DBRS Assigns Rating to Cars Alliance Auto Loans France Master, Series 2016-07 Class A Notes, Discontinues Series 2016-02 Class A Notes and Confirms Remaining Series of Notes

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) to the EUR 122,300,000 Series 2016-07 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 21 July 2016 payment date. As of the payment date, all portfolio revolving conditions were met.

Additionally, DBRS has also taken the rating actions below:
-- EUR 109,300,000 Series 2016-02 Class A Notes: Discontinued-Repaid;
-- EUR 160,100,000 Series 2016-03 Class A Notes: Confirmed at AAA (sf);
-- EUR 341,600,000 Series 2016-04 Class A Notes: Confirmed at AAA (sf);
-- EUR 169,900,000 Series 2016-05 Class A Notes: Confirmed at AAA (sf);
-- EUR 311,900,000 Series 2016-06 Class A Notes: Confirmed at AAA (sf).

The rating action reflects the issuance of Series 2016-07 Class A Notes by the Issuer and an annual review of the transaction, based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of the July 2016 payment date, in line with DBRS’s expectations.
-- No Revolving Termination 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.
-- The 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.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal payable on or before the Legal Maturity Date in August 2031.

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 June 2020 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’s revolving conditions on each payment date.

As of the July 2016 payment date, one- to two-month delinquencies and two- to three-month delinquencies were 0.66% and 0.20% of the portfolio discounted balance, respectively. The cumulative gross default ratio was 1.16% of the aggregated original balance, with cumulative recoveries of 64.95%.

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 14.8%.

Société Générale, S.A. is the Account Bank for this transaction, and Crédit Industriel et Commercial acts as Servicer Collection Account Bank. The Account Bank reference rating of AA (low) – being one notch below the DBRS Long Term Critical Obligations Rating of Société Générale, S.A. at AA – complies with the Minimum Institution Rating, given the rating assigned to the Class A 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.

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction, and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

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 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 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 these ratings 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 includes a newly issued financial instrument: the Series 2016-07 Class A Notes. The last rating action on this Issuer took place on 21 June 2016, when DBRS assigned ratings to the Series 2016-06 Class A Notes and discontinued the rating on the Series 2016-01 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 4.80% and 48.44%, 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 (high) (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 (high) (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 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)

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: 21 May 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Joana Seara da Costa, Financial Analyst
Rating Committee Chair: Chuck Weilamann, Managing Director

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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 Originators
-- 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.