RPT-Fitch assigns FCT Ginkgo Compartment Sales Finance 2013-1 final ratings
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Dec 20 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has assigned FCT Ginkgo Compartment Sales Finance 2013-1's ABS notes final ratings as follows:
EUR500m Class A: 'AAAsf'; Outlook Stable
EUR40m Class B: 'AAsf'; Outlook Stable
EUR30.1m Class C: 'A+sf'; Outlook Stable
EUR85.9m Class D: not rated
The final ratings are based on Fitch's assessment of CA Consumer Finance's (CACF, A/Stable/F1) origination and servicing procedures in its capacity as originator and servicer of the transaction, the agency's expectations of future asset performance in the light of the current and forecast economic environment in France, the available credit enhancement and the transaction's legal structure.
KEY RATING DRIVERS
Fitch views the key rating drivers for the transaction as being the underlying receivables credit risk and the early amortisation triggers in place which, along with eligibility criteria portfolio limits and available CE, prevent a significant deterioration of the portfolio quality during the revolving period. In line with its criteria, the agency has taken into account possible migration to a riskier pool composition allowed by the portfolio limits.
The other key rating drivers are a monthly transfer of borrowers' details, a commingling reserve and a reserve fund which, together with other provisions, adequately mitigate servicing continuity risks; and the stable to declining asset performance outlook for French consumer assets.
Credit enhancement for the class A notes was equivalent to 25.3% at closing, provided by overcollateralisation via subordination and a reserve fund. Subordination for the class A notes is provided by the class B notes (6.1%), the class C notes (4.6%) and the class D notes (13.1%). In addition, a reserve fund, representing 1.5% of the initial notes balance and primarily available for liquidity, provides credit enhancement at maturity or if an accelerated amortisation event has occurred. Finally, the transaction benefits from excess spread.
The issuance proceeds were used to purchase a portfolio of sales finance loan receivables including home equipment, recreational vehicle, new vehicle and used vehicle loans originated by CACF, the consumer finance arm of Credit Agricole (A/Stable/F1) in France. This is CACF's seventh consumer loans securitisation transaction.
The transaction envisages a 12-month revolving period, during which further receivables can be transferred to the issuer each month.
The provisional portfolio amounted to EUR656m as of end-November 2013 and consisted of 83,388 loan contracts, with an average outstanding principal balance of EUR7,867 and a weighted average remaining term of 73.7 months. All the loans bear a fixed interest rate and are amortising with constant monthly instalments.
Fitch tested the rating sensitivity of the notes to various scenarios, including an increase in the base case default rate and/or a decrease in the base case recovery rate for the portfolio. The model-implied sensitivities indicate that an increase in the base case default rate by 50% together with a decrease in the base case recovery rate by 50% may result in a five-notch downgrade of the class A notes, to 'Asf' from 'AAAsf', of the class B notes to 'BBB+sf' from 'AAsf' and of the class C notes to 'BBB-sf' from 'A+sf'.
A new issue report, including further information on transaction related stress, key rating drivers and rating sensitivities, as well as material sources of information that were used to prepare the credit rating, is available at www.fitchratings.com.
Link to Fitch Ratings' Report: FCT Ginkgo Compartment Sales Finance 2013-1
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