DBRS Assigns Rating to Cars Alliance Auto Loans Germany Master, Series 2014-48 Class A Notes, Discontinues Series 2014-37 Class A Notes and Confirms Remaining Series of Notes

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) to the EUR 178,500,000 Series 2014-48 Class A Notes issued by Cars Alliance Auto Loans Germany Master (the Issuer). The rating has been assigned following the issuance of the Notes on the 20 March 2017 payment date. As of the payment date, all portfolio revolving conditions were met.

Additionally, DBRS has also taken the rating actions below:
-- EUR 148,700,000 Series 2014-37 Class A Notes: Discontinued-Repaid
-- EUR 148,600,000 Series 2014-38 Class A Notes: Confirmed at AAA (sf)
-- EUR 141,500,000 Series 2014-40 Class A Notes: Confirmed at AAA (sf)
-- EUR 141,500,000 Series 2014-41 Class A Notes: Confirmed at AAA (sf)
-- EUR 141,600,000 Series 2014-42 Class A Notes: Confirmed at AAA (sf)
-- EUR 166,100,000 Series 2014-43 Class A Notes: Confirmed at AAA (sf)
-- EUR 171,600,000 Series 2014-44 Class A Notes: Confirmed at AAA (sf)
-- EUR 153,700,000 Series 2014-45 Class A Notes: Confirmed at AAA (sf)
-- EUR 153,700,000 Series 2014-46 Class A Notes: Confirmed at AAA (sf)
-- EUR 153,700,000 Series 2014-47 Class A Notes: Confirmed at AAA (sf)

The rating actions reflect the issuance of the Series 2014-48 Class A Notes by the Issuer and an annual review of the transaction, based upon the following analytical considerations:
-- The overall portfolio performance as of the March 2017 payment date, in particular with regard to low levels of cumulative net loss and delinquencies.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms and conditions of the Notes.
-- Updated base case default and recovery assumptions, considering the updated quarterly vintage performance data received by DBRS.
-- The current levels of credit enhancement available to the notes to cover expected losses assumed in line with the AAA (sf) rating level for the Class A Notes.
-- No Revolving Period Termination Events have occurred.

The ratings on the Class A Notes address the timely payment of interest and the ultimate payment of principal payable on or before the Final Legal Maturity Date in March 2031.

The Issuer is a master trust securitisation backed by a pool of auto loan receivables related to new and used motor vehicles originated in Germany by RCI Banque S.A. Niederlassung Deutschland, a German subsidiary of RCI Banque. The transaction’s revolving period extends until the March 2018 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 18 March 2014. Since closing, replenishment of the underlying receivables has met the portfolio revolving conditions on each payment date.

PORTFOLIO PERFORMANCE
As at the March 2017 payment date, one- to two-month delinquencies and two- to three-month delinquencies were 0.6% and 0.2% of the portfolio net discounted balance, respectively, while delinquencies greater than three months were 0.1%. The cumulative gross default ratio (as a percentage of the original portfolio and cumulative transferred receivables) was 0.5%, with principal cumulative recoveries of 66.8%.

BASE CASE ASSUMPTIONS
DBRS has received updated vintage performance data. With the updated data, DBRS recalibrated its base case assumptions of gross default and recovery. At the last review, the probability of default (PD) assumption was 2.9% and the loss given default (LGD) assumption was 54.3%. These assumptions have been updated to 2.7% and 49.2%, respectively.

CREDIT ENHANCEMENT
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 9.0%.

HSBC France S.A. is the main Account Bank for this transaction. The DBRS private ratings for HSBC France S.A. comply with the Minimum Institution Rating for 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 to the rating 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 surveillance section of the principal methodology.

An asset and a cashflow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal 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.

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 data and information used for this rating include investor reports provided by Eurotitrisation (the Management Company) and loan-level data from the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

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 20 February 2017, when DBRS assigned a rating to the Series 2014-45 Class A Notes, Series 2014-46 Class A Notes and Series 2014-47 Class A Notes.

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

To assess the impact of 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”):

-- 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 2.7% and 49.2%, 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 (sf), ceteris paribus. If the PD increases by 50%, the rating for each series of Class A Notes would be expected to fall to AA (sf), ceteris paribus. 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 (sf), ceteris paribus.

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (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.

Lead Analyst: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President

Initial Rating Date: 18 March 2014

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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.