DBRS Assigns Provisional Ratings to Cars Alliance Auto Loans Germany – V 2013-1

DBRS Ratings Limited (DBRS) has today assigned AAA (sf) provisional ratings and ‘A’ (high) (sf) provisional ratings respectively to the Class A notes and Class B notes to be issued by Cars Alliance Auto Loans Germany – V 2013-1 FCT. The receivables to be securitised consist of auto loans related to both used and new 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 a reserve fund and subordination. Credit enhancement levels are sufficient to support the DBRS projected expected cumulative net loss assumption under various stress scenarios at a AAA (sf) standard for the Class A Notes and a ‘A’(high) (sf) standard for the Class B Notes to be issued by Cars Alliance Auto Loans Germany – V 2013-1.
• 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.

The above mentioned ratings are provisional. Final ratings will be issued upon receipt of execution version of the governing Transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Notes or may avoid assigning final ratings to the Notes altogether.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the:
• 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 these ratings include performance data relating to the receivables provided by RCI Banque S.A. via the Arrangers and the Joint Lead Managers, HSBC France SA and Crédit Agricole Corporate and Investment Bank SA. DBRS received historical performance data relating to RCI Banque, German branch’s originations by quarterly vintage on a cumulative net loss basis going back to 2004. Data was also provided relating to delinquencies, prepayments and initial portfolio stratification tables that allowed DBRS to further assess the collateral. 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 DBRS 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 2.95%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base Case Recovery Rate of 47.13%.
• Loss Given Default (LGD): Base Case LGD of 52.87%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:
• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on Class A Notes.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘AA(high) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘AA (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘AA(low) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘AA(low) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to ‘A(high) (sf)’.

DBRS concludes that for the Class B Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in rating on the Class B Notes.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘A (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘A(low) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘A(low) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to ‘BBB (sf)’.

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: Paolo Conti
Initial Back-up Analyst: Bruno Franco
Initial Rating Date: November 14, 2013
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable as 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 for European Securitisations.