FINANCIAL INSTITUTIONS

CREDIT OPINION FCA S.p.A. 23 October 2020 Update to credit analysis

Update Summary The Baa1 long-term deposit and issuer ratings of FCA Bank S.p.A. (FCA Bank), a joint venture between the car manufacturer Automobiles N.V. (FCA, Ba11, Developing outlook) and Credit Agricole S.A. (CASA, Aa3 stable, baa22), reflect the bank’s ba1 Baseline Credit Assessment (BCA), which is mainly driven by its sound solvency profile and RATINGS commercial dependence on FCA; a high probability of affiliate support from CASA, whose FCA Bank S.p.A. Adjusted BCA of a3 drives a one-notch uplift from FCA Bank's BCA to baa3; a very low loss Domicile Torino, Italy given failure, which results in three and two notches of uplift for the deposit and issuer Long Term CRR Baa1 Type LT Counterparty Risk ratings, respectively; the low probability of government support; and Italy's (Baa3 stable) Rating - Fgn Curr sovereign debt rating, which constrains FCA Bank's long-term deposit ratings. Outlook Not Assigned Long Term Debt Not Assigned The outlook on the issuer rating is negative, reflecting the deteriorating operating Long Term Deposit Baa1 environment because of the coronavirus pandemic in Europe and the downside risks to the Type LT Bank Deposits - Fgn Curr bank's standalone credit profile. Outlook Stable Exhibit 1 Please see the ratings section at the end of this report Rating Scorecard - Key financial ratios for more information. The ratings and outlook shown FCA Bank (BCA: ba1) Median ba1-rated reflect information as of the publication date. 18% 90% 16% 80% 14% 70% Liquidity Liquidity Factors 12% 60% Contacts 10% 50% Raffaele Del +33.1.5330.3360 8% 40% Cimmuto 6% 30% SolvencyFactors Associate Analyst 4% 20% 2% 10% [email protected] 1.3% 15.9% 1.4% 79.2% 8.3% 0% 0% Guy Combot +33.1.5330.5981 Asset Risk: Capital: Profitability: Funding Structure: Liquid Resources: Problem Loans/ Tangible Common Net Income/ Market Funds/ Liquid Banking VP-Senior Analyst Gross Loans Equity/Risk-Weighted Tangible Assets Tangible Banking Assets/Tangible [email protected] Assets Assets Banking Assets Solvency Factors (LHS) Liquidity Factors (RHS) Alain Laurin +33.1.5330.1059 The ratios of capital, funding structure and liquid resources are based on the most recent data; the ratios of asset risk and Associate Managing Director profitability are based on three-year averages or the most recent data if they are worse than averages. [email protected] Source: Moody's Financial Metrics Nick Hill +33.1.5330.1029 MD-Banking [email protected] MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths » Low stock of problem loans

» Good profitability through the economic cycles

» Matched asset and liability maturities

Credit challenges » Monoline business model and commercial dependence on FCA

» Wholesale funding profile, which is mitigated by Credit Agricole's ongoing support

» High exposure to small and medium-sized enterprises (SMEs), which are at risk, given the deteriorating operating environment because of the pandemic

Outlook The negative outlook on the long-term issuer rating of FCA Bank reflects the negative impact of a deteriorating operating environment in Europe because of the pandemic on the bank's standalone credit profile. Despite the support packages offered by the Italian government, the European Union and the European , we expect a material increase in FCA Bank's cost of risk and a declining profitability.

The outlook on FCA Bank's long-term deposit rating is stable as the rating is constrained by Italy's Baa3 sovereign debt rating. Therefore, FCA Bank's deposits are unlikely to be downgraded in the event of a lowering of the Adjusted BCA as they would then benefit from one notch of LGF uplift. Factors that could lead to an upgrade An upgrade of FCA Bank's ratings is unlikely, given the negative outlook on the long-term issuer rating and the constraint on the deposit ratings arising from Italy's government bond rating of Baa3. Under our Banks methodology, banks' ratings do not typically exceed the related sovereign bond rating by more than two notches, reflecting our view that the expected loss of rated bank instruments is unlikely to be significantly lower than that of the sovereign's own debt. Factors that could lead to a downgrade A downgrade of FCA Bank's issuer rating would likely be driven by a lower BCA or a lower Adjusted BCA, which could be prompted by a material decline in solvency, liquidity or lower parental support.

