DBRS Finalises Ratings Assigned to E-CARAT 6 plc

DBRS Ratings Limited (DBRS) has today finalised provisional ratings previously assigned to E-CARAT 6 plc. (the issuer) as follows:

-- Class A Notes: AAA (sf);
-- Class B Notes: AA(low) (sf).

The notes are backed by a £352 million pool of receivables related to motor vehicle loan contracts originated by GMAC (UK) plc (GMAC).

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

-- Transaction’s capital structure and form and sufficiency of available credit enhancement.
-- Credit enhancement in the form of subordination from the Class B Notes, overcollateralisation and a fully funded liquidity reserve from the issuance date.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at a AAA (sf) and AA(low) (sf) standard for the Class A Notes and Class B Notes respectively.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- GMAC’s experience as an originator, underwriter and servicer and the financial strength of the multinational motor company they are a part of.
-- The credit quality of the underlying collateral and the ability of GMAC to perform collection 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 DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modeled in Intex DealMaker.

Notes:
All figures are in GBP unless otherwise noted.

The principal methodology applicable is: “Rating European Consumer and Commercial Asset-Backed Securitisations”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

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 these ratings include performance data relating to receivables provided by GMAC directly or through their agent, Bank of America Merrill Lynch. DBRS received historical gross loss and net loss data relating to GMAC originations by quarterly vintages on a cumulative basis dating back to 2004. Data was also provided relating to delinquencies, prepayment. Prepayment data was provided on the securitised portfolios originated by GMAC. A detailed summary and an amortisation schedule were provided for the portfolio selected by GMAC as at 31 March 2016 that 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 rely upon third-party due diligence in order to conduct its analysis.

DBRS has been supplied with third-party assessments. However, this did not impact the rating analysis.

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.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These ratings were disclosed to GMAC and Bank of America Merrill Lynch.

These ratings concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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

-- Probability of Default (PD): Base Case of 3.08%, a 25% and 50% increase on Base Case PD
-- Residual Value (RV) Loss: Base Case of 45.78% for the Class A Notes, and 37.46% for the Class B Notes. In both scenarios a 25% and 50% increase in RV Loss was applied

DBRS concludes that for the Class A Notes:

-- A hypothetical increase of the PD and LGD rates by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the PD and LGD rates by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, and a hypothetical increase of the PD and LGD Rates by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (high) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, and a hypothetical increase of the PD and LGD Rates by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50%, and a hypothetical increase of the PD and LGD Rates by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf)
-- A hypothetical increase of the RV Loss Rate by 50% and a hypothetical increase of the PD and LGD Rates by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)

DBRS concludes that for the Class B Notes:

-- A hypothetical increase of the PD and LGD rates by 25%, ceteris paribus, would lead to the Class B Notes maintaining a AA(low) (sf) rating
-- A hypothetical increase of the PD and LGD rates by 50%, ceteris paribus, would lead to the Class B Notes maintaining a A (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a A (high) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25% and a hypothetical increase of the PD and LGD Rate by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a A(low) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25% and a hypothetical increase of the PD and LGD Rate by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to a BBB (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to a A(low) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50% and a hypothetical increase of the PD and LGD Rate by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a BBB (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50% and a hypothetical increase of the PD and LGD Rate by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to 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: Paolo Conti
Initial Rating Date: 15 March 2016
Initial Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction are listed below:

--Rating European Consumer and Commercial Asset-Backed Securitisations (30 September 2015)
--Legal Criteria for European Structured Finance Transactions (19 February 2016)
--Derivative Criteria for European Structured Finance Transactions (19 February 2016)
--Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
--Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 October 2015)

The rating methodologies used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies

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