DBRS Confirms Ratings to FCT Cars Alliance Auto Loans France V2012-1

DBRS Ratings Limited (“DBRS”) has reviewed FCT Cars Alliance Auto Loans France V2012-1 (“the Issuer”) and confirms the rating of AAA (sf) to the Class A Notes.

Cars Alliance Auto Loans France V 2012-1 is a securitisation backed by a pool of receivables consisted of auto loans granted to French private and commercial customers secured by new and used vehicles, originated by DIAC S.A. (the “Seller”). The transaction initially comprised a one year revolving period which ended following the 25 November 2013 payment date. During the revolving period and subject to certain conditions being met, the Issuer purchased additional receivables from the Seller with proceeds which otherwise would have been used to repay the outstanding amount of Notes. On the 25 December 2013 payment date, the Class A Notes will begin to amortize.

Confirmation of the ratings for the Notes is based upon the following analytical considerations:

• Performance of the receivables is within DBRS expectations, in terms of defaults and level of delinquencies, as of the 25 November 2013 reporting date.
• Current available credit enhancement to Class A Notes to cover the expected losses at the AAA (sf) rating level.

The current level of delinquencies and defaults are low. As of the recent reporting date, the cumulative default ratio was 1.05%. Delinquencies less than 90 days were 0.92%.

Credit enhancement for the Class A Notes is provided by subordination of the Class B, a Reserve Fund of €8,092,000 and excess spread. Current credit enhancement for the Class A Notes as a percentage of the current balance of the Class A and Class B Notes is 14.50%, same level as the initial rating.

Société Générale S.A. is the Account Bank for the transaction. The DBRS public rating of Société Générale S.A. complies with the DBRS Legal Criteria for European Structured Finance Transactions given the rating of the Class A Notes.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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 investor reports provided by EuroTitrisation. 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.

The last rating action on this transaction took place on 26 November 2012, when DBRS assigned a final rating of AAA (sf) to the Class A Notes.

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”):
• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 4.964% and 55.21%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to be at AA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to be at AA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to be at A (sf), all else being equal.

Class A Risk Sensitivity:

• 25% increase in LGD, expected rating of AA (sf).
• 50% increase in LGD, expected rating of AA (sf).
• 25% increase in PD, expected rating of AA (sf).
• 50% increase in PD, expected rating of AA (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AA (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of A (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of A (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of A (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: Bruno Franco
Initial Rating Date: 26 November 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 26 November 2012

Lead Surveillance Analyst: Dylan Cissou
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 and are as follows:

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.