Morningstar DBRS Confirms Credit Ratings on the Class A Notes Issued by Cars Alliance Auto Loans France Master

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit ratings on the following outstanding series of Class A notes (together, the Class A Notes) issued by Cars Alliance Auto Loans France Master (the Issuer):

-- EUR 20.0 million Series 2025-04, Class A
-- EUR 52.2 million Series 2025-05, Class A
-- EUR 97.1 million Series 2025-06, Class A

The credit ratings on the Class A Notes address the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in August 2039.

Morningstar DBRS does not rate the Class B Notes also issued in this transaction.

The confirmations follow a review of the transaction and are based on the following analytical considerations:
-- The portfolio performance, in terms of delinquencies and defaults, as of the June 2025 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the collateral pool;
-- No revolving period termination events have occurred; and
-- The levels of credit enhancement to the Class A Notes to cover the expected losses at their AAA (sf) credit rating level.

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. (DIAC), a French subsidiary of RCI Banque SA. The transaction's revolving period extends until the July 2029 payment date, subject to certain portfolio conditions being met. During the revolving period, the Issuer may acquire additional receivables and issue further series of Class A Notes with different expected maturity dates.

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.

As of the June 2025 payment date, the aggregate balance of the outstanding series of the Class A Notes was EUR 171.6 million and the balance of the Class B Notes was EUR 23.2 million. The EUR 205.1 million discounted balance of the securitised portfolio (excluding defaulted receivables) consisted of auto loans granted to finance the purchase of new (26.4%) and used (73.6%) vehicles.

REVOLVING PERIOD
The revolving period is expected to end in July 2029. During the revolving period, the Issuer may acquire additional receivables and issue further series of notes with different expected maturities based on the amortisation profile of the additional receivables. The purchase of new receivables and the issuance of new series of notes is subject to certain conditions and limitations, including certain concentration limits and performance triggers in the portfolio and a minimum subordination ratio for the outstanding notes. The revolving period will end prematurely if these conditions are not met or in other events, such as the insolvency of the seller.

PORTFOLIO PERFORMANCE
As of the June 2025 payment date, loans that were one to two months delinquent and two to three months delinquent represented 1.0% and 0.2% of the portfolio discounted balance, respectively. The cumulative gross default ratio was 1.7% of the original portfolio and cumulative transferred receivables, with principal cumulative recoveries of 82.5% so far. The recoveries include repurchased amounts.

PORTFOLIO ASSUMPTIONS AND KEY CREDIT RATING DRIVERS
Morningstar DBRS maintained its base case probability of default (PD) and loss given default (LGD) assumptions in the four different cash flow scenarios to take the dynamic credit enhancement mechanism into consideration. Morningstar DBRS assumes the subordination of the Class B Notes to range from 5.3% to 14.8%, the PD assumptions to range from 2.3% to 3.6%, and the LGD assumptions to range from 53.0% to 56.7%. The assumptions are based on the potential portfolio migration and the replenishment criteria set forth in the transaction legal documents.

Morningstar DBRS elected mid-range core multiples. The inclusion of incremental balloon stresses means the derived adjusted multiple is above the higher range used at the AAA (sf) level.

CREDIT ENHANCEMENT
The subordination of the Class B Notes and a general reserve fund provide credit enhancement to the outstanding series of Class A Notes. The current credit enhancement available to the Class A Notes is 12.9%.

The structure includes an amortising cash reserve account, which is available to cover senior expenses and missed interest payments on the Class A Notes. This account is currently funded with EUR 1.9 million, with a target balance equal to 1.0% of the Class A and B Notes' aggregate balance.

Société Générale, S.A. acts as the account bank for the transaction. Based on the reference credit rating on Société Générale, S.A. at AA (low) (which is one notch below its Morningstar DBRS Long Term Critical Obligations Rating of AA), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to Société Générale, S.A. to be consistent with the credit rating assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings" at https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: "Master European Structured Finance Surveillance Methodology" (4 February 2025), https://dbrs.morningstar.com/research/447080.

Other methodologies referenced in this transaction are listed at the end of this press release.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/457952.

The sources of data and information used for these credit ratings include investor reports provided by EuroTitrisation SA (the management company) and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial credit ratings, Morningstar DBRS was not supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 24 June 2025, when Morningstar DBRS assigned a AAA (sf) credit rating to the Series 2025-06, Class A Notes and discontinued its AAA (sf) credit rating on the Series 2025-03, Class A Notes. The last annual review took place on 10 July 2024, when Morningstar DBRS confirmed its AAA (sf) credit rating on the Series 2024-03 a, 2024-03 b, 2024-04, 2024-05, 2024-06, Class A Notes, following transaction amendment.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar 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 Issuer are 3.6% and 56.0%, respectively. They are based on portfolio migration and Morningstar DBRS' most constraining cash flow scenario.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base-case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Pascale Kallas, Assistant Vice President
Rating Committee Chair: Mark Wilder, Senior Vice President
Initial Rating Date: 25 May 2012

DBRS Ratings GmbH
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D-60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196.
-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583.
-- Rating European Structured Finance Transactions Methodology (17 June 2025),
https://dbrs.morningstar.com/research/456339.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025), https://dbrs.morningstar.com/research/454196.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.