DBRS Assigns Rating to Cars Alliance Auto Loans France Master, Series 2017-08, Class A Notes and Discontinues Series 2016-10-2 and Series 2017-01, Class A Notes

DBRS Ratings Limited (DBRS) assigned a rating of AAA (sf) to the EUR 110,500,000 Series 2017-08, Class A notes issued by Cars Alliance Auto Loans France Master (the Issuer). The rating has been assigned following the issuance of the notes on the 21 August 2017 payment date. As of the payment date, all portfolio revolving conditions were met.

Additionally, DBRS discontinued the AAA (sf) rating of the EUR 44,600,000 Series 2016-10-2, Class A notes and EUR 71,400,000 Series 2017-01, Class A notes as a result of full repayment of the notes on 21 August 2017.

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 SA.

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 August 2017 payment date, one- to two-month delinquencies and two- to three-month delinquencies were 0.7% and 0.3% of the portfolio discounted balance, respectively. The cumulative gross default ratio (as a percentage of the original portfolio and cumulative transferred receivables) was 1.5% with cumulative principal recoveries of 60.9%.

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 for the Class A notes is equal to 14.8%.

Société Générale, S.A. is the Account Bank for this transaction. The account bank reference rating of AA (low) – 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 to the rating is: “Master European Structured Finance Surveillance Methodology”.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

In DBRS’s opinion, the changes under consideration do not warrant the application of the entire principal methodology. Given the master trust structure, no asset or cash flow analysis was conducted, as the asset portfolio complies with the composition limits set forth in the transaction legal documents, and current transaction performance is within expectations.

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 these ratings include monthly investor reports provided by Eurotitrisation (the Management Company).

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 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.

These ratings concern 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 21 July 2017, when DBRS assigned a rating to the Series 2017-07, Class A notes, discontinued the rating on the Series 2016-12, Class A notes and confirmed the remaining series of 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 4.8% and 51.6%, 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 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: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Senior Vice President

Initial Rating Date: 25 May 2012

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.

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- 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.