the local currency country ceiling (Aa3) of the country.

Citizen Irish Auto Receivables Trust 2017 Designated Activity Company ("Citizen Irish 2017") is a static cash securitisation of auto receivables extended by First Citizen Finance DAC to mainly private obligors located in Ireland.

Asset-Backed European Securitisation Transaction Fifteen S.r.l ("ABEST 15") is a cash securitisation of auto loan receivables extended by FCA Bank S.p.A. ("FCAB") to obligors located in Italy. ABEST 15 featured a 2-year revolving period which ended in May 2019.

RATINGS RATIONALE

The rating action is prompted by an increase in credit enhancement for the affected tranches and by a decreased key collateral assumption, namely the portfolio default probability assumption, due to better than expected collateral performance in both transactions, which in the case of ABEST 15 is combined with the revolving period having ended in May 2019.

Increase in Available Credit Enhancement

Sequential amortization and non-amortizing reserve funds led to the increase in the credit enhancement available in these transactions.

Credit enhancement supporting Class D in Citizen Irish 2017 increased to 29.6% from 17.0% as of the last rating action in April 2019.

Credit enhancement available under Classes B, C, D and E in ABEST 15 increased to 12.1%, 6.8%, 5.0% and 3.7% from 9.9%, 5.6%, 4.1% and 3.1% at closing respectively.

Revision of Key Collateral Assumptions

As part of the rating action, Moody's reassessed its default probability and recovery rate assumptions for the portfolios reflecting the collateral performance to date.

The performance of Citizen Irish 2017 has continued to be stable since the last rating action earlier this year. Although total delinquencies have increased in the past year, they remain at moderate levels with 90 days plus arrears standing at 0.88% of current pool balance. Cumulative defaults currently stand at 0.59% of original pool balance, with the pool factor of 20.8% as of the latest interest payment date.

For Citizen Irish 2017 Moody's has assumed a mean default probability of 5.0% of the current portfolio balance, corresponding to a mean default assumption of 1.6% of the original pool balance, compared to 2.2% previously. At the same time the recovery rate assumption has been increased to 40% from 35% previously in light of the actual observed recovery rates. The portfolio credit enhancement assumption has been left unchanged at 20% of current pool balance.

The performance of ABEST 15 has likewise continued to be stable since closing. The delinquency rates have edged higher but remain at relatively low levels, with 90 days plus arrears standing at 0.17% of the current portfolio balance. Cumulative defaults currently stand at 0.31% of original pool balance plus replenishments. Since the end of the 2-year revolving period in May this year, the pool factor, measured as the current over the original pool balance, has decreased to 81%.

For ABEST 15 Moody's has assumed a mean default probability of 2.0% of the current pool balance, corresponding to mean default assumption of 1.26% of the original pool balance plus replenishments, down from 2.0% at closing. Moody's left the assumptions for the recovery rate and portfolio credit enhancement unchanged at 15% and 10% respectively.

Counterparty Exposure

Today's rating actions took into consideration the Notes' exposure to relevant counterparties, such as servicers, account banks or swap providers.

Moody's considered how the liquidity available in the transactions and other mitigants support continuity of Note payments, in case of servicer default, using the CR assessment as a reference point for servicers. The ratings of Class C and Class D Notes in Citizen Irish 2017 are constrained by operational risk. Moody's considers that the back-up servicing arrangements in combination with the lack of an external liquidity source for these two tranches are insufficient to support payments in the event of servicer disruption. As a result, Moody's has capped the ratings of Class C and Class D Notes in Citizen Irish 2017 at Aa1 (sf).

In ABEST 15 the cash proceeds may be invested in eligible investments rated at least Baa1 or P-2 if a long-term rating is not available. This exposure limits the rating of the Class B Notes to A1 (sf), as contemplated in "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in January 2019.

Counterparty Instrument Rating ("CIR") of the Commingling Reserve Facility in ABEST 15

In ABEST 15, the assigned CIR measures the risk posed to the Commingling Reserve Facility provider on an expected loss basis. Given the contingent nature of the Commingling Reserve Facility, the expected loss is calculated based on: (i) the probability of the commingling reserve being drawn; and (ii) the severity posed to the Commingling Reserve Facility provider in scenarios where the commingling reserve has been drawn and the Commingling Reserve Facility is not fully repaid at the final maturity date. The CIR on the Commingling Reserve Facility is strongly linked to FCAB's long-term CR assessment. If FCAB were to become insolvent, then the commingling reserve could be drawn to cover collections not transferred to the Issuer and in that case the Commingling Reserve Facility would not be repaid in full. Given FCAB's unchanged CR assessment of Baa2(cr), the Commingling Reserve Facility CIR is affirmed at Baa3 (sf).

For further details, please see "Moody's Approach to Counterparty Instrument Ratings'' published in April 2019.

The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in March 2019. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

Factors or circumstances that could lead to an upgrade of the ratings include: (1) performance of the underlying collateral that is better than Moody's expected; (2) an increase in available credit enhancement; (3) improvements in the credit quality of the transaction counterparties; and (4) a decrease in sovereign risk.

Factors or circumstances that could lead to a downgrade of the ratings include: (1) an increase in sovereign risk; (2) performance of the underlying collateral that is worse than Moody's expected; (3) deterioration in the Notes' available credit enhancement; and (4) deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or Note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Michal Kuehnel
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Gaby Trinkaus, CFA
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

No Related Data.
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