DBRS Morningstar Assigns Rating to Cars Alliance Auto Loans France Master, Series 2022-02, Class A Notes and Drops Rating of Series 2021-08, Class A Notes

DBRS Ratings GmbH (DBRS Morningstar) awarded a AAA (sf) note to €286.3 million Series 2022-02, Class A Notes (the Class A Notes) issued by Cars Alliance Auto Loans French master (the Issuer).

DBRS Morningstar assigned the rating following the issuance of the Notes on the February 21, 2022 payment date. On the date of payment, all the renewal conditions of the portfolio were met. Additionally, DBRS Morningstar has discontinued its AAA (sf) note on the €277.4 million Series 2021-08, Class A Notes due for full redemption.

The rating of Class A notes relates to the punctual payment of interest and ultimate repayment of principal on the final legal maturity date in August 2034.

The issuer is a global securitization trust backed by a pool of automotive loan receivables relating to new and used motor vehicles issued and serviced by Diac S.A.French subsidiary of RCI Bank SA. The revolving period of the operation extends until July 2024 payment date, subject to compliance with certain portfolio conditions. During the renewal period, the Issuer may acquire additional claims and issue a new series of Class A Notes with a different scheduled maturity date.

The transaction was closed on May 25, 2012. Since closing, the replenishment of the underlying receivables has complied with the portfolio’s revolving conditions at each due date.


Since the February 2022 payment date, loans 30-60 days past due and 60-90 days past due accounted for 0.5% and 0.2% of net discounted portfolio balance, respectively. The cumulative gross default rate was 1.5% of the total initial portfolios, with cumulative principal recoveries of 73.8% to date.


DBRS Morningstar maintained its worst-case probability of default (PD) and loss given default (LGD) based on portfolio composition at 3.1% and 54.2%, respectively.


The subordination of the Class B Notes and the Liquidity Reserve improves the credit of the Class A Notes. February 2022 date of payment, the credit enhancement of the Class A Notes was 14.3%.

The structure includes an amortizing cash reserve account, which is available to cover first lien expenses and missed interest payments on Class A Notes. This account is currently funded by €13.2 million, with a target balance equal to 1.0% of the total note balance. In a stress scenario where DBRS Morningstar assumes no recoveries, the cash reserve would cover approximately six months of first lien fees and interest payments on the Class A Notes.

Societe Generale, SA acts as the account bank for the transaction. Based on the reference rating of Societe Generale, SA to AA (low) (which is one notch below its AA rating for critical long-term bonds from DBRS Morningstar), the downgrade clauses described in the transaction documents and other inherent mitigating factors to the structure of the transaction, DBRS Morningstar considers the risk arising from the Exposure to Societe Generale, SA to be consistent with the ratings assigned to the Notes, as described in DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology.


A description of how DBRS Morningstar considers ESG factors in the DBRS Morningstar Analytical Framework is available in DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www. dbrsmorningstar.com/research/373262.


All figures are in euros unless otherwise stated.

The main methodology applicable to ratings is the “Master European Structured Finance Surveillance Methodology” (February 8, 2022).

The other methodologies referenced in this transaction are listed at the end of this press release. These can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A review of the transaction’s legal documents has not been performed as the documents remain unchanged since the last rating action.

In the opinion of DBRS Morningstar, the contemplated changes do not warrant the application of the entire primary methodology. Given the structure of the master trust, no analysis of assets or cash flows has been performed, as the portfolio of assets is within the composition limits set out in the legal documents of the transaction and the current performance of the transaction is in line with expectations.

For a more detailed discussion of the impact of sovereign risk on structured finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Rating Methodology”. Sovereign Government Ratings” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

DBRS Sovereign Morningstar group publishes reference macroeconomic scenarios for rated sovereigns. DBRS Morningstar’s analysis considered impacts consistent with baseline scenarios as set out in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to -credit-ratings.

The data and information sources used for these ratings include the monthly investor reports provided by EuroTitrisation (the Management company).

DBRS Morningstar did not rely on the due diligence of any third party to perform its analysis.

At the time of initial rating, DBRS Morningstar did not receive third-party ratings. However, this did not affect the scoring analysis.

DBRS Morningstar considers the data and information available to provide these ratings to be of satisfactory quality.

DBRS Morningstar does not independently audit or verify any data or information it receives as part of the ratings process.

This rating concerns a newly issued financial instrument. This is the first rating given by DBRS Morningstar to this financial instrument.

The last rating action on this transaction took place on January 21, 2022when DBRS Morningstar assigned a AAA (sf) to Series 2022-01, Class A Notes and has discontinued its AAA (sf) on Series 2021-07, Category A tickets.

Information about DBRS Morningstar ratings, including definitions, policies and methodologies, is available at www.dbrsmorningstar.com.

To assess the impact of changing transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios, relative to the parameters used to determine the rating (the base case):

DBRS Morningstar expected a benchmark PD and LGD for the portfolio based on a review of current assets. Adverse changes in asset performance may lead to stress on benchmark assumptions and therefore adversely affect credit ratings.

The base case PD and LGD of the current pool of receivables are 3.1% and 54.2%, respectively.

The risk sensitivity snapshot below illustrates the expected ratings if the PD and LGD increase by a certain percentage from the base case. For example, if the LGD increases by 50%, the rating of the Class A notes should fall to AA (sf), assuming there is no change in the PD. If the PD increases by 50%, the rating of the Class A notes should fall to AA (sf), assuming the LGD does not change. Additionally, if the PD and LGD both increase by 50%, the rating of the Class A Notes should drop to A (sf).

Risk Sensitivity of Class A Notes:

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)

50% increase in PD, expected rating of AA (sf)

25% increase in PD and 25% increase in LGD, expected rating of AA (sf)

25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

50% increase in PD and 25% increase in LGD, expected grade of A (high) (sf)

50% increase in PD and 50% increase in LGD, expected grade of A (sf)

For more information on DBRS Morningstar’s historical default rates published by the European titles and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands that further information about DBRS Morningstar’s historical default rates may be released by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

James V. Hayes