A downgrade of the issuer rating could also be triggered by a higher loss given failure on senior unsecured liabilities.

A downgrade of Italy's sovereign rating to Ba1 would also lead to a downgrade of FCA Bank's deposit and issuer ratings.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

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Key indicators

Exhibit 2 FCA Bank S.p.A. (Consolidated Financials) [1]

06-202 12-192 12-182 12-172 12-162 CAGR/Avg.3 Total Assets (EUR Million) 29,974.3 31,705.7 30,536.5 27,187.0 23,283.6 7.54 Total Assets (USD Million) 33,665.8 35,589.6 34,907.6 32,646.0 24,558.5 9.44 Tangible Common Equity (EUR Million) 3,093.2 2,880.7 2,617.6 2,262.0 1,991.4 13.44 Tangible Common Equity (USD Million) 3,474.1 3,233.5 2,992.3 2,716.2 2,100.5 15.54 Problem Loans / Gross Loans (%) 1.2 1.2 1.2 1.4 1.6 1.35 Tangible Common Equity / Risk Weighted Assets (%) 15.9 13.6 12.0 11.4 11.0 12.86 Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 8.2 9.5 10.0 12.2 13.1 10.65 Net Interest Margin (%) 2.5 2.6 2.6 2.7 2.7 2.65 PPI / Average RWA (%) 3.3 3.2 3.1 2.9 2.8 3.06 Net Income / Tangible Assets (%) 1.5 1.5 1.3 1.4 1.4 1.45 Cost / Income Ratio (%) 54.2 51.3 49.7 51.0 52.1 51.75 Market Funds / Tangible Banking Assets (%) 78.1 79.2 79.6 81.4 83.3 80.35 Liquid Banking Assets / Tangible Banking Assets (%) 9.8 8.3 8.4 7.8 6.5 8.25 Gross Loans / Due to Customers (%) 1128.6 1344.0 1309.1 1450.7 2684.7 1583.45 [1] All figures and ratios are adjusted using Moody's standard adjustments. [2] Basel III - fully loaded or transitional phase-in; IFRS. [3] May include rounding differences because of the scale of reported amounts. [4] Compound annual growth rate (%) based on the periods for the latest accounting regime. [5] Simple average of periods for the latest accounting regime. [6] Simple average of Basel III periods. Sources: Moody's Investors Service and company filings

Profile FCA Bank S.p.A. (FCA Bank) is a captive finance company that supports vehicle sales in selected European countries by its manufacturer shareholder FCA and also by non-FCA brands such as Ferrari, Jaguar, , Erwin Hymer, Morgan and . Furthermore, in 2018, FCA Bank ventured into the motorcycle segment through agreements with Harley Davidson and in 2020 with Lotus and Groupe Pilote.

The bank operates in 17 European countries and Morocco, either directly or through branches and subsidiaries, and provides services mainly through the dealership networks of the respective manufacturers.

The company is a 50:50 joint venture between Credit Agricole Consumer Finance SA, a subsidiary of CASA, and FCA Italy S.p.A., a subsidiary of FCA. For more information, please see FCA Bank's Company Profile. Detailed credit considerations FCA Bank’s BCA is strained by the pandemic FCA Bank's market is constrained by the difficult environment in the global , where we expect global light vehicle sales to contract by 19% in 2020 and recover by 9% in 2021 and 7% in 2022. A full recovery to pre-downturn levels will, however, take until the middle of the decade. Consequently, FCA Bank's metrics, in particular profitability and also asset quality, will likely be under pressure in the next 12 months.

Stock of problem loans to increase because of the pandemic in FCA Bank's European markets FCA Bank’s asset risk is low, indicated by our a3 score, one notch below the Macro-Adjusted score of a2 to reflect our view that the bank's problem loan ratio will deteriorate because of the pandemic. The pandemic has had a significant impact on the European economies, affecting both corporates and individuals, with more acute consequences for the important SME sector. FCA Bank's significant exposure to SMEs makes the bank's credit profile sensitive to such adverse market conditions.

