DBRS Ratings GmbH (DBRS) assigned a rating of AAA (sf) to the EUR 89,600,000 Series 2019-07, Class A notes issued by Cars Alliance Auto Loans France Master (the Issuer), discontinued the AAA (sf) rating on the EUR 107,900,000 Series 2019-02, Class A notes as result of the full repayment and confirmed the following remaining outstanding notes at AAA (sf):
-- Series 2019-03, Class A notes
-- Series 2019-04, Class A notes
-- Series 2019-05, Class A notes
-- Series 2019-06, Class A notes
The ratings on the Class A notes address the timely payment of interest and the ultimate repayment of principal by the legal maturity in August 2030.
The rating actions reflect the issuance of the Series 2019-07, Class A notes on the 22 July 2019 payment date and the annual review of the transaction, and are based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies, defaults and losses;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement (CE) to the notes to cover the expected losses at the AAA (sf) rating level;
-- No purchase termination events have occurred.
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 SA. The transaction closed on 25 May 2012 and includes a revolving period scheduled to end on the June 2020 payment date.
As of the July 2019 payment date, loans that were 30 to 60 days delinquent and 60 to 90 days delinquent represented 0.03% and 0.0% of the portfolio net discounted balance, respectively. This represents a decrease from 0.69% and 0.29% 12 months ago, respectively, following a sharp decline in reported delinquencies in January 2019. The cumulative gross default ratio was 1.6% of the aggregate original portfolios with cumulative principal recoveries of 73.1% to date.
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. Since closing, replenishment of the underlying receivables has met the portfolio’s revolving conditions on each payment date.
CE for the outstanding series of Class A notes is provided by the subordination of the Class B notes and the cash reserve. As of the July 2019 payment date, the CE for the Class A notes was 14.8%, unchanged from the transaction amendment in April 2016.
The structure includes an amortising cash reserve account, which is available to cover senior expenses and missed interest payments on the Class A notes. This account is currently funded with EUR 4.9 million with a target balance equal to 1.0% of the aggregate notes’ balance.
Société Générale, S.A. acts as the account bank for the transaction. Based on Société Générale, S.A.’s reference rating of AA (low), one notch below its DBRS Long-Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to Société Générale, S.A. to be consistent with the ratings assigned to the notes as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.
The transaction structure was analysed in Intex DealMaker.
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/333487/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 ratings on the transaction, 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.
These ratings concern a newly issued financial instrument. This is the first DBRS rating on the Series 2019-07, Class A notes.
The last rating action on this transaction took place on 21 June 2019 when DBRS assigned a rating of AAA (sf) to the Series 2019-06, Class A notes and discontinued its rating on the Series 2019-01a, Class A notes.
Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):
-- DBRS expected a base case PD and 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 3.7% and 52.0%, respectively.
For example, if the LGD increases by 50%, the rating on the Class A notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating on 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 on 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 AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (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 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 historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Daniel Rakhamimov, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 25 May 2012
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Geschäftsführer: Detlef Scholz
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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.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at email@example.com.