ASSET-BACKED EUROPEAN SECURITISATION TRANSACTION NINE S.R.L. A-BEST 9 Securitisation of Italian Auto Loans Receivables

Transcription

1 P R I V A T E & C O N F I D E N T I A L ASSET-BACKED EUROPEAN SECURITISATION TRANSACTION NINE S.R.L. A-BEST 9 Securitisation of Italian Auto Loans Receivables Euro [500] MILLION PORTFOLIO OF PRIME ITALIAN AUTO LOANS

2 Disclaimer Crédit Agricole Corporate and Investment Bank ( CA-CIB ) and UniCredit Bank AG (together with CA-CIB, the Managers and together with UniCredit Bank AG, London Branch, the Arrangers ) have been mandated by FGA Capital S.p.A. (together with its affiliates, FGAC ) in connection with the proposed issue of Class A asset backed floating rate notes and the Class B asset backed fixed rate notes (the Notes ) by ASSET-BACKED EUROPEAN SECURITISATION TRANSACTION NINE S.r.l. ( A-BEST 9 ). This presentation (the Investor Presentation ) has been prepared solely for informational purposes and is a summary of certain proposed terms of an offering of the Notes as currently contemplated in connection with preliminary discussions with potential investors in the Notes and does not purport (i) to be a complete description of all material terms or of the terms (which may be different from the ones referred to herein) of an offering that may be finally consummated or (ii) to contain all of the information that a prospective investor may require to make a full analysis of the transaction and the matters referred to herein. Any assumptions, data, projections, forecasts or estimates are forward looking statements and based upon information furnished by FGAC or publicly available information and reflect subjective estimates and assumptions concerning circumstances and events that have not yet taken place. Accordingly, there can be no assurance or guarantee that any projected or forecasted results will be attained. Actual results may vary from such projections and forecasts, past performance is not necessarily indicative of future performance, and such variations may be material. In connection with any placement of the Notes, A-BEST 9 will prepare and deliver to potential investors a preliminary prospectus, prospectus or other appropriate offering materials relating to an investment in the Notes, which will contain material information not contained herein, including a description of A-BEST 9, the definitive terms of the transaction and information concerning the manner in which the Notes will be offered. Any decision to invest in such Notes should be made solely in reliance upon such offering materials. Under no circumstances shall the information presented herein constitute and should not be considered as an offer to sell or the solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy nor shall there be any sale of any securities in any jurisdiction in which such offer, solicitation or sale would be unlawful under the securities laws of such jurisdiction. The information presented herein does not comprise a prospectus for the purposes of EU Directive 2003/71/EC, as amended from time to time (the Prospectus Directive ). The information herein has not been reviewed or approved by any rating agency, government entity, regulatory body or listing authority and does not constitute listing particulars in compliance with the regulations or rules of any stock exchange. The information herein is preliminary, limited in nature and subject to completion and amendment, and will be superseded by the preliminary prospectus and subsequently the final prospectus relating to this transaction (the Final Prospectus ). When available, the Final Prospectus will be published on the website of the Luxembourg Stock Exchange and may be obtained from the Managers, the paying agent or the Issuer following the preparation thereof. All opinions and estimates included in this document speak as of the date of this document and are subject to change without notice. This document addresses only certain aspects of the applicable securities characteristics and thus does not provide a complete assessment: as such it may not reflect the impact of all structural characteristics of the securities. Receipt of this Investor Presentation involves no obligation or commitment of any kind. Prospective investors are not to construe information contained herein, in any preliminary prospectus, prospectus or other offering materials or in any prior or subsequent communication from A-BEST 9 or any of its representatives, including the Arrangers and the Managers, as a recommendation that any recipient of this Investor Presentation invest in the Notes or A-BEST 9, or that the Notes are a suitable investment for such recipient or any other person or as legal, accounting or tax advice. None of the Arrangers or the Managers make any representation nor give any advice (including but not limited to advice concerning the appropriate regulatory accounting treatment or possible tax consequences in connection with the proposed transaction). This Investor Presentation is based on information provided by A-BEST 9 and publicly available information. The information in this Investor Presentation has not been independently verified by the Arrangers or the Managers. None of the Arrangers or the Managers makes any representation or warranty, express or implied, as to the accuracy or completeness of such information. None of the Arrangers or the Managers will be responsible or liable for the consequences of reliance upon any statement, opinion or information contained herein or any omission there from. The Arrangers or the Managers therefore disclaim, to the extent permitted by applicable law, any and all liability relating to this Investor Presentation including without limitation any express or implied representations or warranties for statements contained in, and omissions from, the information herein. None of the Arrangers or the Managers nor any of their respective employees, directors, subsidiaries or affiliates and any of their respective employees, directors, officers, advisers, agents or subcontractors accept any liability or responsibility in respect of the information herein and shall not, to the extent permitted by applicable law, be liable for any loss of any kind which may arise from reliance by you, or others, upon such information. The information contained herein is subject to change without notice, and is qualified in its entirety by the information in the Final Prospectus for this transaction. This Investor Presentation, is only directed at and has only been sent to (i) (if you are located in the United Kingdom) professional clients or eligible counterparties as defined in the rules of the Financial Conduct Authority and is not intended for distribution to, or use by, retail clients or (ii) investment professionals falling within Article 19(5) of the Financial and Services Markets Act 2000 (Financial Promotions) Order 2005, as amended (iii) (if you are located in France) qualified investors acting for their own account or persons providing portfolio management financial services, all as defined and in accordance with Article L and Article D of the French Monetary and Financial Code or (iv) (if you are located outside the United Kingdom or France) persons to whom this Investor Presentation can be sent lawfully in accordance with applicable securities laws. By your receipt of this Investor Presentation you are confirming to the Arrangers and the Managers that you are such a person. If this is not the case, then you must return this Investor Presentation to the Arrangers and the Managers immediately. This Investor Presentation must not be acted on or relied on by, nor are the Notes referred to herein available to any other persons. Furthermore, the information herein is confidential and may be price sensitive and you must not publish, reproduce, redistribute, disclose or pass on this Investor Presentation to anybody else, in whole or in part, for any purpose. Failure to comply with this may violate applicable laws. If the information relates to any investment subject to the Prospectus Directive it is sent to you on the basis that you are a Qualified Investor for the purposes of such directive or any relevant implementing legislation of a European Economic Area ( EEA ) Member State which has implemented the Prospectus Directive and it must not be given to any person who is not a Qualified Investor. By being in receipt of this you undertake that you will only offer or sell any investment referred to in the information in circumstances which do not require the production of a prospectus under the Prospectus Directive or any relevant implementing legislation of an EEA Member State which has implemented the Prospectus Directive. The securities discussed herein have not been and will not be registered under the United States Securities Act of 1933, as amended (the Securities Act ). Such securities may not be offered or sold, pledged or otherwise transferred, directly or indirectly, and this document may not be disseminated, in the United States or to any U.S. person, except to the extent mentioned in the Final Prospectus. A-BEST 9 has not been registered under the US Investment Company Act of 1940, as amended. None of the Arrangers or the Managers owes any duty to any person who receives this Investor Presentation (except as required by law or regulation) to exercise any judgement on such person s behalf as to the merits or suitability of any transaction or securities. Prior to making an investment decision, investors should conduct such investigations as they deem necessary to verify the information contained in the prospectus or other offering materials that will be prepared at a later date and to determine if their interest in investing in the Notes is appropriate and suitable for them. In addition investors should consult their own legal, accounting and tax advisors in order to determine the consequences of an investment or possible investment in the notes issued by A-BEST 9 and to make an independent evaluation of such investment. None of the Arrangers or the Managers is a legal, tax or accounting advisor. The Arrangers and the Managers may currently and from time to time provide investment banking services (including without limitation corporate finance services) for the companies mentioned in this document and may from time to time participate or invest in commercial banking transactions (including without limitation loans) with the companies mentioned in this document. Accordingly, information may be available to the Arrangers or the Managers which is not reflected in this document. Any Arranger or Manager may make a market in the Notes described in this document. Accordingly, any Arranger or Manager may actively trade these Notes or related derivatives for its own account and those of its customers and, at any time, may have a long or short position in these Notes or derivatives related hereto. In addition, the Arrangers and the Managers may possess or come to possess public or confidential information concerning FGAC, A-BEST 9 or their affiliates without providing or being under any obligation to provide such information to such investors or prospective investors. Certain statements in this document are forward-looking statements and, by their nature, involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur in the future. Actual results could differ materially from those stated or implied by such forward-looking statements. Crédit Agricole Corporate and Investment Bank is authorized and regulated by the Autorité de contrôle prudentiel and subject, in the UK, to limited regulation by the Financial Conduct Authority. UniCredit Bank AG London Branch, Moor House, 120 London Wall, London, EC2Y 5ET, is regulated by Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Further details regarding our regulatory status are available on request. Your receipt and use of these materials constitutes notice and acceptance of the foregoing. 1