To some extent, the economic consequences of the pandemic will be mitigated by the supporting measures taken by the Italian government and the European Union, alongside the support provided by the European Central Bank. The Italian government published law decrees on 17 March 2020 and 8 April 20203, which include, inter alia, a six-month bank loan moratorium for companies under specific conditions and a large state guarantee programme on new loans of up to €340 billion. The bank loan moratorium will be

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extended beyond its initial deadline on 31 January 2021. Similar support measures have been deployed in other European countries (See European government guarantee schemes benefit bank asset quality, September 2020).

Cars are of critical importance to most consumers, who usually repay their car loans with priority over other debt; this results in a relatively low level of problem loans4. FCA Bank disclosed a low stock of problem loans, at 1.2% of gross loans, in June 2020, which compared favourably with an average of 2.9% for European banks, according to data published by the European Banking Authority5, and with the Italian system average of 6.1% as of June 20206.

The provisioning coverage as of June 2020 was 54%, slightly up from 49% as of December 2019.

Sound capital and good profitability FCA Bank’s tangible common equity/risk-weighted assets of 15.9% in June 2020 was sound and increased from 13.6% as of December 2019, mostly because of a €280 million increase in retained earnings and a reduction in risk-weighted assets to €19.2 billion from €21.1 billion as of December 2019.

Our score for FCA Bank's Capital is a3, one notch below the Macro-Adjusted score to factor in the downside pressure from the deteriorating operating environment in which the bank operates. In 2020, most of FCA Bank's outstanding businesses (retail, dealer and rental) were in Italy (48% of total loans), followed by Germany (18%), the UK (8%), France (8%) and Spain (6%).

Unlike its peers, FCA Bank computes its risk-weighted assets using the standardised approach (SA), limiting comparability with peers that typically compute a material share of their exposures under the internal risk-based approach (IRB). Nevertheless the SA approach is likely to entail higher RWAs than under the Internal risk- based approach. We do not expect the bank to adopt advanced credit risk models in the foreseeable future.

The bank’s profitability is robust and in line with that of its main peers (see Exhibit 3). Our score for FCA Bank's Profitability is a3, in line with the Macro-Adjusted score. In June 2020, the bank's return on tangible assets was 1.5%. This consistent performance, despite the recent global economic downturn and disruption in car manufacturing, shows some flexibility in the bank's costs base.

Exhibit 3 Good profitability

Volkswagen Bank GmbH (baa2) RCI Banque (ba1) FCA Bank S.p.A. (ba1) 1.8% 1.7% 1.7% 1.6% 1.6% 1.5% 1.5% 1.5% 1.5% 1.5% 1.4% 1.4% 1.4% 1.4% 1.4% 1.3% 1.3% 1.2% 1.2% 1.1% 1.0% 1.0% 0.9% 0.9% 0.8% 0.8% 0.8% 0.7% 0.8% 0.7%

0.6%

0.4%

0.2%

0.0% 2013 2014 2015 2016 2017 2018 2019 1H20 Source: Moody's Investors Service

FCA Bank's net profit has grown continuously since 2007 and throughout the years of recession. For the first six months of 2020, the bank disclosed a net income of €225 million (-5% on a yearly basis). The lower result from the year earlier was driven by a 7% contraction in net interest income.

FCA Bank, along with eight other auto captives, was fined by Italy's competition authority, Autorità Garante della Concorrenza e de Mercato (AGCM), on 9 January 2019 for exchanging commercial information on the main characteristics of their loans between 2003 and 20177. The fine imposed on FCA Bank was €179 million. Nevertheless, the bank posted a net income of €388 million in 2018, in line with the €383 million in 2017, notwithstanding a provision, amounting to €60 million, against the related risks.

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FCA Bank appealed AGCM's decision in March 2019, but the legal proceedings will likely take more than two years to conclude. On 26 February 2020, the Regional Administrative Court of Rome (Lazio) decided to postpone any decision following the introduction of additional reasons by some plaintiffs. The last court earing was held on 21 October 2020 and its minutes have not yet been published. Pursuant to the ruling, FCA Bank provided AGCM with a bank guarantee for an amount equal to the sanction, which will be retained by AGCM until the final decision is taken. We assume the fine to be manageable for FCA Bank.

Wholesale funding profile, with matching maturities FCA Bank is dependent on inherently credit-sensitive market funding; we consider its Funding Structure a weakness and assign a score of caa1. Dependence on market funding may cause some difficulties in a volatile operating environment such as Italy.

