DBRS Takes Rating Action on Cars Alliance Auto Loans France V 2014-1

DBRS Ratings Limited (DBRS) has today confirmed the Class A and Class B ratings of Cars Alliance Auto Loans France V 2014-1.The current ratings are as follows:

-- Class A Confirmed at AAA (sf)
-- Class B Confirmed at AA (low) (sf)

Cars Alliance Auto Loans France V 2014-1 is a pool of auto loans receivables granted French retail and corporate customers secured by new and used vehicles. The receivables were originated and are serviced by DIAC S.A. Amortization of the Notes will be strictly sequential. The transaction closed on October 27, 2014. There is an initial revolving period within the transaction which is scheduled to expire on October 25, 2015.

The confirmations are based upon the following analytical considerations:

-- Portfolio performance of the receivables in terms of arrears and cumulative net losses as of the September 2015 payment date.
-- Updated default, recovery and loss assumptions on the remaining receivables balance.
-- Current available credit enhancement for each class of notes to cover the expected losses at the respective rating level.

As of the September 2015 payment date, 31 day to 60 day delinquencies and 61 day to 90 day delinquencies are currently 0.48% and 0.18%, respectively. The cumulative gross default ratio (calculated on the initial collateral balance) is currently 1.16%.

Subordination to the Class A Notes (as a percentage of the collateral balance) is equal to 11.50%, composed of the Class B and Class C Notes.

The reserve fund was funded on the issue date with an amount equal to 1.00% of the initial Class A, Class B and Class C note balance and will amortise in line with the notes. The reserve fund is available to cover senior fees, swap net payments and Class A interest payments and must be replenished senior to the repayment of principal under the Notes hence it does not provide credit support to the transaction.

Société Générale S.A. is the Account Bank for the transaction. The DBRS public rating of Société Générale S.A. complies with the threshold for the Account Bank given the rating assigned to Class A, 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,” which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

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

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

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 servicer 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 rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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 27 October 2014, when DBRS issued the ratings to the Class A and Class B notes.

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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.

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 each pool of receivables 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 4.86% and 53.52%, respectively.
-- The Risk Sensitivity overview below illustrates the expected rating of each class of 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 ratings for the Class A notes would be expected to decrease to AA (sf), all else being equal. If the PD increases by 50%, the ratings for the Class A notes would be expected to decrease to AA (sf), all else being equal. If both the PD and LGD increase by 50%, the ratings for the Class A notes would be expected to decrease to A (sf).

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

Class B Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low)(sf).
-- 50% increase in LGD, expected rating of A (sf).
-- 25% increase in PD, expected rating of AA (low) (sf).
-- 50% increase in PD, expected rating of A (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of A (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of BBB (high) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of BBB (high) (sf).
-- 50% increase in LGD and 50% increase in PD, 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: Eric Levassor
Initial Rating Date: 27 October 2014
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
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

-- 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.
-- Derivative Criteria for European Structured Finance Transactions.