3 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 2

4 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 3

5 Executive Summary Class A Notes Euro [437.5] mln, rated [AA+/AAA] by Fitch/DBRS offered with a WAL of [1.34] years* Class B Notes Euro [22.5] mln, rated [A/A] by Fitch/DBRS offered with a WAL of [3.25] years* Transaction originated by FGA Capital S.p.A. ( FGAC ), a joint stock company rated BBB-/BB+/Baa3 by Fitch, S&P and Moody's respectively, ultimately owned at 50% by FIAT S.p.A. ( FIAT ) rated BB-/BB-/B1 by Fitch, S&P and Moody's respectively, and at 50% by Crédit Agricole S.A. ( CASA ), rated A/A/A2 by Fitch, S&P and Moody's respectively Static portfolio, comprising prime auto loan receivables due by Italian residents No residual value risk or balloon exposure Fully sequential pass-through structure Credit enhancement to the Class A Notes and Class B Notes equal to [12.5]% and [8]% respectively, represented by: Subordination of the Class B Notes [4.5]%, Class C Notes [2]%, Class D Notes [1]% and Class M Notes [5]% Euro [7] mln Cash Reserve non-amortizing fully funded at closing (equal to [1.4]% of the Preliminary Portfolio), primarily available to cover Interest Shortfall and to the extent not needed for Interest Shortfall, will form part of Principal Available Funds on the Payment Date in which the Rated Notes are redeemed in full Excess spread of approximately [3.25]% p.a. at closing via a discount mechanics on the portfolio purchase price** Euro [17.5] mln Commingling Reserve non-amortizing and fully funded at closing The transaction is fully compliant with article 405 of the Capital Requirements Directive [retention] * Please refer to slide [55] for the relevant assumptions ** Please refer to slide [51] for more details 4