Our assigned score for Market Funds is two notches above the caa3 Macro-Adjusted score. The adjustment takes into account our view that a material amount of funding is stable, because it comes from FCA's shareholder, Credit Agricole (17% of total debt), and also because the maturities of FCA Bank's senior debt match the relatively short-term duration of assets. FCA Bank's funding sources are also well diversified (see Exhibit 4).

Exhibit 4 Diversified funding profile as of June 2020

Commercial Paper Securitisation 1% Funding from CASA 17% 17%

ECB 7% Interbank funding excl CASA 17%

Deposits 6%

Wholesale unsecured bonds 35%

Source: Company's presentation and Moody's Investors Service

The bank has been able to tap the wholesale markets under its own name several times over the last few years. FCA Bank has limited liquid assets, which represented 9.8% of its tangible assets in June 2020. The assigned score for Liquid Resources is ba3, in line with the Macro-Adjusted score.

Qualitative adjustments and affiliate constraints FCA Bank’s creditworthiness is constrained by its monoline business and lack of business diversification, which is reflected by a one- notch negative adjustment to its Financial Profile score of baa3, which results in a BCA of ba1. Environmental, social and governance considerations As a financial institution, FCA Bank has moderate exposure to social risks, in line with our general view for the banking sector, as described in our social risk heat map, notwithstanding the aforementioned litigations in Italy.

We regard the pandemic as a social risk under our ESG framework, given the substantial implications for public health and safety. The rapid and widening spread of the pandemic and the deteriorating global economic outlook are creating a severe and extensive credit shock across many sectors, regions and markets, affecting debt purchasers' business and performance.

Although banks generally have low exposure to environmental risk, as explained in our environmental risk heat map, certain banks could, however, face a higher risk from concentrated lending to individual sectors or operations concentrated in disaster-prone areas or more generally to environmental risks. This is the case for FCA Bank because of its function as a captive bank of an automotive manufacturer. This industry has an “elevated risk - emerging” score as exposed to the transition risks of the industry towards alternative fuel vehicles. FCA has been reluctant so far to invest aggressively in this area compared with most of its European peers. In our carbon

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transition assessments (CTAs) of 20 leading auto manufacturers, we ranked FCA at CT-9, on our 10-point CTA scale, indicating that it is poorly positioned for the industry's carbon transition. It was the weakest score of any automaker in our sample group. The car automaker FCA is also exposed to sector-specific social risks, including strike risks from typically well-organised workers' unions.

Governance risks are largely internal rather than externally driven. Our view on FCA Bank’s governance is credit neutral so we do not apply qualitative adjustments, neither under Opacity and Complexity nor under Corporate Behaviour, in our scorecard. Nonetheless, corporate governance remains a key credit consideration and requires ongoing monitoring, like for any other bank.

Support and structural considerations Affiliate support Our view that there is a high probability that Credit Agricole would extend extraordinary support to FCA Bank in case of need drives a one-notch uplift from the bank's ba1 BCA to an Adjusted BCA of baa3. This expectation is based on the fact that FCA Bank is a strategic subsidiary for Credit Agricole's European consumer finance business. Furthermore, this status is underpinned by the joint-venture agreement that was recently extended until December 2024.

Loss Given Failure (LGF) analysis FCA Bank is subject to the European Union's Bank Recovery and Resolution Directive (BRRD), which we consider an operational resolution regime. Our analysis assumes residual tangible common equity of 3% and losses post-failure of 8% of tangible banking assets, a 25% run-off in “junior” wholesale deposits, a 5% run-off in preferred deposits and 26% junior deposits over total deposits. These are in line with our standard assumptions. Furthermore, we take into account the full depositor preference whereby junior deposits are preferred over senior debt creditors in accordance with a law decree introducing full depositor preference in Italy starting from 2019.

In determining the stock of bail-in-able debt in a resolution scenario, we consider all bonds issued by FCA Bank and its foreign branches (for example, FCA Bank S.p.A., Irish branch, [Baa1 negative]), as well as those issued by all funding vehicles outside Italy that issue instruments guaranteed by FCA Bank, such as FCA Capital Suisse SA (Baa1 negative).

