DBRS Assigns Rating to Cars Alliance Auto Loans Germany Master Series 2014-21 Class A

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the EUR 304.1 million Series 2014-21 Class A Notes (the Notes) issued by Cars Alliance Auto Loans Germany Master (the Issuer) and has placed the rating Under Review with Negative Implications. The rating is assigned following the issuance of the Notes on the 20 July 2015 payment date. As of the payment date, all portfolio revolving conditions were met. HSBC France S.A. serves the role of Account Bank for the transaction. HSBC France S.A. complies with the DBRS legal criteria for the ratings of the Class A Notes.

Additionally, DBRS has discontinued the AAA (sf) rating on the Series 2014-16 Class A Notes due to full repayment. DBRS assigned an Under Review - Negative status to the Series 2014-16 Class A Notes on 29 May 2015 as a result of the review of the potential impact on certain ratings of European Structured Finance transactions stemming from the review of the credit DBRS gives to systemic support when assigning and monitoring financial institutions ratings in Europe.

The Issuer is a master trust securitisation backed by a pool of receivables that consist of auto loans related to new and used motor vehicles originated in Germany by RCI Banque S.A. Niederlassung Deutschland, a German subsidiary of RCI Banque. The transaction revolving period extends until the March 2018 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 18 March 2014. At the first payment date, replenishment of the underlying receivables met the portfolio revolving conditions.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

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

This may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include investor reports provided by Crédit Agricole Corporate and Investment Bank.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information made available to it for the purposes of providing this rating to have been 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 rating action since assignment of the ratings on the Class A Notes Series 2014-20 on 18 June 2015.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of 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):

-- 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 2.92% and 54.32%, 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 AA (low) (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 AA (low) (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 fall to A (low) (sf), all else being equal.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf).
-- 50% increase in LGD, expected rating of AA (low) (sf).
-- 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in PD, expected rating of AA (low) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (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: Paolo Conti
Initial Rating Date: 18 March 2014
Initial Rating Committee Chair: Chuck Weilamann

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.

-- 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.

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.