DBRS Finalises Provisional Ratings on E-CARAT 10

DBRS finalised its provisional ratings on the following classes of notes (together, the Rated Notes) issued by E-CARAT 10 (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at AA (low) (sf)
-- Class D Notes at A (sf)
-- Class E Notes at BBB (low) (sf)
-- Class F Notes at BB (sf)
-- Class G Notes at B (high) (sf)

The Class H Notes are not rated by DBRS.

The Rated Notes are backed by a pool of retail auto loan receivables associated with a portfolio of loans related to new and used vehicles originated by Opel Bank GmbH (Opel Bank, the Seller and Servicer) and granted to German borrowers. The transaction includes a one-year revolving period where new receivables may be purchased by the Issuer subject to specific eligibility criteria and portfolio concentration limits.

The structure differs from previous E-CARAT transactions originated by Opel Bank in Germany in various ways including the incorporation of a mixed pro rata/(potentially sequential) amortisation mechanism during the normal redemption period.

The Issuer has been established by France Titrisation (the Management Company) and BNP Paribas Securities Services (the Custodian) in accordance with the applicable provisions of the French Monetary and Financial Code and the Issuer Regulations.

The ratings address timely payment of scheduled interest and ultimate repayment of principal by the legal final maturity date for the Class A Notes. The ratings address ultimate payment (then timely as the most senior class) of interest and ultimate repayment of principal by the legal final maturity date for the Class C, Class D, Class E, Class F notes and Class G Notes. The ratings are based on the following considerations:

• The transaction capital structure, including form and sufficiency of available credit enhancement;
• Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net losses and residual value losses under various stress scenarios;
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
• Opel Bank’s capabilities with regard to originations, underwriting, servicing and its financial strength;
• DBRS conducted an operational risk review of Opel Bank’s premises in Rüsselsheim, Germany and deems it to be an acceptable servicer;
• The transaction parties’ financial strength with regard to their respective roles;
• The credit quality of the collateral and historical and projected performance of the Seller’s portfolio.
• The sovereign rating of Germany, currently rated AAA with a Stable trend by DBRS; and
• The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that address the true sale of the assets to the Issuer.

The transaction was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is “Rating European Consumer and Commercial Asset Backed Securitisations”.

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

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis is based on the worst-case replenishment criteria set forth in the transaction legal documents.

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 “Global Methodology for Rating Sovereign Governments” at: http://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include performance and portfolio data relating to the receivables sourced by Opel Bank through its agent, BNP Paribas.

DBRS received static quarterly net loss data, dynamic monthly origination, outstandings, arrears and prepayments from January 2011 to February 2019 split by product and vehicle type and loan-level recovery data from 2017. DBRS also received loan-level data representing the final pool and summarised stratification tables.

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

DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers that the information available to it for the purposes of providing this rating was 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 newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS ratings, including definitions, policies and methodologies are 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 with the parameters used to determine the ratings:
-- Expected Default Rate Used: 2.3%: a 25% and 50% increase.
-- Loss Given Default (LGD) Used: 33%, a 25% and 50% increase in the applicable LGD.

Scenario 1: A 25% increase in the expected default.
Scenario 2: A 50% increase in the expected default.
Scenario 3: A 25% increase in the expected LGD.
Scenario 4: A 25% increase in the expected default and 25% increase in the expected LGD.
Scenario 5: A 50% increase in the expected default and 25% increase in the expected LGD.
Scenario 6: A 50% increase in the expected LGD.
Scenario 7: A 25% increase in the expected default and 50% increase in the expected LGD.
Scenario 8: A 50% increase in the expected default and 50% increase in the expected LGD.

DBRS concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), AA (low) (sf), AA (sf), AA (low) (sf), A (high) (sf).
-- Class B Notes: AA (sf), AA (low) (sf), AA (sf), A (high) (sf), A (sf), AA (low) (sf), A (sf), A (low) (sf).
-- Class C Notes: A (high) (sf), A (sf), A (high) (sf), A (low) (sf), BBB (high) (sf), A (low) (sf), BBB (high) (sf), BBB (sf).
-- Class D Notes: BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), BBB (sf), BB (high) (sf), BB (sf).
-- Class E Notes: BB (high) (sf), BB (sf), BB (sf), BB (low) (sf), B (high) (sf), B (high) (sf), B (sf), B (low) (sf).
-- Class F Notes: BB (low) (sf), B (high) (sf), B (sf), B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf).
-- Class G Notes: B (high) (sf), B (low) (sf), B (high) (sf), B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (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: Alex Garrod, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 11 September 2019

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The rating methodologies and criteria 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
--Operational Risk Assessment for European Structured Finance Originators
--Interest Rate Stresses 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.