DBRS Confirms Rating on Cars Alliance Warehouse Italy S.r.l.

DBRS Ratings Limited (DBRS) has today confirmed its rating of the Class A notes issued by Cars Alliance Warehouse Italy S.r.l. (the Issuer) at AAA (sf).

The confirmation of the rating on the Class A notes is based upon the following analytical considerations, as described more fully below:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the March 2015 payment date.
-- Actual default rate, recovery rate and expected losses are within DBRS’s expectations.
-- Current available credit enhancement for the Class A notes to cover the expected losses at the AAA (sf) rating level.

Cars Alliance Warehouse Funding Italy is a securitisation of a portfolio of auto loan receivables originated and serviced by RCI Banque S.A., acting through its branch in Italy. RCI Banque S.A. is a bank incorporated under the law of the French Republic and is fully owned by Renault SA. The deal follows the standard structure under the Italian Securitisation Law and closed in June 2012.

The collateral has not shown substantial changes over the year. The pool comprises loans extended to Italian individuals (93.62%) and corporates (6.38%) to buy new (95.50%) and used cars (4.50%). Balloon loans account for 5.11% of the current portfolio.

The portfolio is performing in line with DBRS’s expectations. The 90+ delinquency ratio as a percentage of the performing balance of the portfolio increased slightly over the year reaching 0.51% in March 2015. The remaining buckets of arrears (0-30, 30-60 and 60-90 days) have been stable over the year and are currently at 1.74%, 0.67% and 0.34% respectively.
The gross cumulative default ratio as a percentage of the original portfolio increased over the year to 1.44%, but it is still below DBRS’s base case default rate of 3.07%.

The Class A notes are supported by subordination of the Class J notes. Credit enhancement for the Class A notes (as a percentage of the performing portfolio) increased to 28.20%. Class J notes were issued in excess of 2.02% of the original portfolio to fund the initial cash reserve of EUR 15.00 million. The amortising cash reserve is available to pay senior items and interest on the Class A notes and is currently at its target level of EUR 10,254,429.
Crédit Agricole Corporate and Investment Bank, Milan branch serves as account bank for the transaction. The DBRS private ratings of Crédit Agricole Corporate and Investment Bank, Milan branch is at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in DBRS’s “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”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies referenced in this transaction are listed at the end of this press release.

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

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

The sources of information used for this rating include investor reports provided by Zenith Service S.p.A. and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed upon Procedures (AUP) are included in the requested documentation. DBRS was not supplied with AUP documents. Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

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 20 May 2014, when DBRS confirmed the rating on the Class A notes at AAA (sf).

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

To assess the impact of 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 3.07% and 88.36%, 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 remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A notes would be expected to remain at AAA (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 remain at AAA (sf), all else being equal.

Class A Risk Sensitivity:

• 25% increase in LGD, expected rating of AAA (sf).
• 50% increase in LGD, expected rating of AAA (sf).
• 25% increase in PD, expected rating of AAA (sf).
• 50% increase in PD, expected rating of AAA (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of AAA (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of AAA (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of AAA (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of AAA (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 Rating Date: 14 June 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

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.
-- Derivative 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.