DBRS Upgrades Consumer Auto Receivables Finance Limited

DBRS Ratings Limited (“DBRS”) has reviewed Consumer Auto Receivables Finance Limited (the “Issuer”) and taken the following rating actions:
• Class D Notes upgraded to AAA (sf) from A (sf)
• Class E Notes upgraded to AA (sf) from BBB (sf)
• Class F Notes upgraded to A (sf) from BB (sf)

Additionally, DBRS has discontinued the AA (sf) rating to Class C Notes due to full repayment on the 24 April 2014 payment date.

The upgrade of the rating for the Class D, Class E and Class F Notes is based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of the 24 April 2014 payment date.
• Current available credit enhancement to the Class D, Class E and Class F Notes to cover the Expected Losses at the AAA (sf), AA (sf) and A (sf) rating level, respectively.

Consumer Auto Receivables Finance Limited is a securitisation of receivables which consists of performing consumer and commercial auto and equipment leases as well as personal loans originated in Ireland by Permanent and Blue Cube (former Internet personal loan originating arm of Permanent). In addition, a small portion of the Collateral is represented by hire purchase and lease contracts with corporates and individuals for new and used agricultural and other moving equipment and machinery as well as small amount of loans secured by land, mobile homes and motorcycles.

As of the 24 April 2014 payment date, the current 90+ delinquency ratio was 6.35%. The gross cumulative default ratio (loans being unpaid for more than 90 days) was 4.02% of the original collateral balance, in line with our initial DBRS expectations.

Credit enhancement for the rated transaction (as a percentage of the collateral balance) consists of subordination of the junior Classes and excess spread, if available. Credit enhancement has increased following the repayment in full of the Class A, Class B and Class C Notes currently stand at 89.10%, 81.50% and 74.70% for the Class D, Class E and Class F Notes, respectively.

The transaction also benefits from a Liquidity Reserve in place in order to meet any shortfall on the senior expenses and/or interest on the rated notes. The required amount is the sum of the expected interest payment on the rated notes for the next two months. The reserve is at its target level and stands at EUR 96.6 thousands as of April 2014.

Deutsche Bank AG/London holds the Treasury Account for the transaction. The DBRS private ratings of Deutsche Bank AG/London complies with the threshold for the Account Bank given the rating assigned to the Class D Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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:
http://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: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Deutsche Bank AG/London (the Paying Agent) and servicer reports provided by First Citizen Finance Limited (the Servicer). 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.

The last rating action on this transaction took place on 16 January 2014, when DBRS discontinued the rating of AAA (high) (sf) to Class B Notes due to full repayment.

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”):
• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case PD and LGD of the current pool of receivables are 8.95% and 82.0%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class D Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class D Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class D Notes would be expected to remain at AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class D Notes would be expected to remain at to AAA (sf), all else being equal.

Class D Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class E Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (sf)
• 50% increase in LGD, expected rating of AA (sf)
• 25% increase in PD, expected rating of AA (sf)
• 50% increase in PD, expected rating of AA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class F Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of A (sf)
• 50% increase in LGD, expected rating of A (sf)
• 25% increase in PD, expected rating of A (sf)
• 50% increase in PD, expected rating of A (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of A (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: Sergey Moiseenko
Initial Rating Date: 10 April 2013
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
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Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

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

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