(Repeat for additional subscribers)
March 3 (The following statement was released by the rating agency)
Fitch Ratings has affirmed Free Mobility No. 6 UG's
class A and B asset-backed notes as follows:
EUR244.6m Class A notes affirmed at 'AAAsf'; Stable Outlook
EUR28.6m Class B notes affirmed at 'A-sf'; Outlook Positive
Free Mobility 6 (the issuer) is a securitisation of German auto loan receivables
originated by FFS Bank GmbH (NR, FFS Bank), which also acts as servicer. The
securitised portfolio consists of secured, fixed-rate loans advanced to
borrowers within Germany. At closing in December 2012 the portfolio consisted of
49.9% balloon loans.
KEY RATING DRIVERS
Fitch has been informed of a proposed change to the commingling reserve account
provisions. The issuer is currently the holder of this account. It is intended
that the commingling reserve will be moved an account held by FFS Bank, which
will in turn grant a pledge to the issuer over this account.
Fitch has been provided with draft documentation and legal opinions stating that
the issuer is entitled to enforce its pledge in an FFS Bank insolvency scenario.
The agency has recently noted an increasing number of German securitisations
where collection accounts in the name of the servicer were pledged in favour of
the issuer and, as is the case here, the SPV is the sole party entitled to
dispose of the collections in the pledged account. Moreover, the transaction
benefits from a liquidity facility sized for approximately three months of
interest on the notes and senior fees, which in Fitch's view, is sufficient to
cover for a moratorium that could be imposed on FFS Bank in an insolvency
Based on the legal provisions and the availability of liquidity, Fitch believes
that any additional legal or operational risks resulting from the proposed
amendment is minimal.
Since Fitch's last review in December 2013, delinquency, default and recovery
levels have been stable and remain in line with Fitch's projections. As of
end-January 2014, cumulative losses and 30 day plus delinquencies were 0.37% and
3.5% respectively. However, the stable performance should be viewed in the
context of the increased balloon component of the loans as they amortise
(currently 54.1% of the net nominal pool balance).
As of end-January 2014, the outstanding class A notes accounted for 56% of their
initial balance. Credit enhancement, which takes into account the reserve fund
and the subordinated loan, had increased to 21.4% from 13.1% at closing. The
comparable levels for the class B notes were 12.1% vs. 7.4% at closing. The
improved credit enhancement and the overall solid performance of the asset
portfolio are reflected in the Positive Outlook on the class B notes.
Based on the amortisation to date and the solid performance, Fitch maintains its
base case loss assumptions stable.
Expected impact upon the note rating of increased losses (higher defaults and
Current Ratings: class A: 'AAAsf'/class B: 'A-sf'
Increase base case defaults by 25%; reduce base case recoveries by 25%:
Projected Ratings: class A: 'AAAsf' /class B: 'A-sf'