DBRS Assigns Ratings to Cars Alliance Auto Loans France Master Series 2014-9 Class A

DBRS Ratings Limited (“DBRS”) has reviewed the Notes issued by Cars Alliance Auto Loans France Master (the “Issuer”) and:

• Confirmed the ratings of the Class A Notes Series 2013-11 at AAA (sf).
• Confirmed the ratings of the Class A Notes Series 2013-14 at AAA (sf).
• Confirmed the ratings of the Class A Notes Series 2014-3 at AAA (sf).
• Confirmed the ratings of the Class A Notes Series 2014-7 at AAA (sf).

The confirmation of the ratings for the outstanding Series of the Class A Notes is based upon the following analytical consideration, as described more fully below:

• Portfolio Revolving conditions being satisfied.
• Currently available credit enhancement to the Class A Notes being sufficient to cover expected losses assumed in line with a AAA (sf) rating level.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.

DBRS also has assigned an AAA (sf) rating to the EUR 135.9 million Series 2014-9 Class A Notes (the “Notes”) issued by the Issuer. The rating is assigned following the issuance of the Notes on the 25 July 2014 payment date. Additionally, DBRS has discontinued the AAA (sf) rating to the Series 2014-8 Class A Notes due to full repayment.

The Issuer is a master trust securitisation backed by a pool of auto loans receivables related to new and used motor vehicles originated in France by DIAC S.A., a French subsidiary of RCI Banque. The transaction revolving period extends until the July 2016 payment date, subject to certain portfolio revolving conditions being met. During the revolving period the Issuer may acquire additional receivables and issue further Series of Notes with different expected maturities based on the amortisation profile of the additional receivables. The transaction originally closed on 25 May 2012. Since closing, replenishment of the underlying receivables has met the portfolio revolving conditions on each payment date.

As of the 25 July 2014 payment date, the below 90 days delinquency ratio was 0.93%. The cumulative gross default ratio was at 0.99% of the aggregated collateral balance with a recovery rate of 51.67% up to date. Loans are classified as defaulted as soon as they remain unpaid for more than 90 days.

Credit enhancement to the Class A Notes stems from the subordination of the Class B Notes (15.10%) and a Cash Reserve Fund (1%) and remain the same at the 16.10% closing level since the transaction is still in the revolving period. In fact, the condition precedents for the issuance of new Class A Notes is that the Class B issue amount must be equal to 15.10% of the performing receivables discounted balance.

The transaction benefits from a Liquidity Reserve Fund available to cover any shortfall in senior expenses and/or Class A Notes interest payments. The required amount of this reserve is set at 1% of the outstanding balance of the notes and will be allowed to cover principal shortfall under the accelerated amortisation period. As at the last payment date, the reserve is at its target level and stands at EUR 9.8 million.

Societe Generale, S.A. holds the Treasury Account for the transaction. The DBRS private rating of Societe Generale, S.A. complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions

Notes:
All figures are in Euros unless otherwise noted.
The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securitisations.

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

This can be found on www.dbrs.com at:
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 monthly investor reports provided by EuroTitrisation (the “FCT Management Company”). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This is the first DBRS rating on the Series 2014-9 Class A Notes and this is a newly created financial instrument.

This is the first rating action since assignment of the ratings on the Series 2014-8-Class A Notes on 25 June 2014.

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 portfolio based on a review of historical data. Additionally, given the revolving nature of the portfolio DBRS assumed the most conservative distribution given the portfolio concentration limits under the transaction documentations. 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 portfolio for the Issuer are 5.06% and 55.05%, respectively.

• The Risk Sensitivity below illustrates the ratings expected for each Series of Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumptions. For example, if the LGD increases by 50%, the rating for each Series of Class A Notes would be expected to fall to A (sf), all else being equal. If the PD increases by 50%, the rating for each Series of Class A Notes would be expected to fall to A (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating to each Series of Class A Notes would be expected to all to BBB (sf), all else being equal.

Class A Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of AA (sf).
• 50% increase in LGD, expected rating of A (sf).
• 25% increase in PD, expected rating of AA (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, 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 BBB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Bruno Franco
Initial Rating Date: 25 May 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

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

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