DBRS Morningstar Comments on FCT Cars Alliance DFP France Following Amendment

DBRS Ratings GmbH (DBRS Morningstar) reviewed the impact of an amendment (the Amendment) to the FCT Cars Alliance DFP France (the Issuer) transaction and concluded that the Amendment will not in and of itself result in a downgrade or withdrawal of the rating of the Series 2018-1 FCT Notes (the Notes). The effective date of the amendment is 6 November 2020.

The Amendment to the respective master definition agreement includes:
-- The limits under the overconcentration receivables will be based on the required balance instead of the aggregate receivable balance of all Eligible Receivables.
-- A increase in the limit to Ancillary Secondhand Vehicles to 15% from 10%.
-- A potential increase in the single dealer concentration level to 4.5% from 2.5% up at the seller’s request.
-- An increase in the Subordination Base Factor for all portfolio payment rate scenarios.
-- The introduction of a required subordination base factor of 22% and 20% when the quarterly payment rate falls below 25% and 20%, respectively. This is combined with the lowering of the Payment Rate Trigger from 25% to 15%.
-- Introduction of a Subordination Add-On Factor based on the selected dealer concentration.
-- The introduction of an increased required subordination base factor of 22% and 20% when the quarterly payment rate falls below 25% and 20%, respectively.

The increase in the Subordination Base Factor while the payment rate changes provides additional protection against a potential deterioration of the performance of the portfolio. In addition, the introduction of a Subordination Add-On Factor provides additional protection; however, this is partially offset by an increase in exposure resulting from the change in the single dealer concentration level.

The transaction is a securitisation of auto wholesale receivables originated in France by DIAC S.A. and relates to receivables associated with the purchase and financing by motor vehicle dealers of new/used car inventory and spare parts. The transaction is currently in its revolving period, scheduled to terminate in July 2023 in the absence of any early amortisation events. The final maturity date of the Notes is on the payment date in July 2028.

More information on the transaction can be found at: https://www.dbrsmorningstar.com/issuers/23296.

COVID-19
More information about DBRS Morningstar’s view on the impact of the COVID-19 crisis on auto-wholesale securitisations can be found at: https://www.dbrsmorningstar.com/research/359606/the-impact-of-covid-19-on-global-auto-wholesale-transactions.

For more information regarding rating methodologies and COVID-19, please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies COVID-19, please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 10 September 2020. For more details please see the following commentaries: https://www.dbrsmorningstar.com/research/366542/global-macroeconomic-scenarios-september-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

On 8 May 2020, DBRS Morningstar published a commentary outlining how the coronavirus pandemic is likely to affect DBRS Morningstar-rated ABS transactions in Europe. For more details please see: https://www.dbrsmorningstar.com/research/360734/european-abs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in euros unless otherwise noted.

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

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