DBRS Takes Rating Actions on E-CARAT S.A., acting for and on behalf of its Compartment 8 and E-CARAT S.A., acting for and on behalf of its Compartment 9

DBRS Ratings Limited (DBRS) has today taken rating actions on the E-CARAT S.A., acting for and on behalf of its Compartment 8 (E-Carat 8) and E-CARAT S.A., acting for and on behalf of its Compartment 9 (E-Carat 9) transactions as follows:

E-Carat 8:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)

E-Carat 9:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)

Today’s rating actions follow an annual review of the transactions and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults, as of the July 2017 payment date.
-- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions for the outstanding collateral portfolios.
-- The credit enhancement (CE) available to the rated notes to cover the expected losses at their respective rating levels.

E-Carat 8 and E-Carat 9 are two securitisations of automotive loan contracts comprising only standard amortising and balloon loan products granted for the purchase of new and used motor vehicles. There are no lease contracts contained within the portfolios and, therefore, the Issuer is not directly exposed to residual value risk through a borrower put option or purchase obligation. The pools are originated and serviced by OPEL Bank GmbH and the deals closed in August 2015 and October 2016, respectively.

PORTFOLIO PERFORMANCE
As of the July 2017 payment date, both portfolios were performing within DBRS’s expectations. For E-Carat 8, the 90+ delinquency ratio has been relatively stable over the year and it is currently at 0.10% of the collateral portfolio, while the current cumulative default ratio (as a percentage of the original portfolio balance) stands at 0.28%. For E-Carat 9, the 90+ delinquency ratio is currently at 0.07% of the collateral portfolio, while the current cumulative default ratio stands at 0.04%.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis on the outstanding pools and updated the PD and the LGD assumptions of the collateral portfolios. For E-Carat 8, the base case PD and LGD are 2.79% and 50.00%, respectively, while for E-Carat 9 they are 2.71% and 50.00%, respectively.

CREDIT ENHANCEMENT
The credit enhancement (CE) available to all rated notes has continued to increase as the transactions continue to deleverage. The sources of CE are provided by the overcollateralisation provided by the collateral portfolios and do not include the Liquidity Reserve. For E-Carat 8, the current CE available to the Class A and Class B Notes stands at 17.85% and 10.74%, respectively, in comparison with 11.23% and 6.76% a year ago. For E-Carat 9, the current CE available to the Class A and Class B Notes stands at 10.40% and 6.80%, respectively, versus 8.10% and 5.30% at closing.

The Liquidity Reserves were funded at closing through the subordinated loans provided by OPEL Bank GmbH and they are available to cover expenses, senior fees and any interest shortfall on Class A and Class B Notes. They are currently at their target levels of EUR 2.5 million for E-Carat 8 and EUR 5.8 million for E-Carat 9.

Elavon Financial Services DAC, UK Branch acts as Account Bank for E-Carat 8. DBRS’s private rating of the Account Bank complies with the minimum institution rating, given the ratings assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Citigroup Global Markets Deutschland AG acts as Account Bank for E-Carat 9, while Citibank N.A. (New York) acts as Account Bank Guarantor for the transaction. DBRS’s rating of the Account Bank Guarantor complies with the minimum institution rating, given the ratings assigned to the Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Crédit Agricole Corporate and Investment Bank is the Swap Counterparty to both transactions and has a DBRS private rating that complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology”.

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

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 these transactions 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 these ratings include a monthly report provided by GM Financial International Treasury and loan-by-loan data from the European DataWarehouse GmbH.

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

For E-Carat 8, at the time of the initial rating DBRS was not supplied with third-party assessments. For E-Carat 9, at the time of the initial rating DBRS was 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 these ratings to be of satisfactory quality.

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

The last rating action on E-Carat 8 took place on 18 August 2016, when the Class A and the Class B Notes were confirmed at AAA (sf) and AA (sf), respectively.

This is the first rating action on E-Carat 9 since the Initial Rating Date.

The lead analyst responsibilities for these transactions have been transferred to Ilaria Maschietto.

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 lifetime base-case PD and LGD for the portfolios 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.

-- For E-Carat 8, the base-case PD and LGD of the current collateral pool of receivables are 2.79% and 50.00%, respectively.
-- For E-Carat 9, the base-case PD and LGD of the current collateral pool of receivables are 2.71% and 50.00%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base-case assumption. For example, if the LGD increases by 50%, the rating on the E-Carat 8 Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A Notes would be expected to remain at AAA (sf).

E-Carat 8:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in LGD, expected rating of AAA (sf).
-- 25% increase in PD, expected rating of AAA (sf).
-- 50% increase in PD, expected rating of AAA (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf).

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf).
-- 50% increase in LGD, expected rating of AA (high) (sf).
-- 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in PD, expected rating of AA (high) (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 (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf).

E-Carat 9:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf).
-- 50% increase in LGD, expected rating of AA (high) (sf).
-- 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in PD, expected rating of AA (high) (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 (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf).

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in LGD, expected rating of A (high) (sf).
-- 25% increase in PD, expected rating of AA (low) (sf).
-- 50% increase in PD, expected rating of A (high) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of 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 and US regulations only.

Lead Analyst: Ilaria Maschietto, Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date for E-Carat 8: 16 July 2015
Initial Rating Date for E-Carat 8: 15 September 2016

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 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
-- Unified Interest Rate Model for European 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