DBRS Assigns Rating to Cars Alliance Auto Loans France Master, Series 2016-01 Class A Notes

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) rating to the EUR 209,100,000 Series 2016-01 Class A Notes issued by Cars Alliance Auto Loans France Master (the Issuer). The rating is assigned following the issuance of the Notes on the 25 January 2016 payment date. As of the payment date, all portfolio revolving conditions were met.

Additionally, DBRS has discontinued the AAA (sf) rating of the EUR 181,700,000 Series 2015-07 Class A Notes because of full repayment.

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’s 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.

As of the January 2016 payment date, one to two months delinquencies and two to three months delinquencies were 0.56% and 0.20% of the portfolio net discounted balance, respectively. The cumulative gross default ratio was 1.16% of the aggregated original balance, with cumulative recoveries of 67.04%.

Credit enhancement for the outstanding Series of the Class A Notes comes from the subordination of the Class B Notes and the General Reserve Fund. Current credit enhancement of the Class A Notes is equal to 16%.

Société Générale, S.A. is the Account Bank for this transaction. The DBRS rating of Société Générale, S.A. at A (high) complies 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”.

In DBRS’s opinion, the changes under consideration do not require the application of the entire principal methodology. Given the Master Trust structure of the transaction, the asset portfolio complying with the composition limits set forth in the transaction legal documents, and current transaction performances, no asset or cash flow analysis were conducted.

A review of the transaction’s 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 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 these ratings include monthly investor reports provided by Eurotitrisation (the 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 rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument. The last rating action on this transaction took place on 29 December 2015, when DBRS assigned ratings to the then newly issued Series 2015-12 Class A Notes.

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

To assess the impact of changing transaction parameters on the rating, at closing 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 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
-- Operational Risk Assessment for European Structured Finance Originators
-- 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.