DBRS Assigns New Ratings to Auto ABS3 FCT Compartiment 2014-1

DBRS Ratings Limited (DBRS) has today assigned AAA (sf) and A(high) (sf) ratings respectively to the Class A Notes and the Class B Notes issued by Auto ABS3 FCT acting through its Compartment 2014-1. The Notes are backed by a pool of receivables related to loans granted for the purchase of either new or used motor vehicles by Compagnie Générale de Crédit aux Particuliers (Crédipar) to French retail clients.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of a fully funded cash reserve of €3,900,000 and subordination. In particular Class A Notes benefit from €22,800,000 subordination of Class B Notes and €9,900,000 subordination of Class C Notes, whereas Class B Notes benefit from €9,900,000 subordination of Class C Notes. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at AAA (sf) standard for the Class A Notes and at A(high) (sf) for the Class B Notes.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The credit quality of the collateral and ability of the Servicer to manage collections activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in euro 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 and can be found at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

DBRS received all relevant information and communication in relation to the data used for this rating from Crédipar and Banque PSA Finance SA through the transaction arrangers Banco Santander SA and Société Générale SA. DBRS received historical default and recovery data relating to Crédipar originations by quarterly vintage going back to Q2 2004, and dynamic historical data related to prepayments and delinquencies. DBRS was also provided with detailed stratification tables and an indicative amortization schedule of the initial portfolio, which allowed DBRS to further assess the collateral. 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 rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 with the parameters used to determine the rating (the Base Case):

• Probability of Default (PD) Rate Used: Base Case PD of 3.30%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base Case Recovery Rate of 45.5%,
• Loss Given Default (LGD) Rate: Base Case LGD of 54.5%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a downgrade of the Class A Notes rating.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).

DBRS concludes that for the Class B Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes rating to “A” (sf).
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (high) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (high) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Eric Levassor
Initial Rating Date: December 15, 2014
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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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.

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