FCA Bank's deposits are likely to face extremely low loss given failure because of the loss absorption provided by the residual equity that we expect in resolution (3%) and senior unsecured debt, as well as the volume of junior deposits. This is supported by the combination of deposit volume and subordination. This results in an uplift of three notches from the bank’s baa3 Adjusted BCA. However, we constrain the uplift to two notches above Italy's Baa3 sovereign debt rating. In accordance with our methodology, the bank's ratings do not typically exceed the related sovereign bond rating by more than two notches, reflecting our view that the expected loss of rated bank instruments is unlikely to be significantly lower than that of the sovereign’s own debt.

FCA Bank's long-term issuer rating is likely to face very low loss given failure because of the loss absorption provided by the residual equity that we expect in resolution, as well as the volume of senior unsecured debt itself. This is supported by the combination of senior unsecured debt volume and subordination. This results in an uplift of two notches from the bank’s baa3 Adjusted BCA. The long- term issuer rating carries a negative outlook as FCA Bank's senior unsecured instruments would likely be downgraded in the event of a one-notch downgrade of FCA Bank's BCA.

Government support considerations There is no rating uplift, given our view of a low probability of government support for this entity, which is not considered systemic.

Counterparty Risk (CR) Assessment CR Assessments are opinions of how counterparty obligations are likely to be treated if a bank fails and are distinct from debt and deposit ratings in that they (1) consider only the risk of default rather than both the likelihood of default and the expected financial loss suffered in the event of default, and (2) apply to counterparty obligations and contractual commitments rather than debt or deposit instruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performance obligations (servicing), derivatives (for example, swaps), letters of credit, guarantees and liquidity facilities.

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FCA Bank's CR Assessment is positioned at Baa2(cr)/Prime-2(cr) The long-term CR Assessment is positioned one notch above the Adjusted BCA of baa3, and it is also capped at one notch above Italy's Baa3 sovereign debt rating. According to our methodology, CR Assessments do not typically exceed by more than one notch the rating of the sovereign in which the bank is domiciled, reflecting our view that the probability of default of counterparty obligations is unlikely to be significantly below that of the sovereign’s own debt.

The main difference with our Advanced LGF approach used to determine instrument ratings is that the CR Assessment captures the probability of default on certain senior obligations, rather than expected loss; therefore, we focus purely on subordination and take no account of the volume of the instrument class.

Counterparty Risk Rating (CRRs) CRRs are opinions on the ability of entities to honour the uncollateralised portion of non-debt counterparty financial liabilities (CRR liabilities) and also reflect the expected financial losses in the event that such liabilities are not honoured. CRR liabilities typically relate to transactions with unrelated parties. Examples of CRR liabilities include the uncollateralised portion of payables arising from derivative transactions and the uncollateralised portion of liabilities under sale and repurchase agreements. CRRs are not applicable to funding commitments or other obligations associated with covered bonds, letters of credit, guarantees, servicer and trustee obligations, and other similar obligations that arise from a bank performing its essential operating functions.

FCA Bank's CRRs are positioned at Baa1/Prime-2 The long-term CRR is two notches above the bank's Adjusted BCA of baa3, reflecting the more limited benefit of debt instruments likely to absorb losses before such counterparty obligations under a scenario of sovereign default. FCA Bank's CRR is also capped at two notches above Italy's Baa3 sovereign debt rating, reflecting our view that expected loss is likely to be higher under a sovereign default. Methodology and scorecard About Moody's Bank Scorecard Our scorecard is designed to capture, express and explain in summary form our Rating Committee's judgement. When read in conjunction with our research, a fulsome presentation of our judgement is expressed. As a result, the output of our scorecard may materially differ from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strong divergence). The scorecard output and the individual scores are discussed in rating committees and may be adjusted up or down to reflect conditions specific to each rated entity.

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Rating methodology and scorecard factors

Exhibit 5 FCA Bank S.p.A. Macro Factors Weighted Macro Profile Strong - 100%

Factor Historic Initial Expected Assigned Score Key driver #1 Key driver #2 Ratio Score Trend Solvency Asset Risk Problem Loans / Gross Loans 1.3% a2 ↔ a3 Sector concentration Capital Tangible Common Equity / Risk Weighted Assets 15.9% a2 ↔ a3 Risk-weighted (Basel III - transitional phase-in) capitalisation Profitability Net Income / Tangible Assets 1.4% a3 ↔ a3 Return on assets Combined Solvency Score a2 a3 Liquidity Funding Structure Market Funds / Tangible Banking Assets 79.2% caa3 ↔ caa1 Market Term structure funding quality Liquid Resources Liquid Banking Assets / Tangible Banking Assets 8.3% ba3 ↔ ba3 Access to committed facilities Combined Liquidity Score b3 b2 Financial Profile baa3 Qualitative Adjustments Adjustment Business Diversification -1 Opacity and Complexity 0 Corporate Behavior 0 Total Qualitative Adjustments -1 Sovereign or Affiliate constraint Baa3 BCA Scorecard-indicated Outcome - Range baa3 - ba2 Assigned BCA ba1 Affiliate Support notching 1 Adjusted BCA baa3

