DBRS Takes Rating Actions on Cars Alliance Auto Loans France Master

DBRS Ratings Limited (DBRS) assigned a rating of AAA (sf) to the EUR 101,100,000 Series 2018-07, Class A notes issued by Cars Alliance Auto Loans France Master (the Issuer), discontinued its AAA (sf) rating on the EUR 90,300,000 Series 2018-03, Class A notes as result of the full repayment and confirmed the following remaining outstanding series at AAA (sf):

-- EUR 117,100,000 Series 2018-04, Class A notes
-- EUR 156,200,000 Series 2018-05, Class A notes
-- EUR 148,000,000 Series 2018-06, Class A notes

The rating actions reflect the issuance of the Series 2018-07, Class A notes by the Issuer on the 23 July 2018 payment date and an annual review of the transaction, and are based on the following analytical considerations:

-- The overall portfolio performance, in terms of level of delinquencies and cumulative net losses, as of the July 2018 payment date;
-- No purchase termination events have occurred;
-- The current available credit enhancement (CE) to the Class A notes to cover the expected losses assumed in line with the AAA (sf) rating level.

The ratings of the Class A notes address the timely payment of interest and the ultimate repayment of principal by the legal maturity in August 2030.

Cars Alliance Auto Loans France Master is a securitisation of unsecured French auto loan receivables originated by Diac SA – a subsidiary of RCI Banque. The transaction closed on 25 May 2012.

PORTFOLIO PERFORMANCE
As at the July 2018 payment date, 30- to 60-day delinquencies and 60- to 90-day delinquencies were 0.7% and 0.3% of the portfolio net discounted balance, respectively. The cumulative gross default ratio was 1.6% of the aggregate original portfolios, with principal cumulative recoveries of 71.6% so far.

REVOLVING PERIOD
The transaction’s revolving period extends until the June 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 Class A notes with different expected maturities based on the amortisation profile of the additional receivables.

CREDIT ENHANCEMENT
CE for the Class A notes is provided by the subordination of the Class B notes and the cash reserve and currently stands at 14.7%.

Société Générale, S.A. is the account bank for the transaction. DBRS’s Long-Term Critical Obligations Rating of Société Générale, S.A. at AA is consistent with 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 to the ratings is: “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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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

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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include monthly investor reports provided by 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.

The last rating action on this transaction took place on 21 June 2018, when DBRS assigned a rating to the Series 2018-06, Class A notes and discontinued its rating on the Series 2017-08, 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 these ratings, 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 4.8% and 51.6%, respectively.

For example, if the LGD increases by 50%, the rating of the Class A notes would be expected to decrease to AA (high) (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A notes would be expected to decrease to AA (high) (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to decrease to A (high) (sf), ceteris paribus.

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 (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (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 and US regulations only.

Lead Analyst: Matt Albin, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 25 May 2012

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.

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.