6 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 5

7 Transaction Highlights Experienced originator/servicer FGAC is one of the largest car finance and leasing companies in Europe, 50% owned by Fiat Group Automobiles and 50% by CACF, the consumer finance arm of Crédit Agricole S.A. Experienced Originator and Servicer of its 6 th Italian Autoloan securitisation transaction that would be the 21 st transaction originated by the FGAC Group, its 12 th public deal and the 9 th out of the A-Best Programme Good quality of prime assets Fully performing loans with at least one paid instalment Prime auto loan receivables due by Italian residents Granular portfolio ( [50,000] borrowers with top 10 / 20 obligors representing [0.15]% and [0.25]% respectively No residual value risk or balloon transferred to the SPV Retail borrowers represent [100]% of the Net Present Value of the Preliminary Portfolio New cars represent [91.5]% of the Net Present Value of the Preliminary Portfolio Fixed interest rate loans with monthly instalments Straightforward Securitisation Structure Standard structure Two rating agencies : Fitch, DBRS Static portfolio Fully funded Cash Reserve and non amortizing until full repayment of the Rated Notes Fully funded and non amortising Commingling Reserve Fully sequential amortisation of the Notes with no prorata triggers Separate Pre-Enforcement waterfalls for interest and principal Standard Italian Law 130 security package Swap agreement in place to hedge interest rate risk Daily sweep of collections to A-Best 9 Appointment of Back-Up Servicer at loss of BB- by Fitch Back-Up Servicer Facilitator appointed at closing Discount purchase mechanics enhancing the transaction yield 6

8 ABS Notes Class A Notes Class B Notes Class C Notes Class D Notes Class M Notes Initial Outstanding Amount Expected rating (Fitch / DBRS) Euro [437.5] mln Euro [22.5] mln Euro [10] mln Euro [5] mln Euro [25] mln [AA+ sf / AAA sf] [A sf / A sf] [BBB sf / BBB sf] [BBB- sf / BBB(low) sf] [NR / NR] Ranking Senior Mezzanine Mezzanine Mezzanine Junior First Coupon Date [11 August] 2014 [11 August] 2014 [11 August] 2014 [11 August] 2014 [11 August] 2014 Legal Final Maturity [10 December 2028] [10 December 2028] [10 December 2028] [10 December 2028] [10 December 2028] Repayment Monthly passthrough, sequential Monthly passthrough, sequential Monthly passthrough, sequential Monthly pass-through, sequential Monthly passthrough, sequential Minimum Denomination Euro [100,000] Euro [100,000] Euro [100,000] Euro [100,000] Euro [100,000] Listing LuxSE LuxSE LuxSE LuxSE LuxSE Clearing System Euroclear and Clearstream Euroclear and Clearstream Euroclear and Clearstream Euroclear and Clearstream Euroclear and Clearstream WAL [1.34] years [3.25] years [ ] years [ ] years [ ] years Interest 1m Euribor + [ ] 1m Euribor + [ ] [ ]% [ ]% [ ]% Status Offered TBD Retained Retained Retained 7

9 Collections Transaction Diagram Cash Manager, Cash Administrator, Principal paying Agent, Listing Agent Corporate Servicer Representative of the Noteholders Calculation Agent Account Bank Purchase Price Originator Subordinated Loan Sale of Receivables Class A notes Class B notes Servicer Collections A-BEST 9 Notes interest and principal Issuance Proceeds Class C notes Class D notes Class M notes Borrowers Eligible Swap Counterparties 8

10 Involved Parties Issuer A-BEST 9, a company incorporated under Italian Law 130 Originator, Servicer and Corporate Servicer RON Account Bank, Cash Manager, Calculation Agent, Principal Paying Agent Corporate Administrator and Back-Up Servicer Facilitator Rating Agencies Joint Arrangers Joint Bookrunners and Lead Managers Swap Counterparties FGAC US Bank Trustees Limited Elavon Financial Services Limited Securitisation Services S.p.A. Fitch, DBRS Crédit Agricole Corporate and Investment Bank ( CA-CIB ), UniCredit Bank AG, London Branch ( UniCredit London ) CA-CIB, UniCredit Bank AG ( UniCredit ) [CA-CIB, UniCredit] 9

11 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 10

12 Pool Summary Key Characteristics of Preliminary Portfolio (cut-off 8 May 2014) Total Net Present Value at Discount Rate Discount Rate Number of Loans Average Loan Net Present Value Largest Borrower concentration New cars / Used cars WA Nominal Interest Rate (TAN) WA original maturity (months) WA seasoning (months) WA remaining term (months) Euro [499,993,499] [5.85]% [50,514] [9,898] [0.02] % / [93,095] [91.5]% / [8.5]% [2.53]% [50.93] [10.49] [40.44] 11

13 Pool Summary Key Characteristics of Preliminary Portfolio (cut-off 8 May 2014) Distribution by Type of Vehicle 8.50% Distribution by Borrower Type 0.00% 91.50% % New Used Distribution by Geographical Distribution Non VAT borrower VAT borrower Distribution by Brand / Model 22.80% 27.63% 27.27% 22.44% 16.43% 7.70% 49.58% 11.64% 14.52% Centre North South PANDA 2012 Grande Punto NUOVA YPSOLON L Other Car Models 12

