DBRS Finalises Provisional Ratings Assigned to E-CARAT S.A., acting for and on behalf of its Compartment 9

DBRS Ratings Limited (DBRS) has today finalised provisional ratings previously assigned to the Notes issued by E-CARAT S.A., acting for and on behalf of its Compartment 9 (E-CARAT 9, the Issuer) as follows:

-- Class A Notes: AAA (sf)
-- Class B Notes: AA (sf)

The transaction represents the issuance of Notes backed by approximately EUR 513,500,623 of receivables relating to auto loans originated in the Federal Republic of Germany by Opel Bank GmbH (Opel Bank) to retail and commercial customers. The receivables are serviced by Opel Bank.

The ratings are based on a review by DBRS of the following analytical considerations:
-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of subordination, excess spread and a cash reserve.
-- Credit enhancement levels are sufficient to support expected cumulative net loss assumptions projected under various stress scenarios at AAA (sf) and AA (sf) standard for the Class A and Class B Notes, respectively, issued by E-CARAT 9.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- Opel Bank’s capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral. DBRS conducted an operational review of Opel Bank and deems it to be an acceptable servicer.
-- 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 modelled in Intex DealMaker.

Notes:
All figures are in euros 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. These 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 commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include performance and portfolio data relating to the receivables sourced by Opel Bank through its agent, UniCredit Bank AG.

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 received the following sets of data sourced by Opel Bank through its agent, UniCredit Bank AG:
-- Static origination, prepayment and CNL data going back to January 2005 and up to April 2016; data was provided separately for used/new vehicles and amortising/balloon contracts.
-- Loan-level recovery data from 2013 to 2016.
-- Dynamic product level arrears data from January 2005 to April 2016.
-- Loan-level data representing the provisional pool and summarised stratification tables as at September 2016.
-- A theoretical amortisation of the selected pool.

DBRS considers the information available to it for the purposes of providing this rating to be 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.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 Rates Used: Base case PD of 2.70%, a 25% and 50% increase on the base case PD.
-- Recovery Rates Used: Base case Recovery Rate of 50%.
-- Loss given default (LGD): Base case LGD of 50%, a 25% and 50% increase on the base case LGD.

DBRS concludes that, for the Class A Notes:
-- A hypothetical increase of the base case PD or LGD by 25%, ceteris paribus, would each lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the base case PD or LGD by 50%, ceteris paribus, would each lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the base case PD by 50% and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD by 25% and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (high) (sf), respectively.

DBRS concludes that, for the Class B Notes:
-- A hypothetical increase of the base case PD or LGD by 25%, ceteris paribus, would not lead to a change in the ratings assigned to the Class B Notes.
-- A hypothetical increase of the base case PD or LGD by 50%, ceteris paribus, would each lead to a downgrade of the Class B Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (high) (sf).
-- A hypothetical increase of the base case PD by 50% and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf).
-- A hypothetical increase of the base case PD by 25% and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf).
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (high) (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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: Alex Garrod, Senior Vice President, Global Structured Finance
Initial Rating Date: 15 September 2016
Initial Rating Committee Chair: Chuck Weilamann, Managing Director, Head of U.S. ABS, Global Structured Finance

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

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

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.