December 1, 2016 / 3:05 PM / in a year

Fitch Affirms Swiss Car ABS 2015-1 AG

(The following statement was released by the rating agency) FRANKFURT/LONDON, December 01 (Fitch) Fitch Ratings has affirmed the ratings of Swiss Car ABS 2015-1 AG as follows: CHF310.4m Class A notes due Nov 2025: 'AAAsf'; Outlook Stable. Swiss Car ABS 2015-1 is a securitisation of auto lease receivables originated by AMAG Leasing AG (ALAG) and granted to Swiss private and commercial customers. At closing, the transaction featured a three-year revolving period and an initial portfolio size of CHF400m financed by the notes proceeds and a subordinated loan. The subordinated loan also funded the reserve fund and liquidity reserve. The notes and receivables are denominated in Swiss francs and have fixed interest rates. KEY RATING DRIVERS The affirmation reflects the transaction's stable performance since the closing date in December 2015, which has been in line with Fitch's expectations. Delinquencies are at low levels as accounts in arrears for more than 30 days were 0.6% of the portfolio as of end-October 2016. Cumulative defaults are also low at 0.1%. In Fitch's view, the early amortisation triggers and replenishment criteria protect the transaction from performance deterioration and a migration of the portfolio towards higher-risk characteristics. The class A notes benefit from credit enhancement (CE) consisting of overcollateralisation (22.4%) and a non-amortising reserve fund (2.6%), which has remained consistent during the revolving period. The transaction also benefits from excess spread that has been sufficient to cover defaults to date. The securitised lease payments include the residual value (RV) at contract maturity. Dealers are obliged to pay the contractual RV to the issuer. However, a dealer default would expose the issuer to the risk of RV losses when used-vehicle prices decline. The October 2016 portfolio met all replenishment criteria except for RV exposure, which was 53.7% of the portfolio and in breach of the 50% limit. The breach originally occurred in March 2016 at which time a notification should have been sent to ALAG indicating the breach. Instead, notification occurred in November 2016 and ALAG has confirmed repurchase of the assets that caused the breach will occur on the January 2017 payment date in accordance with the transaction documentation. Additional assets may also be transferred to the issuer in the normal course of replenishment to comply with the RV exposure limit of 50%. Fitch will monitor the repurchase of the relevant assets on the January 2017 payment date. If the repurchase does not occur and the RV exposure continues to be non-compliant with the replenishment criteria, Fitch will review the transaction and analytical assumptions, which may result in negative rating action. The transaction can still withstand Fitch's 'AAAsf' stress assumptions, taking into consideration the current RV exposure. RATING SENSITIVITIES Class A notes Current Rating: 'AAAsf' Rating Sensitivity to Increased Default Rate: Increase of Default Rate by 50%: 'AAAsf' Rating Sensitivity to Decreased Recoveries: Decrease of Recoveries by 50%: 'AAAsf' Rating Sensitivity to Used-Car Market Value Stress: Increase in Market Value Stress of 50%: 'AA+sf' Rating Sensitivity to Multiple Factors: Increase of Default Rate & Market Value Stress by 50%, Decrease of Recoveries by 50%: 'AAsf' USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with the assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis: -Transaction reporting provided by ALAG as of 18 November 2016 Contacts: Lead Surveillance Analyst Thomas Krug, CFA, CAIA Associate Director +49 69 768 076 252 Fitch Deutschland GmbH Neue Mainzer Strasse 46 - 50 D-60311 Frankfurt am Main Committee Chairperson Selena Greaney Senior Director +44 203 530 1135 Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: Additional information is available at Applicable Criteria Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016) here Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 26 Oct 2016) here Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 May 2016) here Global Consumer ABS Rating Criteria (pub. 19 Aug 2016) here Global Consumer ABS Rating Criteria - EMEA Residual Value Addendum (pub. 03 Dec 2015) here Global Structured Finance Rating Criteria (pub. 27 Jun 2016) here Related Research Swiss Car ABS 2015-1 AG - Appendix here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here _id=1015649 Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2016 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch's factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch's ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided "as is" without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below