14 Pool Summary Key Characteristics of Preliminary Portfolio (cut-off 8 May 2014) Distribution by Nominal Interest Rate (TAN) Distribution by Region of Debtors 50.00% 25.00% 45.00% 40.00% 20.00% 35.00% 30.00% 15.00% 25.00% 20.00% 10.00% 15.00% 10.00% 5.00% 5.00% 0.00% 0.00% Distribution by Remaining Loan Maturity 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 50.00% 45.00% 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% Distribution by Seasoning 0 to 6 6 to to 18 > 18 13

15 Key Eligibility Criteria The vehicle has been delivered to the relevant Borrower Residual term less than or equal to [84] months At least one instalment paid and no instalments are due but unpaid Borrowers are resident in Italy Borrower is not an employee of FGAC Loans provide for an amortisation on a monthly basis and in pre-determined fixed monthly instalments Loans denominated in Euro and with a fixed rate of interest No balloon loans The final portfolio will be selected as of [17] May

16 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 15

17 FGA Capital: A JV between CA and FGA 100% Fiat Group Automobiles SpA 100% 50% 50% Key Elements of the partnership 50 / 50 Joint Venture between FGA, a top tier car manufacturer, and CACF, a leader in the consumer credit industry Long-term partnership initially signed in December 2006, with a minimum duration of 8 years. In July 2013 the term of the agreement was extended until December 2021, with the possibility of further renewals A unique business model, combining commercial effectiveness of an industrial partner, with risk discipline and financial strength of a banking partner 16

18 FGA Capital Highlights FGAC is one of the largest specialized car finance and lease companies operating in Europe, diversified across products, geographies and brands FGAC provides retail, wholesale and rental financial services in Europe to the brands of: Fiat Group Automobiles: Fiat, Alfa Romeo, Lancia, Fiat Professional, Abarth Chrysler Group: Chrysler and Jeep Maserati Jaguar and Land Rover FGAC is regulated by the Bank of Italy. Its subsidiaries in Germany, Poland, Austria, France, Spain, Portugal and Ireland are subject to their respective national authority supervision RATINGS BBB- Stable Long-term / F3 Short-term by FITCH Baa3 Stable Long-term by MOODY S BB+ Negative Long-term / B Short-term by STANDARD&POOR S 17

19 Financial Services at Fiat - History 18

20 FGA Capital Group 2013 Highlights Renewal of the joint venture agreement between the shareholders until at least the end of 2021, with the possibility of further renewals Extension of the commercial agreement with Jaguar Land Rover until at least the end of 2017 for Austria, Belgium, France, Germany, Italy, the Netherlands, Portugal and Spain Signing of a commercial agreement with Maserati for the financing activities concerning Maserati s distribution network, end customers and rental fleets in Europe Board of Director s approval to apply for a banking licence Stable Net Banking Income compared to the average outstanding portfolio in a continuously challenging environment Cost of risk well under control, a slight further reduction compared to previous years Improving operating efficiency Strong liquidity position underpinned by CA Group funding availability and enhanced by further diversification on secured and unsecured capital markets, with stable funding costs Group Core Tier 1 increasing to 11,0% 19

21 New Joint Venture agreement The JV agreement between FGA and CACF has been renewed with effective date from January for 7 years for the first period hence up to 31 st December 2021; subsequent renewals of the JV shall occur automatically for additional 3 year periods starting from any relevant maturity date, unless a notice of termination is served 3 years before such relevant maturity date 7 YEARS 8 YEARS 3 YEARS 3 YEARS Inception December 28 th, 2006 Amendment and Extension July 30 th, 2013 Initial Maturity Date December 31 st, years extensions foreseen by mutual agreement Termination notices to be sent 3 years in advance, during the month of December of each relevant year 20

22 FGA Capital Group Business Overview Multi-Brand Multi-Business 3 Business lines 10 Brands 26 Legal Entities Employees 14 Countries Dealer Financing OEM Dealer Networks Outstanding (avg.): 3.7 /Bn. 26% of total assets Retail Financing Private customers Channel: Dealerships Outstanding (avg): 9.5 /Bn 65% of total assets Figures as at 31/12/2013 Rental Corporate customers Channel: Dealerships/Direct Outstanding (avg.): 1.3 /Bn 9% of total assets 21

23 Performance Indicators ( and %) Average Managed Outstanding 14,6 Bn 15,5 Bn 15,5 Bn 16,4 Bn 15,8 Bn 14,9 Bn 14,6 Bn Net Banking Income / Average Managed Outstanding 3,53% 3,46% 3,71% 3,65% 3,86% 4,08% 4,03% Net Profit 119 Mln 137 Mln 105 Mln 147 Mln 153 Mln 167 Mln 172 Mln Return on Assets 1,30% 1,22% 1,18% 1,30% 1,45% 1,72% 1,70% CORE TIER 1 7,2% 8,2% 8,0% 8,8% 9,2% 10,6% 11,0% 22

24 Average Outstanding Overview Per Year & Brand ( /Bn & %) JLR FGA 0,4 1,3 1,9 2,3 2,9 Overview per Year ( /Bn) 1,7 1,6 2,1 1,9 1,5 3,7 3,8 3,8 3,6 3,8 1,3 1,3 3,8 3,7 14,6 15,5 15,1 15,1 13,9 12,6 11,7 9,2 9,6 10,0 10,9 10,6 9,8 9, FY 2013 by Country (%) Other; 11% Spain ; 4% Retail Dealer Rental 4 Major Markets All Brands ( /Bn) France; 8% Italy; 40% 2 1 Germany; 19% UK; 19% 0 Italy Germany UK France 23