Balance Sheet in-scope % in-scope at-failure % at-failure (EUR Million) (EUR Million) Other liabilities 18,634 62.8% 18,792 63.3% Preferred deposits 1,146 3.9% 1,088 3.7% Junior deposits 403 1.4% 302 1.0% Senior unsecured bank debt 8,616 29.0% 8,616 29.0% Equity 891 3.0% 891 3.0% Total Tangible Banking Assets 28,141 100.0% 28,298 95.3%

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Debt Class De Jure waterfall De Facto waterfall Notching LGF Assigned AdditionalPreliminary Instrument Sub- Instrument Sub- De Jure De Facto Notching LGF Notching Rating volume + ordination volume + ordination Guidance notching Assessment subordination subordination vs. Adjusted BCA Counterparty Risk Rating 33.0% 33.0% 33.0% 33.0% 3 3 3 3 0 baa1 Counterparty Risk Assessment 33.0% 33.0% 33.0% 33.0% 3 3 3 3 0 baa2 (cr) Deposits 33.0% 3.0% 33.0% 32.0% 2 3 3 3 0 baa1 Senior unsecured bank debt 33.0% 3.0% 32.0% 3.0% 2 2 2 2 0 baa1

Instrument Class Loss Given Additional Preliminary Rating Government Local Currency Foreign Failure notching notching Assessment Support notching Rating Currency Rating Counterparty Risk Rating 3 0 baa1 0 Baa1 Baa1 Counterparty Risk Assessment 3 0 baa2 (cr) 0 Baa2(cr) Deposits 3 0 baa1 0 Baa1 Baa1 Senior unsecured bank debt 2 0 baa1 0 Baa1 [1] Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information. Source: Moody’s Investors Service

Ratings

Exhibit 6 Category Moody's Rating FCA BANK S.P.A. Outlook Stable(m) Counterparty Risk Rating Baa1/P-2 Bank Deposits Baa1/P-2 Baseline Credit Assessment ba1 Adjusted Baseline Credit Assessment baa3 Counterparty Risk Assessment Baa2(cr)/P-2(cr) Issuer Rating Baa1 FCA CAPITAL IRELAND P.L.C. Bkd Senior Unsecured Baa1 FCA BANK S.P.A., IRISH BRANCH Outlook Negative Counterparty Risk Rating Baa1/P-2 Counterparty Risk Assessment Baa2(cr)/P-2(cr) Senior Unsecured -Dom Curr Baa1 Commercial Paper P-2 FCA CAPITAL SUISSE SA Outlook Negative Bkd Senior Unsecured -Dom Curr Baa1 Source: Moody's Investors Service

Endnotes 1 Corporate family rating. 2 The bank's ratings shown are deposit rating, senior unsecured debt rating (where available) and BCA. 3 Italian government strengthens support for economy and banks amid coronavirus, 9 April 2020. 4 We consider “problem loans” as the sum of the three categories that Italian banks have been reporting since 2015 (from most to least problematic): (1) bad loans (in Italian, “sofferenze”): loans to insolvent borrowers; (2) unlikely to pay (in Italian, “inadempienze probabili”); and (3) past due by more than 90 days and not already included in the previous two categories (in Italian, “esposizioni scadute e/o sconfinanti”). 5 European Banking Authority, Risk Dashboard data as of Q2 2020. 6 Source: , Financial Stability Report. 7 See our Sector Comment Italy fines nine financial captives of Europe's largest carmakers, a credit negative, January 2019.

9 23 October 2020 FCA Bank S.p.A.: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

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Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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10 23 October 2020 FCA Bank S.p.A.: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

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11 23 October 2020 FCA Bank S.p.A.: Update to credit analysis