DBRS Confirms Cars Alliance Auto Loans Germany V 2013-1

DBRS has today confirmed the notes issued by Cars Alliance Auto Loans Germany V 2013-1 (the Issuer) at:
-- Class A at AAA (sf)
-- Class B at A (high) (sf)

The confirmation of the ratings for the Class A and Class B notes is based upon the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of level of delinquencies and defaults, as of the 20 October 2014 payment date.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- Current available credit enhancement to the Class A and Class B notes to cover expected losses assumed in line with a AAA (sf) and A (high) rating level, respectively.

Cars Alliance Auto Loans Germany V 2013-1 is a French securitisation of a German pool of auto loans receivables related to new and used motor vehicles originated in Germany by RCI Banque S.A. Niederlassung Deutschland, a German subsidiary of RCI Banque. The transaction closed in November 2013 and the portfolio had a two-year revolving period that will end on the January 2015 payment date.

As of the 20 October 2014 payment date, the below 90 days delinquency ratio was 0.66%, while the 90+ delinquency ratio was 0.11% of the current portfolio balance. The cumulative gross default ratio was at 0.31% of the aggregated collateral balance with a recovery rate of 63.81% to date. Loans are classified as defaulted as soon as they remain unpaid for more than 180 days.

Credit enhancement to the Class A notes stems from the subordination of the Class B and Class C notes, while the Class B notes are solely supported by the Class C notes (not rated by DBRS). Credit enhancement remains unchanged at 12.00% for the Class A notes and 5.75% for the Class B notes.

The transaction benefits from a Liquidity Reserve Fund available to cover any shortfall in senior expenses and/or Class A and Class B interest payments. The required amount of this reserve is set at 1.0% of the outstanding balance of the Class A notes and the Class B notes. As of the October 2014 payment date, the reserve is at its target level and stands at EUR 8.568 million.

HSBC France S.A. (the Account Bank) holds the Treasury Account for the transaction. The DBRS private rating of the Account Bank complies with the threshold for the Account Bank given the rating assigned to the Class A notes, as described in the DBRS “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros 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” at: http://www.dbrs.com/research/239786/the-effect-of-sovereign-risk-on-securitisations-in-the-euro-area.pdf

The sources of information used for this rating include monthly 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 18 December 2013, when DBRS finalised the provisional ratings of AAA (sf) on the Class A notes and A (high) (sf) on the Class B 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 2.95% and 52.87%, 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 increases by 50%, the rating for the Class A notes would be expected to be at AA (high) (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 (high) (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 (high) (sf), all else being equal.

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

Class B notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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 Rating Date: 14 November 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Diana Turner

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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

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