25 Key Financial Indicators Net Banking Income ( /M) & Percentage on Average Outstanding ,53% 536 3,46% 576 3,71% ,65% 3,86% 587 4,08% 4,03% Net Banking Income NBI / Average Outstanding 5,00% 4,50% 4,00% 3,50% 3,00% Profitability mainly driven by: High penetration rates, more than compensating lower car market volumes Improving cost of risk across markets, notwithstanding economic environment Decreasing operating expenses Net Operating Expenses ( /M) & Percentage on Average Outstanding ,64% 230 1,48% 247 1,59% 239 1,46% 1,50% ,57% 231 1,59% Net Operating Expenses NOE / Average Outstanding 2,50% 2,30% 2,10% 1,90% 1,70% 1,50% 1,30% 1,10% 0,90% 0,70% Net Income ( /M) & Percentage on Average Outstanding 119 0,81% 137 0,88% 105 0,67% ,90% 0,97% ,12% 1,18% Net Income Net income / Average Outstanding 2,50% 2,00% 1,50% 1,00% 0,50% 24

26 Credit Risk Performance Cost of Risk ( /M) & Ratio over Average Outstanding Doubtful Outstanding & Total Provisions ( /M) Doubtful / Outstanding (%) ,93% 0,89% 0,91% 0,75% 0,78% 0,75% 0,60% Provisions Cost of Risk / Average Outstanding 500 1,40% 450 1,20% 400 1,00% ,80% 250 0,60% 200 0,40% ,20% 50 0,00% ,8% 2,3% 2,6% 2,7% 2,6% 2,1% 1,9% Doubtful (>90days) Provision Funds Doubtful / Outstanding Cost of Risk ratio resilient despite difficult market conditions Stable level of doubtful receivables on total outstanding 25

27 Capitalization Core Tier 1 Equity Ratio 8.2% 8.0% 8.8% 9.2% 10.6% 11.0% Core Tier 1 Equity ( /Bn) Note: Net of dividends distributed High quality of capital (common equity only) FGAC subsidiaries not needing additional capital FGAC regulated legal entities well above Basel II Minimum Capital Requirement "MCR 26

28 Funding Source Evolution Securitisation is a strategic funding source for FGAC Group, for diversification purposes towards the funding provided by the CA Group and the issuances on the debt capital markets through the FGAC Group EMTN programme ( /Bn) CA Group EMTN Bond Public and Private Securitisations Other Banking Lines 27

29 Securitizations Public deals of the Group FIRST SECOND A-BEST 1 A-BEST 2 A-BEST 4 A-BEST 7 A-BEST 3 A-BEST 6 A-BEST 8 ABSOLUTE A-BEST 5 EAS Origination (through warehouse) Origination (take-out) Clean -up 28

30 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 29

31 Business Unit ITALY - SAVA Profile Sava was established in 1925 and is market leader in the Italian motor vehicle finance market In 2003 SAVA ownership was transferred to Fidis Retail Italia, a company owned by Fiat (49%) and a pool of Italian banks (51%) In December 2006 SAVA was merged by incorporation into Fiat Auto Financial Services (new company name of Fidis Retail Italia, today FGA Capital), after the creation of the new joint-venture between Fiat and Crédit Agricole SAVA is now the commercial brand of the motor vehicle financing activity of FGA Capital S.p.A. in Italy 30

32 FGA CAPITAL Business Unit Italy Business Unit Italy RETAIL DEALER FINANCING SECURITIZATION PERIMETER 31

33 Italian Car Market Overview FGA Sales Trend in Italy Cars + LCV The Italian car market remained relatively stable up to 2009, when volumes peaks were driven by scrapping campaign incentive schemes, which remained in place up to Q FGA market share increased to 32% during the scrapping campaign (FGA brands being leader in ecological fuel and producing a range of model with the lowest CO2 emissions) Under the scrapping campaign, the upsize of SAVA s portfolio was notably led by the retail new auto loans, with the other sub-pools broadly stable Since 2011, the Italian market faced shrinking volumes Signs of recovery are evident in the first quarter of

34 The Italian Auto Loans Market Year 2013 (financed units) 13% 13% 14% 28% 18% FGA Capital Agos Ducato Volkswagen Bank Fiditalia Compass Others 14% Source: ASSOFIN (cars+motorbikes) 33

35 Financed Volumes split by Product Units/K /Mln Volumes Financed Amount 200, , ,000 50, Alfa Romeo Fiat Jeep JLR Lancia New business focused on auto loans, deleveraging PCP/Leasing products Fiat remains the most important Brand of FGA for retail financing 34

36 Overview of FGA Capital - Italian Retail Portfolio Dec-10 Dec-11 Dec-12 Dec-13 On-book Retail Financing Portfolio (Autoloans and Personal Loans) Securitized Portofolio Portfolio (Autoloans only) 35

