DBRS Assigns Rating to Cars Alliance Auto Loans France Master, Series 2018-11 and Discontinues Series 2018-07, Class A Notes

DBRS Ratings Limited (DBRS) assigned a rating of AAA (sf) to the EUR 77.9 million Series 2018-11, Class A notes issued by Cars Alliance Auto Loans France Master (the Issuer). The rating was assigned following the issuance of the notes on the 21 November 2018 payment date. As of the payment date, all portfolio revolving conditions were met. Additionally, DBRS discontinued its AAA (sf) rating on the EUR 101.1 million Series 2018-07, Class A notes as a result of the full repayment.

The rating addresses the timely payment of interest and the ultimate repayment of principal by the final legal maturity date in August 2030.

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 a further series of Class A 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.

PORTFOLIO PERFORMANCE
As at the November 2018 payment date, loans that were 30- to 60-days delinquent and 60- to 90-days delinquent were 0.8% and 0.3% of the portfolio net discounted balance, respectively. The cumulative gross default ratio was 1.6% of the aggregate original portfolios, with cumulative principal recoveries of 71.2% so far.

CREDIT ENHANCEMENT
Credit enhancement for the Class A notes is provided by the subordination of the Class B Notes and the cash reserve and currently stands at 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 – is consistent 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 ratings 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 “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 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 22 October 2018, when DBRS assigned a rating to the Series 2018-10 and 2018-10a, Class A notes and discontinued its rating on the Series 2018-06, 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.

For example, if the LGD increases by 50%, the rating on the Class A notes would be expected to decrease to AA (high) (sf), ceteris paribus. If the PD increases by 50%, the rating on the Class A notes would be expected to decrease to AA (high) (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A notes would be expected to decrease to A (high) (sf), ceteris paribus.

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 (low) (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 de Costa, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 25 May 2012

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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.

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