DBRS Confirms Ratings on AUTO ABS3 FCT Compartiment 2014-1

DBRS Ratings Limited (DBRS) has today confirmed its ratings on the following notes issued by AUTO ABS3 FCT Compartiment 2014-1 (the Issuer):
-- EUR 397,300,000 Class A Notes: confirmed at AAA (sf)
-- EUR 22,800,000 Class B Notes: confirmed at A (high) (sf)

The confirmation of the ratings on the Class A and Class B notes is based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of the November 2015 payment date.
-- No Amortisation Events have occurred.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- Current available credit enhancement to the notes to cover expected losses assumed in line with the AAA (sf) rating level for the Class A Notes and the A (high) (sf) rating level for the Class B Notes.

The Issuer is a securitisation collateralised by a portfolio of auto loan receivables granted by Compagnie Générale de Crédit aux Particuliers (Crédipar) to retail clients resident in France. Effective since 2 February 2015, Crédipar is jointly indirectly owned by Santander Consumer Finance S.A. and Banque PSA Finance on an equal footing. The transaction closed in December 2014 and has a 25-month revolving period, ending in January 2017.

As of the November 2015 payment date, 30-60 day delinquencies and 60-90 day delinquencies were 0.22% and 0.10% of the principal outstanding balance, respectively, while delinquencies greater than 90 days were 0.10%. The cumulative gross default ratio was 0.28% of the aggregated original balance, with cumulative recoveries of 48.70%.

Credit Enhancement for Class A (8.06%) and Class B (2.73%) is provided by the subordination of the junior obligations, and from the General Reserve.

The transaction structure includes a General Reserve and a Commingling Reserve, funded at closing by Crédipar. The balance of the Reserve Accounts have been at their target level since the closing date.

A swap structure is in place to hedge the interest rate mismatch between the Class A and Class B notes, indexed to 1-month Euribor, and the fixed interest rate payments from the collateral portfolio. Abbey National Treasury Services plc and Société Générale, S.A. are the Counterparties of the Interest Rate Swap; the DBRS private rating of Abbey National Treasury Services plc and the rating of Société Générale, S.A. at A (high) comply with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

HSBC France SA is the Account Bank for this transaction, and BNP Paribas SA acts as Dedicated Account Bank. The DBRS private rating of HSBC France SA and the DBRS rating of BNP Paribas SA at AA (low) comply with the Minimum Institution Rating given the rating assigned to the notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

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 the asset and cash flow analysis were conducted for informational purposes.

DBRS conducted a review of the amendments following the change of control of Crédipar. The other transaction legal documents have remained unchanged since the most recent rating action, and were not reviewed.

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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.

The sources of information used for this rating include information provided by France Titrisation (the Management Company) and loan level data from the European DataWarehouse GmbH.

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 the Initial Rating Date.

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 the current assets. 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 3.30% and 45.50%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A and Class B 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 the Class A1 and Class A2 Notes would be maintained at AAA (sf), all else being equal. If the PD increases by 50%, the rating for the Class A Notes would be expected to follow to AA (high) (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating for the Class A Notes would be expected to follow to A (high) (sf), all else being equal.

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (high) (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 A (high) (sf)

Class B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (high) (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 BBB (high) (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (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: Eric Levassor
Initial Rating Date: 15 December 2014
Initial Rating Committee Chair: Chuck Weilamann

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
-- Operational Risk Assessment for European Structured Finance Originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

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.