37 Financial Products Features Product Description Typology Down Payment Tenor Retail Standard: financing constant instalments New / Used cars >= 0 "Rata Unica" : unique installment after 6/12 months New cars >= 50% months 6-8 months PCP Financing constant instalments with a final Balloon. 4 different options at contract maturity In 2013 launch of a new Structure 50/50 with 50% downpayment, no installment and final Baloon (50%) after 24 months New cars 0-60% months Leasing BVR: Financial leasing with residual value of 1% - 15% for 60 months New cars 10% - 40% Used cars 10% - 30% months months MVR: Financial leasing with residual value 20-30% or higher with FGA BUY BACK New cars 10% - 30% months Only Retail Standard loans will be included in the portfolio to be securitised Loan to Value (LTV) always below 100% of the retail price of the car 36

38 Financial Products Description FGAC offers its customers the following car financing products: Hire Purchase ( HP or Retail ): these loans are mainly directed to private customers and are available for both new and used cars; after an initial down payment, the loan, usually a fixed rate one, is typically amortised in equal monthly instalments over a pre-determined repayment period Personal Contract Purchase ( PCP ): this financing service is offered to private customers mainly for new cars. After an initial down payment, customers pay equal monthly instalments; the amortisation schedule of the loan is characterised by a large final instalment (so-called Balloon ), normally reflecting the residual value of the vehicle at the end of the contract. At the end of the contract period, customers may choose one of the following options: A. terminate the contract by paying the Balloon B. refinance the Balloon with a new financing contract C. return the car to the dealer D. end the contract and amortise the Balloon by returning the car and purchasing a new one (*) (*) In this last case, the surplus between the residual value of the car and the Balloon is used as a down payment for the financing of the new vehicle Leasing Products ( Leasing ): this product is mainly offered to corporate customers and is available for both new and used cars; the ownership of the vehicle is transferred to the lessee at the end of the leasing period, generally for a low residual value. In some cases, additional services (such as maintenance and product assistance) are provided to customers 37

39 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Analysis of New Business: Ticket and Tenor No. of Contracts Average Ticket (Euro) No. of Contracts Average Tenor (Months) 54, ,0 50, , ,0 44, , ,0 38,0 0 36,0 38

40 FGAC - Credit Process Management CREDIT UNDERWRITING CREDIT MANAGEMENT DEFAULT MANAGEMENT Customer assessment / scoring Credit Scoring Credit Bureau Credit Rules Assessment by underwriter Financing Pay out Collection CRM Activities End of contract management Overdue management Phone Collection Direct Collection Legal Collection Provisioning Policies management Approval Flow Automatic decision Manual Decision Credit Review Process Performance management New Business Analysis Vintage Analysis Aging Summary Bad Debts sale Write-off Management 39

41 FGAC Italian Portfolio Origination Process Loans are originated through the brands dealer network (FGA & JLR) Dealers are separate commercial entities, independent of both the brand and FGAC (and namely, its commercial brand SAVA) Dealers are appointed on the basis of a number of parameters, including: Financial strength Managerial ability Operational capability Premises Business plan FGAC monitors very closely dealers compliance with loan underwriting procedure and performance of the receivables originated through them: Good performance awarded with incentives and increased co-operation Underperformance leading to reduced co-operation with FGAC 40

42 Retail Underwriting: Credit Evaluation Process UNDERWRITING AGENTS FIN2000 AS400 CREDIT BUREAU SCORECARD 65 Underwriters Highly granular delegation of authority ~ 15,000 applications analysed each month ~ 6% resulting Below Cut-Off Strategy One addresses our underwriting activities allowing - by using data and information, both internal and external - to reach a decision in line with FGAC credit policies Strategy One processes over 97% of applications, of which around 70% are automatically evaluated The goals of Strategy One are: service quality with live feedbacks in ca.12 minutes (26 in case of manual underwriting) assumption of risks controls aligned to our expectations 41

43 The Credit Scoring System NEW CARS USED CARS First time Private Yearly Nominal Rate 0 Critical Area Not Critical Area Age of vehicle <= 2 years Age of vehicle > 2 years introduction: 1988 Quarterly monitoring of performances PARTNERSHIP COMPANIES Every 3/4 years, according to the result of monitoring EQUITY COMPANIES process, scorecards are reviewed (fraud prevention) score cards Specific for customer target Differentiated between new and used cars Setting of the cut-off level according to the Expected Losses Financial variables Socio-demographic variables Variables related to the product to be purchased Credit Bureau Score CRIF 42

44 Credit Strategies SCORECARD RESULT Cut-off Approval Area Fraud Prevention Scorecard Credit Bureau Check Credit Rules Dealers Segmentation O K R V K O Cut-off INVESTIGATION Manual AREA Revision Area Fraud Prevention Scorecard Credit Bureau Check Credit Rules Dealers Segmentation R V K O Rejected Area Fraud Prevention Scorecard Credit Bureau Check Credit Rules Dealers Segmentation K O The automatic process of evaluation starts from the scorecards The score level defines if the request belongs to - the approval area - the manual revision area - the rejected area For each area there is a specific credit strategy with a specific set of controls. 43

45 The collection process Legal (in exceptional cases) Sale of Bad debts Write Off 5-8 installments days 3-5 installments Home Collections post-dbt Contract Termination (DBT) 28 days 2-3 installments 24 days 1-2 installments days 1 installment Payment in Arrear Note: DBT = Decadenza Beneficio del Termine 44

