DBRS Assigns Final Ratings to Auto ABS2 Compartiment 2013-A

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) final rating to the Class A Notes and an ‘A’ (sf) final rating to the Class B Notes issued by Auto ABS2 acting for and on behalf of its Compartment 2013-A. The receivables securitised consist of French lease receivables related to motor vehicles.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of subordination and a reserve fund. Credit enhancement levels are sufficient to support the DBRS projected expected cumulative net loss assumption under various stress scenarios at AAA (sf) standard for the Class A Notes and at 'A' (sf) standard for the Class B Notes issued by Auto ABS2 acting for and on behalf of its Compartment 2013-A.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties' capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is:
• Rating European Consumer and Commercial Asset-Backed Securitisations.

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

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include performance data relating to the receivables provided by Crédipar via the Arrangers, BNP Paribas and Natixis. DBRS received historical performance data relating to Crédipar originations by monthly vintage on a default and recovery basis going back to 2005-Q4. Data was also provided relating to prepayments, delinquencies, vehicle return realisation rates and portfolio stratification tables that allowed DBRS to further assess the portfolio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the 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”):

• Probability of Default Rate Used: Base Case PD of 5.63%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base case Recovery Rate of 54.41%.
• Residual Value Loss: For Class A, a Base Case of 30% and for Class B, a Base Case of 20%. In both instances a 25% and 50% increase in Residual Value Loss.

DBRS concludes that for the Class A Notes:

• A hypothetical increase of the base case PD by 25% or 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 25% or 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.

DBRS concludes that for the Class B Notes:

• A hypothetical increase of the base case PD by 25% or 50%, ceteris paribus, would lead to the Class B Notes maintaining an A(sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 25% or 50%, ceteris paribus, would lead to the Class B Notes maintaining an A(sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to the Class B Notes maintaining an A(sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to the Class B Notes maintaining an A(sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to the Class B Notes maintaining an A(sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to the Class B Notes maintaining an A(sf) rating.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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 regulations only.

Initial Lead Analyst: Bruno Franco
Initial Rating Date: October 29 2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

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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.
• Unified Interest Rate Model Methodology for European Securitisations.