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) took the following rating actions on the bonds issued by 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, together the Issuers):

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

E-CARAT 9
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)

The ratings of the Class A Notes and Class B Notes of both transactions address the timely payment of interest and ultimate payment of principal on or before the legal final maturity dates.

The rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performances, in terms of delinquencies, defaults and losses as of the July 2018 payment dates.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancements to the 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 standard amortising and balloon loan products granted for the purchase of new and used motor vehicles. The securitised portfolios did not include lease contracts,meaning the Issuers are not directly exposed to residual value risk deriving from 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
E-CARAT 8
As of June 2018, loans that were two- to three-months in arrears represented 0.1% of the outstanding portfolio balance as in June 2017. The 90+ delinquency ratio was 0.3%, up from 0.1% in June 2017. The cumulative default ratio was 0.5%, up from 0.3% in June 2017.

E-CARAT 9
As of June 2018, loans that were two- to three-months in arrears represented 0.08% of the outstanding portfolio balance, up from 0.05% in June 2017. The 90+ delinquency ratio was 0.15%, up from 0.07% in June 2017. The cumulative default ratio was 0.33%, up from 0.04% in June 2017.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions for both transactions. For E-CARAT 8, the updated base case PD and LGD are 2.5% and 50.0%; for E-CARAT 9, the respective updated assumptions are 2.7% and 50.0%.

CREDIT ENHANCEMENT
E-CARAT 8
As of the July 2018 payment date, credit enhancement to the Class A Notes was 61.7%, up from 17.9% at the July 2017 payment date. Credit enhancement to the Class B Notes was 37.2%, up from 10.7% at the July 2017 payment date. The transaction benefits from a liquidity reserve fund of EUR 0.6 million and a commingling reserve fund of EUR 10.4 million; both reserves are at their target levels.

E-CARAT 9
As of the July 2018 payment date, credit enhancement to the Class A Notes was 16.2%, up from 10.4% at the July 2017 payment date. Credit enhancement to the Class B Notes was 10.6%, up from 6.8% at the July 2017 payment date. The transaction benefits from a liquidity reserve fund of EUR 2.9 million and a commingling reserve fund of EUR 11.3 million; both reserves are at their target levels.

The liquidity reserves of both transactions were funded at closing through subordinated loans granted by OPEL Bank GmbH and are available to cover expenses, senior fees and interest shortfalls of Class A and Class B Notes.

Elavon Financial Services DAC, UK Branch acts as account bank for E-Carat 8. DBRS’s private rating of the account bank is consistent with the minimum institution rating, given the ratings assigned to the rated 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 is consistent with the minimum institution rating, given the ratings assigned to the rated 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 is consistent 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 the “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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include monthly reports provided by GM Financial International Treasury and loan-level data provided by 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 analyses for both transactions.

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 these transactions took place on 7 August 2017, when DBRS confirmed its AAA (sf) rating of the Class A Notes and upgraded its rating of the Class B Notes issued by E-CARAT 8 to AA (high) (sf) from AA (sf). On the same day, DBRS confirmed its rating of the Class A Notes and Class B Notes issued by E-CARAT 9 at AAA (sf) and AA (sf), respectively.

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following
stress scenarios as compared with the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a lifetime base case PD and LGD for the pool 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 loans for the E-CARAT 8 are 2.5% and 50.0%,
respectively, and for E-CARAT 9 are 2.7% and 50.0%, 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. Taking E-CARAT 8 as example, if the LGD increases
by 50%, the rating of the 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 of 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 of
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)

E-CARAT 8 Class B 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)

E-CARAT 9 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 AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

E-CARAT 9 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 A (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/cerepweb/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Ilaria Maschietto, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
E-CARAT 8 Initial Rating Date: 16 July 2015
E-CARAT 9 Initial Rating Date: 15 September 2016

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The rating methodologies used in the analyses of these transactions 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions

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.

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