46 CREDIT & CUSTOMER CARE 66 - CREDIT GOVERNANCE & CUSTOMER CARE 24 - INCOMING PAYMENTS 30 - PRE LEGAL COLLECTION 24 - LEGAL & BAD DEBTS 5 -POLICIES & COLLECTION PARTNER CHECK SCORE CARDS & IRB METHODS 1 RECEIVABLES 8 RETAIL & RENEGOTIATIONS CONTRACT RESOLUTIONS & R. POLICIES COLLECTION PARTNER CHECK RETAIL CUSTOMER COMPLAINTS RETAIL CUSTOMER CARE CREDIT & COLLECTION STRATEGIES RETAIL CREDIT ANALYSIS & FRAUD GOVERNANCE RENTAL CREDIT ANALYSIS & BUREAU GOVERNANCE PORTFOLIO MANAGEMENT CASH & REFUNDS REMARKETING INCOMING PAYMENTS EXTERNAL COLLECTION SMALL CORPORATE LARGE CORPORATE COURT RELATIONS INTERNAL LEGAL & BAD DEBT SALE EXTERNAL LEGAL LOSSES & B. CASE MANAG. 45

47 /000 Composition of doubtful (Total Business) 8,0% 7,5% 7,0% 6,5% 6,0% 5,5% 5,0% 4,5% 4,0% 3,5% 3,0% 2,5% 2,0% 1,5% 1,0% 0,5% 0,0% ,22% 1,76% 2,45% 0,50% 1,95% ,56% 1,73% 2,83% 0,36% 2,47% ,04% 2,07% 1,96% 0,42% 1,54% ,50% 1,94% 1,56% 0,42% 3,32% 1,92% 1,39% 0,48% ,50% 3,39% 1,96% 1,84% 1,54% 1,55% 0,53% 0,51% 1,13% 0,92% 1,01% 1,04% Dec-10 Dec-11 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 % Compromised Doubtful (>240 days) % Uncompromised Doubtful ( days) % Sensitive (1-90 days) % NPL Ratio (Doubtful on Outstanding) % Total Arrears Oustanding

48 Trend of Arrears (Sensitive + Uncompromised Doubtful) /M ,21% 3,15% 2,43% 2,22% 2,05% 2,48% 2,48% 2,27% 2,09% 2,50% 2,35% 4,5% 4,0% 3,5% 3,0% 2,5% 2,0% 1,5% 1,0% 0,5% Bucket 1-8 months Sensitive: 1-90 days Uncompromised doubtful: days 0 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 0,0% absolute value % on outstanding In the last 10 years, FGAC has reduced Arrears by: 51 % in value 44 % as percentage on outstanding 47

49 Delinquency Rates 2 to 4 Months Overdues New Cars Retail 2,50% Used Cars Retail Retail New substantially stable around 0,5% 2,00% 1,50% 1,00% 0,50% 0,00% 5 to 8 Months Overdues 1,80% 1,60% 1,40% 1,20% 1,00% 0,80% 0,60% 0,40% 0,20% 0,00% New Cars Retail Used Cars Retail Retail Used increased at the end of 2008 (impact of economic crisis) but improving since 2 nd half 2011 (introduction of new credits and commercial policies). In the last two years is stable at 1% 48

50 N Contracts /1000 TTD ( Through The Door ) of Frauds: Trend and prevention policies Specific Information Bureau and scorecard Different underwriting policies depending on channel Targeted analysis and actions to dealers and sales force Specific training Continuous focus and consciousness on frauds problem Circulation of information and cases People specific know-how to support judicial authorities in their investigation activity Rejection Rate 63% 74% 78% 86% 80% 84% 74% 82% 87% 84% 90% Internal prevention effect Total Fraud Ctr Financed Losses Worst performances in 2009 and 2010 due to exceptional TTD volumes (scrapping campaigns) and consequent increase of automatic credit decision to maintain service level 49

51 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 50

52 Overview of the Securitisation Structure The purchase price of the Receivables to be paid by A-BEST 9 will be the net present value ( NPV ) of the future instalments of the loans calculated applying a discount rate equal to *5.85+% A-BEST 9 will fund the purchase price of the Receivables (true sale) through the issuance of the ABS Notes Static Portfolio: no additional receivables will be transferred to the SPV after closing The SPV will enter into an hedging transaction with the Swap Counterparties to hedge interest rate risk deriving from the mismatch between fixed rate assets and floating rate liabilities The Swap Agreement envisages the SPV receiving Euribor1M on the Amount Outstanding of the Class A and B Notes while paying to the Swap Counterparties a fixed rated on the Amount Outstanding of the Class A and B Notes 51

53 Credit Structure Credit protection provided through: Class A Notes subordination enhancement: [12.5]% Class B Notes subordination enhancement: [8]% Estimated excess spread per year of [3.25]% p.a. circa via a discount mechanics on the portfolio purchase price Structural features Fully sequential pass-through redemption Euro [7] mln Cash Reserve fully funded at closing via the Subordinated Loan, primarily available to cover Interest Shortfall and to the extent not needed for Interest Shortfall, will form part of Principal Available Funds on the Payment Date in which the Rated Notes are redeemed in full Principal Deficiency Ledger mechanism to cover defaults and delinquent loans with more than 6 due but unpaid instalments Following a FGAC downgrade below [BB-] by Fitch, the Issuer will procure the appointment of a Back-Up Servicer A Back-Up Servicer Facilitator is appointed at the Issue Date Euro [17.5] mln non-amortising Commingling Reserve fully funded at closing via the Subordinated Loan 52

