DBRS Takes Rating Actions on Auto ABS2 Compartiment 2013-A

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the Class A Notes and Class B Notes (the Rated Notes) issued by Auto ABS2 Compartiment 2013-A (the Issuer):

-- EUR 223,262,950 Class A Notes confirmed at AAA (sf)
-- EUR 43,900,253 Class B Notes upgraded to AA (sf) from A (sf)

The ratings on the Rated Notes address the timely payment of interest and the ultimate payment of principal on or before the Final Legal Maturity Date in October 2022.

The above-mentioned rating actions reflect an annual review of the transaction and are based on the following analytical considerations:
-- The overall portfolio performance as of the September 2016 payment date, particularly with regards to the low levels of delinquencies and gross cumulative defaults.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms and conditions of the Notes.
-- The current available credit enhancement to the Class A and Class B Notes to cover expected losses assumed in line with the AAA (sf) and AA (sf) rating levels, respectively.

The Issuer is a securitisation collateralised by a pool of vehicle operating lease contracts granted by Compagnie Générale de Crédit aux Particuliers SA (Crédipar) to French private commercial companies. The transaction closed in October 2013 and had a 24-month revolving period that ended in October 2015.

The portfolio is composed exclusively of receivables derived from Auto Long Term Lease Contracts, exposing the transaction to Residual Value (RV) risk, which represented 71.41% of the portfolio balance as of the September 2016 payment date.

The portfolio is performing within DBRS’s expectations. As of the September 2016 payment date, 30 to 60 days and 60 to 90 days delinquencies were 0.28% and 0.12% of the portfolio balance, respectively. The cumulative gross default ratio was 1.84% of the aggregated original balance, with cumulative recoveries of 43.00%.

Credit enhancement for the Class A Notes (49.22%) is provided by the subordination of the more junior obligations (the Class B Notes, the Class C Notes and the Residual Units) and the General Reserve. Credit enhancement for the Class B Notes (38.98%) is provided by the subordination of the Class C Notes and the Residual Units and the General Reserve.

The General Reserve is available to cover senior expenses and missed interest payments on the Rated Notes and, upon the occurrence of an Accelerated Amortisation Event or the liquidation of the deal, to repay principal on the Notes. This account was funded at closing with EUR 9.19 million, and its target balance is equal to 1.25% of the aggregate principal balance of the Notes before their amortisation.

A swap structure is in place to hedge the interest rate mismatch between the Rated Notes, indexed to one-month Euribor, and the fixed interest rate payments from the collateral portfolio. BNP Paribas SA and Natixis S.A., London Branch are the Counterparties of the Interest Rate Swap Agreements; the DBRS Long Term Critical Obligations Rating at AA (high) and the private rating of Natixis S.A., London Branch comply with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

In November 2015, Natixis S.A. replaced BNP Paribas Securities Services SCA as Account Bank of this transaction. The DBRS private rating of Natixis S.A. 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.

In November 2015, following the Account Bank replacement of the transaction, DBRS conducted a review of the related amended documentation. A review of any other transaction legal documents was not conducted as they have remained unchanged since the most recent rating action.

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 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 France Titrisation (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 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.

The last rating action on this transaction took place on 30 October 2015, when DBRS confirmed the ratings assigned to the Class A Notes and Class B Notes at AAA (sf) and A (sf), respectively.

The lead responsibilities for this transaction have been transferred to Joana Seara da Costa.

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, DBRS considered the following stress scenarios compared with the parameters used to determine the ratings (the Base Case):

-- Probability of Default (PD): Base Case of 5.53%, a 25% and 50% increase on the Base Case PD
-- Loss Given Default (LGD): Base Case of 45.39%, a 25% and 50% decrease on the Base Case LGD
-- Residual Value (RV) Loss: Base Case of 39.20% for the Class A Notes and 33.50% for the Class B Notes.

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

For further information on DBRS historic 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: Bruno Franco
Initial Rating Date: 31 October 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Joana Seara da Costa, Senior 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.

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

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.