DBRS Assigns Rating to Cars Alliance Auto Loans Germany Master Series 2014-44, Class A Notes and Discontinues Series 2014-39, Class A Notes

DBRS Ratings Limited (DBRS) has today assigned a rating of AAA (sf) to the EUR 171,600,000 Series 2014-44, Class A Notes (FR0013232147) (the Notes) issued by Cars Alliance Auto Loans Germany Master (the Issuer). This rating action follows the issuance of the Notes on the 18 January 2017 payment date. As at the payment date, all portfolio revolving conditions were met. Additionally, DBRS has discontinued the AAA (sf) rating of the EUR 141,500,000 Series 2014-39, Class A Notes (FR0013219417) 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 in Germany by RCI Banque S.A. Niederlassung Deutschland, a German subsidiary of RCI Banque. The transaction’s revolving period extends until the March 2018 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 18 March 2014. Since closing, replenishment of the underlying receivables has met the portfolio revolving conditions on each payment date.

As at the January 2017 payment date, one- to two-month delinquencies and two- to three-month delinquencies were 0.6% and 0.2% of the portfolio net discounted balance, respectively, while delinquencies greater than three months were 0.1%. The cumulative gross default ratio (as a percentage of the original portfolio and cumulative transferred receivables) was 0.5%, with principal cumulative recoveries of 66.8%.

Credit enhancement for the outstanding Series of 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 9.0%.

HSBC France S.A. is the Account Bank for this transaction, and Landesbank Hessen-Thüringen Girozentrale is the Specially Dedicated Account Bank. The DBRS private ratings for HSBC France S.A. and Landesbank Hessen-Thüringen Girozentrale comply with the Minimum Institution Rating for 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 to the ratings is: “Master European Structured Finance Surveillance Methodology”.

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

In DBRS’s opinion, the changes under consideration do not warrant the application of the entire principal methodology. Given the master trust structure, no asset or cash flow analysis was conducted as the asset portfolio complies with the composition limits set forth in the transaction legal documents and current transaction performance is within expectations.

Other methodologies referenced in this transaction are listed at the end of this press release. These 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” on:
http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for these ratings include Eurotitrisation (the Management Company).

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

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 19 December 2016, when DBRS assigned rating to the Series 2014-43, Class A Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 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 2.92% and 54.32%, 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 (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 (low) (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 (sf), all else being equal.

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

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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.

Lead Analyst: Joana Seara da Costa, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director

Initial Rating Date: 18 March 2014

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

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 Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- 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.