DBRS Upgrades and Confirms Its Ratings of E-CARAT S.A., acting for and on behalf of its Compartment 9

DBRS Ratings GmbH (DBRS) confirmed its rating of the Class A Notes at AAA (sf) and upgraded its rating of the Class B Notes to AAA (sf) from AA (high) (sf), issued by E-CARAT S.A., acting for and on behalf of its Compartment 9 (E-CARAT 9 or the Issuer).

The ratings address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performances, in terms of delinquencies, defaults and losses as of the July 2019 payment date.
-- 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 9 is the securitisation of automotive loan contracts comprising standard amortising and balloon loan products granted for the purchase of new and used motor vehicles. The securitised portfolios do not include lease contracts, meaning the Issuer is not directly exposed to residual value risk deriving from a borrower put option or purchase obligation. The pool is originated and serviced by OPEL Bank GmbH, and the deal closed in October 2016.

PORTFOLIO PERFORMANCE
As of the July 2019 payment date, loans that were two- to three-months in arrears represented 0.1% of the outstanding portfolio balance, which is stable from 0.1% in July 2018. The 90+ delinquency ratio was 0.2%, up from 0.1% in July 2018. The cumulative default ratio was 0.6%, up from 0.3% in July 2018.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions. The updated PD and LGD assumptions are 16.7% and 50.0% at the AAA (sf) rating level, respectively.

CREDIT ENHANCEMENT
As of the July 2019 payment date, credit enhancement to the Class A Notes was 43.9%, up from 16.2% as at the July 2018 payment date. Credit enhancement to the Class B Notes was 28.7%, up from 10.6% as at the July 2018 payment date.

The transaction benefits from a liquidity reserve fund of EUR 0.9 million and a commingling reserve fund of EUR 11.3 million; both reserves are at their target levels.

The liquidity reserve was funded at closing through subordinated loans granted by OPEL Bank GmbH and is available to cover expenses, senior fees and interest shortfalls of Class A and Class B Notes.

Citigroup Global Markets Deutschland AG acts as account bank for the transaction, while Citibank N.A. (New York) acts as account bank guarantor. Based on the DBRS rating of the account bank guarantor, the downgrade provisions outlined in the transaction documents and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with 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 the transaction 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 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: https://www.dbrs.com/research/333487/rating-sovereign-governments.

The sources of data and information used for these ratings include monthly reports provided by Vauxhall Finance Plc 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.

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 this transaction took place on 6 August 2018, when DBRS confirmed its rating on the Class A Notes at AAA (sf) and upgraded its rating on the Class B Notes to AA (high) (sf) from AA (sf).

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 PD and LGD of the current pool of loans for the AAA (sf) rating level is 16.7% 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. 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).

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 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)

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/cerep-web/statistics/defaults.xhtml.

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

Lead Analyst: Ilaria Maschietto, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 15 September 2016

DBRS Ratings GmbH
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Geschäftsführer: Detlef Scholz
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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.