RPT-Fitch Affirms FCT Auto ABS Compartiment 2012-1 at 'AAAsf'; Outlook Stable

Fri Feb 7, 2014 5:47am EST

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Feb 7 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed FCT Auto ABS Compartiment 2012-1's class A notes at 'AAAsf' with a Stable Outlook.

The transaction is a securitisation of French auto lease receivables originated by Credipar. Credipar is the French subsidiary of Banque PSA Finance (BPF) which is the financial captive of the French car manufacturer Peugeot S.A. (PSA; B+/Negative). The securitised portfolio consists of auto lease agreements advanced to individuals and small and medium-sized companies for the purchase of new Peugeot or Citroen vehicles originated via the dealer network of PSA group.

KEY RATING DRIVERS

Since closing in July 2012, the transaction has performed in line with Fitch's base case expectations in terms of defaults, recoveries and net defaults as of the latest reporting date (December 2013).

The cumulative default rate of Auto ABS 2012-1 stood at 1.6% of the asset balance, slightly above the agency's base case expectation of 1.3%. However, delinquencies ratios have remained low and are in line with the historical trends of the originator's loans. Furthermore, the transaction benefits from significant gross excess spread representing 6.9% over the past few periods. The aggregate exposure of the portfolio to the residual value slightly increased to 33% in December 2013 from 32% in August 2012.

Credit enhancement for the class A notes has been maintained at 33% since closing. It is provided via the subordination of the unrated class B notes. A general reserve, representing 1% of the class A and B note balance, is available at any time for liquidity purposes. The general reserve may provide credit enhancement to the extent that, while amortising, the excess of the reserve flows through the relevant priority of payments and provides additional excess spread, available to cure any principal deficiency amount. An additional reserve, aimed at guaranteeing the payment of the lease contract outstanding balance in case Credipar does not perform its undertakings, is equal to 1.5% of the initial receivables purchase price.

RATING SENSITIVITIES

Given the sound performance of the collateral and the fact that the transaction is still revolving, Fitch is maintaining its original base case default expectation of 4.5%. Therefore, the rating sensitivities are still in line with the original ones, which can be found in the new issue report published on 25 July 2012 at fitchratings.com.

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