DBRS Finalises Provisional Ratings on Autonoria 2019

DBRS Ratings Limited (DBRS) finalised its provisional ratings on the Class A Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes and Class F Notes (the Rated Notes) issued by Autonoria 2019, as follows:

-- AAA (sf) on the Class A Notes
-- AA (sf) on the Class B Notes
-- A (sf) on the Class C Notes
-- BBB (sf) on the Class D Notes
-- BB (sf) on the Class E Notes
-- B (sf) on the Class F Notes

The Class G Notes are not rated by DBRS.

The rating of the Class A Notes addresses the timely payment of scheduled interest and ultimate repayment of principal by the legal final maturity date. The ratings of the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes address the ultimate payment of scheduled interest while subordinated but timely payment of scheduled interest as the most-senior class and ultimate repayment of principal by the legal final maturity date.

The ratings are based on a review by DBRS of the following considerations:

-- The transaction capital structure, including form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS’s expected cumulative net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Rated Notes according to the terms of the transaction documents.
-- BNP PARIBAS Personal Finances capabilities with regard to originations, underwriting and servicing and its financial strength.
-- An operational risk review of the seller, which is deemed by DBRS to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality, diversification of the collateral and historical and projected performance of the seller’s portfolio.
-- The sovereign rating of the Republic of France, which is currently rated AAA with a Stable trend by DBRS.
-- 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 cash flow structure was analysed with 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.

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” methodology on: https://www.dbrs.com/research/350410/rating-sovereign-governments.

The sources of data and information used for these ratings include data sourced from BNP PARIBAS Personal Finance and provided through the arranger, BNP PARIBAS, as follows:

-- Quarterly static default data from Q3 2008 to Q2 2019,
-- Quarterly static recovery data from Q2 2008 to Q1 2019,
-- Monthly dynamic delinquency data from January 2014 to June 2019 and
-- Monthly dynamic prepayment data from September 2008 to June 2019.

DBRS was also provided with detailed stratification tables as at 30 June 2019.

DBRS did 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 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. These are the first DBRS ratings on this financial instrument.

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

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 ratings:

-- Expected default of 6.1%: A 25% and 50% increase.
-- Expected loss given default (LGD) of 71.4%: A 25% and 50% increase.

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 as follows:

-- Class A Notes: AA (sf), AA (low) (sf), AA (sf), AA (low) (sf), A (sf), AA (sf), AA (low) (sf), A (sf)
-- Class B Notes: A (high) (sf), A (sf), A (high), A (low) (sf), BBB (high) (sf), A (high) (sf), A (low) (sf), BBB (sf)
-- Class C Notes: BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (sf)
-- Class D Notes: BBB (sf), BB (high) (sf), BBB (low) (sf), BB (sf), B (high) (sf), BB (high) (sf), B (high) (sf), B (low) (sf)
-- Class E Notes: BB (low) (sf), B (sf), B (high) (sf), below B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf)
-- Class F Notes: B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf), below 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 U.S. regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 5 September 2019

DBRS Ratings Limited
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Registered and incorporated under the laws of 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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Derivative Criteria for European Structured Finance Transactions
-- 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

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