DBRS Assigns Rating to Cars Alliance Auto Loans France Master, Series 2016-04 Class A Notes and Discontinues Series 2015-11 Class A Notes

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) to the EUR 341,600,000 Series 2016-04 Class A Notes issued by Cars Alliance Auto Loans France Master (the Issuer). The rating has been assigned following the issuance of the Notes on the 21 April 2016 payment date. As of the payment date, all portfolio revolving conditions were met.

Additionally, DBRS has discontinued the AAA (sf) rating of the EUR 224,900,000 Series 2015-11 Class A Notes because of full repayment.

The Issuer is a master trust securitisation backed by a pool of auto loan receivables related to new and used motor vehicles originated and serviced by DIAC S.A., a French subsidiary of RCI Banque.
The transaction’s revolving period extends until the July 2020 payment date, subject to certain portfolio conditions being met. During the revolving period, the Issuer may acquire additional receivables and issue further Series of Notes with different expected maturities based on the amortisation profile of the additional receivables.

The transaction closed on 25 May 2012. Since closing, replenishment of the underlying receivables has met the portfolio’s revolving conditions on each payment date.

On 8 April 2016, an amendment agreement (the Global Amendment Agreement) was signed modifying certain terms of the transaction and with no rating impact on the transaction. In the context of this amendment, DBRS updated its base case assumptions of gross default and recovery rates. For additional information, please refer to:
http://dbrs.com/research/293202/dbrs-reviews-amendments-for-cars-alliance-auto-loans-france-master.html

As of the April 2016 payment date, one- to two-month delinquencies and two- to three-month delinquencies were 0.61% and 0.18% of the portfolio discounted balance, respectively. The cumulative gross default ratio was 1.15% of the aggregated original balance, with cumulative recoveries of 66.87%.

Credit enhancement for the outstanding Series of the Class A Notes comes from the subordination of the Class B Notes and the General Reserve Fund. Current credit enhancement of the Class A Notes is equal to 14.68%.

Société Générale, S.A. is the Account Bank for this transaction. The DBRS Long-Term Critical Obligations Rating of Société Générale, S.A. at AA complies with the Minimum Institution Rating given the rating assigned to the 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 “Master European Structured Finance Surveillance Methodology”.

In DBRS’s opinion, the changes under consideration do not require the application of the entire principal methodology. Given the Master Trust structure of the transaction, the asset portfolio complying with the composition limits set forth in the transaction legal documents and current transaction performances, no asset or cash flow analysis were conducted for this rating action.
Base case probability of default (PD) and loss given default (LGD) assumptions were updated in the context of the Global Amendment Agreement signed on 8 April 2016 and, as such, the risk sensitivity analysis presented below has been updated accordingly.

DBRS conducted a review of the Global Amendment Agreement executed on 8 April 2016, modifying certain terms of the Original Master Definitions Agreement, the Original FCT Regulations, the Original Master Receivables Transfer Agreement and the Original Data Escrow Agreement. The other transaction legal documents have remained unchanged since the most recent rating action, and were not reviewed.

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.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.

The sources of information used for these ratings include monthly investor reports provided by Eurotitrisation (the Management Company).

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 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 last rating action on this transaction took place on 29 March 2016, when DBRS assigned ratings to the then newly issued Series 2016-03 Class A Notes and discontinued the rating on the Series 2015-10 Class A Notes.

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

To assess the impact of changing transaction parameters on the rating, at closing DBRS considered the following stress scenarios compared with the parameters used to determine the rating (the Base Case):

-- DBRS expected a base case PD and loss given default LGD for the portfolio based on a review of the current assets. 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 4.80% and 48.44%, respectively.

-- The risk sensitivity below illustrates the ratings expected for each Series of Class A Notes if the PD and LGD increase by a certain percentage over the base case assumptions. For example, if the LGD increases by 50%, the rating for each Series of Class A Notes would be expected to fall to AA (high) (sf), all else being equal. If the PD increases by 50%, the rating for each Series of Class A Notes would be expected to fall to AA (high) (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating for each Series of Class A Notes would be expected to fall to 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)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (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: 25 May 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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The rating methodologies 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
-- Operational Risk Assessment for European Structured Finance Originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations

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.