54 Waterfall Key aspects of the Pre-Trigger Interest Priority of Payments Proceeds Use of Proceeds Interest Available Funds All interest collections received during the immediately preceding collection period 1. Senior Expenses 2. Swap Counterparty 3. Servicing Fees 4. Class A Notes interest amount due and payable All amounts received from the Swap Counterparty 5. Class B Notes interest amount due and payable 6. Class C and D Notes interest amount due and payable Income from Eligible Investments Interest accrued on the Issuer Accounts Recoveries in respect of interest amounts and all other amounts received or recovered in connection with the Receivables other than Principal Collections 7. Replenishment Cash Reserve 8. Principal Funds Account Principal Shortfall amount as at the preceding Calculation Date 9. Principal Funds Account amount paid under item (i) of Principal Priority of Payments on any preceding Payment Date and not yet repaid 10. Termination payment to Swap Counterparty following Swap Trigger 11. Interest to Cash Reserve Subordinated Loan 12. Interest and Variable Return on Junior Notes 53

55 Waterfall - Key aspects of the Pre-Trigger Principal Priority of Payments Proceeds Use of Proceeds Principal Available Funds All principal collections received during the immediately preceding collection period Amount paid by the Originator to the Issuer under the Warranty and Indemnity Agreement 1. Amounts not paid under items (1) to (6) of Interest Priority of Payments 2. Principal Amount Outstanding of Class A Notes 3. Principal Amount Outstanding of Class B Notes Amounts received in respect of the Insurance Policies Recoveries in respect of Principal Collections Other amounts paid by the Originator to the Issuer pursuant to Receivables Purchase Agreement 4. Principal Amount Outstanding of Class C and D Notes 5. Termination payments not paid to Swap Counterparty under the Interest Priority of Payments 6. Principal amounts to Cash Reserve Subordinated Loan 7. Amounts to the Originator pursuant to the Receivables Purchase Agreement and/or the Warranty & Indemnity Agreement Amounts paid to the Issuer by the Servicer pursuant of Servicing Agreement being indemnities in relation to renegotiated Loan Principal deficiency ledger (PDL) 8. Principal Amount Outstanding of the Junior Notes until Euro ( ) 9. Principal Amount Outstanding of the Junior Notes 10. Variable Return on the Junior Notes 54

56 Class A and Class B Notes WAL Sensitivity Expected WAL of the Class A and B Notes calculated based on the relevant CPR assumptions indicated in the table below Assumptions: No Event of Default has occurred in respect to the Notes Repayment of Principal on the Notes occurs from the Payment Date on the [11 August] 2014 Euribor 1M is constant during the life of the transaction and is equal to 0.20% 0% delinquencies, 0% defaults and no margin compression on the Portfolio Issue Date is [05] June 2014 Cut-off Date is [17] May 2014 Exercise of the 10% clean-up call CPR 0% 5% 15% Class A WAL (years) [1.44] [1.34] [1.16] CPR 0% 5% 15% Class B WAL (years) [3.40] [3.25] [2.92] 55

57 Risk Mitigants Interest rate risk At closing, A-BEST 9 will enter into the Swap Agreement with the Swap Counterparties The Swap Agreement will provide hedging for the Class A and B Notes against a mismatch between the floating rate Class A and B Notes and the fixed rate Receivables Notional amount of the Swap Agreement will be equal to the Outstanding Amount of the Class A and B Notes Standard downgrading language for Swap Counterparties replacement and collateral posting Commingling risk Commingling Reserve fully funded at closing and non-amortising Daily sweeps of collections from the Originator to the Issuer accounts Liquidity risk Cash Reserve fully funded at closing and non-amortizing, available to cover Interest Shortfall Set-off risk No deposits of the borrowers with FGAC or loans to FGAC employees Residual value risk No residual value risk in the transaction Credit risk Fully performing assets, static pool, granular portfolio, historical performance of assets stressed to calculate required credit enhancement by Rating Agencies 56

58 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 57

59 Vintage Loss Analysis The data below represents the historic losses as of September 2013 on all Loan Agreements originated by FGAC from 2003 to September 2013 for loans to purchase new and used cars. The tables show the development of losses over 1 month from the end of the quarter in which the loans were originated The data below is expressed as gross losses borne by FGAC and excludes any recoveries made on the defaulted receivables. Gross losses are defined as total principal and interest payments due on loans that are more than 240 days overdue expressed as a percentage of total principal and interest due on all contracts originated in the quarter Source: FGAC 58

60 Delinquencies Static Analysis The tables below show delinquency rates (expressed as percentages) for the Loan relating to new and used cars. The series of the tables are represented by the number of instalments due but unpaid by the borrowers. After eight unpaid instalments (240 days) the whole outstanding amount related to the contract is classified as write-off Source: FGAC 59

61 Recovery Rates Analysis The data below represents the recovery rates as of September 2013 on all loan agreements classified as write-off by FGAC from 2004 to September 2013 for loans to purchase new and used cars. The tables show the development of recoveries over 1 month from the end of the quarter in which the loans were written-off Source: FGAC 60

62 Table of Contents Page 1. Executive Summary 4 2. Transaction Highlights 6 3. Portfolio Overview FGA Capital Group Overview FGA Capital Italy Products, Originations, Credit and Collection Processes Transaction Structure Historical Performance Data Contact Details 62 Appendix 1: Detailed Portfolio Breakdown Appendix 2: Comparable ABS Transactions and Timetable 61