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May 20 (The following statement was released by the rating agency)
Fitch Ratings has assigned Eternal 6 Special Purpose Vehicle Co., Ltd.'s (Eternal 6) asset-backed debentures a final rating of 'A-sf' with Stable Outlook as follows:
THB2.96bn fixed interest rate asset-backed debentures expected due 2016 and finally due 2018: 'A-sf'; Outlook Stable
The transaction is the fifth securitisation of credit card receivables originated by AEON Thana Sinsap (Thailand) Public Company Limited (AEONTS, BBB+(tha)/Positive/F2(tha)) in Thailand. At closing, Eternal 6 purchased eligible credit card receivables from AEONTS. The purchase of receivables was funded by the issue of the debentures, a seller loan and a subordinated loan provided by AEONTS. The transaction has a two-year revolving period, followed by a one-year controlled amortisation period and a two-year tail period.
Key Rating Drivers
The rating is mainly based on Fitch's analysis of the underlying assets, available credit enhancement of 32.1%** provided by the subordinated loan, AEONTS's origination, credit control and servicing procedures, and the transaction's structure. There are reserves to address commingling and liquidity risk, as well as a rapid amortisation trigger to protect debenture holders against negative factors such as material deterioration of pool performance.
Fitch conducted sensitivity analysis to show how the model-implied ratings would change in response to unexpectedly higher default rates or lower monthly payment rates than levels assumed under its base case scenarios. For example, a 25% increase in the base case default rate would lead to a downgrade of the debentures by two notches.
In addition, the ratings of the debentures may be affected by any changes in the Long Term Local Currency Issuer Default Rating of Thailand (A-/Stable).
Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, available at www.fitchratings.com.
** calculated as the subordinated loan amounts divided by the underlying receivables excluding the amounts corresponding to the seller loan amounts
Link to Fitch Ratings' Report: Eternal 6 Special Purpose Vehicle Co., Ltd.