DBRS Confirms Ratings to Auto ABS 2012-3, FTA

DBRS Ratings Limited (“DBRS”) has confirmed the following ratings on the Notes issued by Auto ABS 2012-3, FTA:
• Class A Notes at AA (low) (sf);
• Class B Notes at CCC (sf).

The confirmation follows amendment to the transaction documentation executed on 13 January 2014. The purpose of the amendment is the extension of the revolving period (previously terminated on 26 December 2013) to 26 February 2015. The first principal amortisation date will fall on 27 March 2015.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Titulización de Activos S.G.F.T., S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 17 December 2013, when DBRS reviewed the transaction and confirmed the rating of AA (low) (sf) to the Class A Notes and of CCC (sf) to the Class B Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, 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 pool based on a review of the transaction performance. 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 7.68% and 22.21%, respectively. The PD of 7.68% accounts for an additional sovereign stress which has been applied to capture the sovereign rating of the Kingdom of Spain.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes and Class B Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to drop to A (low) (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to drop to A (low) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to drop to BBB (low) (sf), all else being equal.

Class A Risk Sensitivity:

• 25% increase in LGD, expected rating of A (high) (sf).
• 50% increase in LGD, expected rating of A (low) (sf).
• 25% increase in PD, expected rating of A (high) (sf).
• 50% increase in PD, expected rating of A (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of A (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of BBB (high) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of BBB (high)(sf).
• 50% increase in LGD and 50% increase in PD, expected rating of BBB (low)(sf).

Class B Risk Sensitivity:

• 25% increase in LGD, expected rating of CC (sf).
• 50% increase in LGD, expected rating of C (sf).
• 25% increase in PD, expected rating of CC (sf).
• 50% increase in PD, expected rating of C (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of C (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of D (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of D (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of D (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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 regulations only.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 23 November 2012
Initial Rating Committee Chair: Erin Stafford

Last Rating Date: 17 December 2013

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria 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
• Rating European Consumer and Commercial Asset-Backed Securitisations