(The following statement was released by the rating agency)
Dec 13 - Fitch Ratings has assigned Auto ABS French Loans Master's Class A EUR266.5m notes backed by French auto loans receivables originated by Credipar (not rated) a final 'AAAsf' rating. The Outlook is Stable.
The rating is based on Fitch's assessment of Credipar's origination and servicing procedures, Fitch's expectations of future asset performance, the available credit enhancement, and the transaction's legal structure. Credit enhancement is provided to the class A notes by the class B subordinated notes (9.8%) and the partial amortisation of a reserve fund (1.65% of the class A and B notes balance) through its release in the sequential priority of payments.
The transaction is structured as a programme whereby during a maximum 2.5-year period (the revolving period), additional series of class A notes or class B notes can be issued - subject to certain conditions - either to repay existing notes at their scheduled maturity date or to purchase additional receivables up to the maximum programme size (the maximum size of the class A notes shall not exceed EUR2.0bn). The rating assigned to the class A notes applies to any series of class A notes issued during the revolving period.
The conditions regarding issuance of additional series of class A notes include the level of over-collateralisation provided to those notes being maintained. Any class A note will start amortising at the earliest of its scheduled maturity date (ie, less than one year after its issuance date) and the revolving period end date. After the revolving period, all class A notes will amortise pro rata.
The transaction is a securitisation of French auto loan receivables originated by Credipar in the normal course of its business. Credipar is the French subsidiary of Banque PSA Finance (BPF, not rated) which is the financial captive of the French car manufacturer Peugeot S.A. (PSA; 'BB-'/Negative). The securitised portfolio consists of loans advanced to individual and self-employed customers for the purchase of new or used vehicles, for private use.
During the revolving period, additional receivables can be purchased each month, after which the portfolio will become static and amortise. The early amortisation triggers, along with eligibility criteria and available credit enhancement, adequately mitigate the risk added by the revolving period. Furthermore, Fitch has analysed potential pool mix shifts during this period and modelled a worst-case portfolio.
Credipar is the servicer. No back-up servicer was appointed at closing. However, servicing continuity risks are mitigated by different operational elements. Furthermore, several factors mitigate the commingling risk (including the use of a dedicated collection account and the availability of a dedicated commingling reserve), while an adequately sized reserve fund is available for liquidity.
Fitch has a stable to declining asset outlook for French consumer ABS assets. Although the agency forecasts French economic activity will remain weak over the next two years, characterised by high unemployment and limited growth, Fitch believes defaults are likely to remain within base-case expectations, as they already incorporate Fitch's short-term macroeconomic expectations.
A new issue report, including further information on transaction related stress and sensitivity analysis, and material sources of information that were used to prepare the credit rating is available at www.fitchratings.com.
A comparison of the transaction's representations and warranties to those Fitch considers to be typical for European ABS transactions is available in the appendix document entitled 'Auto ABS French Loans Master - Representations and Warranties', dated 13 December 2012 and available at www.fitchratings.com