DBRS Assigns Rating to Cars Alliance Auto Loans France Master, Series 2015-07 Class A Notes

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) to the €181,700,000 Class A - Series 2015-07 Notes (the Notes) issued by Cars Alliance Auto Loans France Master (the Issuer).

The rating is assigned following the issuance of the Notes on the 27 July 2015 payment date. As of the payment date, all portfolio revolving conditions were met. Société Générale, S.A. (rated AA (low) by DBRS) acts as Account Bank for the transaction.

Additionally, DBRS has also taken the rating actions below:
-- Class A – Series 2015-02 Discontinued-Repaid
-- Class A – Series 2015-03 confirmed at AAA (sf)
-- Class A – Series 2015-04 confirmed at AAA (sf)
-- Class A – Series 2015-05 confirmed at AAA (sf)
-- Class A – Series 2015-06 confirmed at AAA (sf)

The confirmation of the ratings for the outstanding Series of the Class A Notes is based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of the July 2015 payment date
-- Current available credit enhancement to the Class A Notes sufficient to cover the expected losses assumed at the 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

The Issuer is a master trust securitisation backed by a pool of auto loan receivables related to new and used motor vehicles originated and serviced 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 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 closed on 25 May 2012. Since closing, replenishment of the underlying receivables has met the portfolio revolving conditions on each payment date.

Credit enhancement for the outstanding Series of the Class A Notes comes from the subordination of Class B Notes and the General Reserve Fund. Current credit enhancement of the Class A Notes is equal to 16.1%.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is:
“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.

Due to the inclusion of a revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents. These assumptions have not changed and consequently cash flow analysis was not conducted.

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.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary 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 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 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 rating action since assignment of the ratings on the Class A Notes to Series 2015-06 on 25 June 2015.

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

To assess the impact of the changing transaction parameters on the rating, DBRS considered the following stress scenarios 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 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 for each series of Class A notes would be expected to fall 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: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies 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

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.