DBRS Ratings GmbH (DBRS Morningstar) assigned a AAA (sf) rating to the EUR 188.1 million Series 2019-11, Class A notes issued by Cars Alliance Auto Loans France Master (the Issuer). The rating was assigned following the issuance of the notes on the 21 October 2019 payment date. As of the payment date, all portfolio revolving conditions were met. Additionally, DBRS Morningstar discontinued its AAA (sf) rating on the EUR 174.2 million Series 2019-05, Class A notes as a result of its full repayment.
The rating addresses the timely payment of interest and the ultimate repayment of principal by the final legal maturity date in August 2030.
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’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 a further series of Class A notes with a different expected maturity date 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.
As of the October 2019 payment date, loans that were 30- to 60-days delinquent and 60- to 90-days delinquent represented 0.7% and 0.2% of the portfolio net discounted balance, respectively. The cumulative gross default ratio was 1.6% of the aggregate original portfolios, with cumulative principal recoveries of 72.8% to date.
Credit enhancement to the Class A notes is provided by the subordination of the Class B notes and the cash reserve, and currently stands at 15.3%, in line with 15.0% as of the last 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 4.7 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 the reference rating of Société Générale, S.A. at AA (low), one notch below its DBRS Morningstar 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 Morningstar 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 Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology.
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 documents have remained unchanged since the most recent rating action.
In DBRS Morningstar’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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include monthly investor reports provided by EuroTitrisation (the Management Company).
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar 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 Morningstar rating on these financial instruments.
The last rating action on this transaction took place on 23 September 2019, when DBRS Morningstar assigned ratings of AAA (sf) to the Series 2019-10, Class A notes. Additionally, DBRS Morningstar discontinued its ratings of the Series 2019-04, Class A notes and Series 2019-06, Class A notes.
The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios, as compared to the parameters used to determine the ratings (the Base Case):
-- DBRS Morningstar 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 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 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 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 Morningstar 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: Petter Wettestad, Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 25 May 2012
DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at:
-- 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 Morningstar 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.