October 27, 2017 / 9:23 AM / a year ago

Fitch Upgrades Class B Notes of Fuyuan 2016-1, 2017-1 and 2017-2

(The following statement was released by the rating agency) HONG KONG, October 27 (Fitch) Fitch Ratings has upgraded the class B asset-backed floating-rate notes from three Fuyuan retail auto mortgage loan transactions to 'AA+sf' from 'AA-sf'. The Rating Watch Positive on the ratings, which had been in place since 20 September 2017, has been resolved and the Outlooks are Stable. At the same time, the agency has affirmed the class A notes at 'AA+sf' and the Outlooks are Stable. The transactions are securitisations of Chinese automotive loan receivables originated by Ford Automotive Finance (China) Limited (FAFC), a wholly owned subsidiary of Ford Motor Credit Company LLC (BBB/Stable/F2). The rating actions are as follows: Fuyuan 2016-1 Retail Auto Mortgage Loan Securitization Trust CNY326.1 million Class A notes affirmed at 'AA+sf'; Outlook Stable CNY150.0 million Class B notes upgraded to 'AA+sf' from 'AA-sf'; Outlook Stable and Rating Watch Positive Resolved Fuyuan 2017-1 Retail Auto Mortgage Loan Securitization Trust CNY1,559.9 million Class A notes affirmed at 'AA+sf'; Outlook Stable CNY150.0 million Class B notes upgraded to 'AA+sf' from 'AA-sf'; Outlook Stable and Rating Watch Positive Resolved Fuyuan 2017-2 Retail Auto Mortgage Loan Securitization Trust CNY2,941.9 million Class A notes affirmed at 'AA+sf'; Outlook Stable CNY144.0 million Class B notes upgraded to 'AA+sf' from 'AA-sf'; Outlook Stable and Rating Watch Positive Resolved The outstanding note balances are as at the 26 September 2017 payment date. KEY RATING DRIVERS China's notching limit was changed after Fitch updated its Structured Finance and Covered Bonds Country Risk Rating Criteria on 18 September 2017 based on a stronger assessment of the country's structured finance market since 2014 and an improvement in Fitch's Macro Prudential Indicator to one from three in January 2017. Fitch sees the asset outlook of these portfolios as stable, albeit in a slower economic growth environment; Fitch forecasts China's GDP growth to slow to 6.3% in 2018 and 6.1% in 2019. We cap the rating on Chinese structured finance transactions at 'AA+sf' to reflect the development stage of China's securitisation markets and the country's Long-Term Local-Currency Issuer Default Rating of 'A+'. Credit enhancement (CE) has built up since closing. Class A CE for Fuyuan 2016-1 has increased to 61.9% and class B to 44.4%. Class A CE for Fuyuan 2017-1 has increased to 24.3% and class B to 17.1%. Class A CE for Fuyuan 2017-2 has increased to 18.7% and class B to 14.7%. The transactions have available buffers to absorb losses before CE is depleted beyond original levels. Cumulative gross defaults were 0.31%, 0.03% and 0.00% for Fuyuan 2016-1, Fuyuan 2017-1 and Fuyuan 2017-2, respectively, as of August 2017. These were below Fitch's base-case levels for this stage of the transactions' life, especially considering the portfolio's weighted-average seasoning. The class B notes for Fuyuan 2016-1, Fuyuan 2017-1 and Fuyuan 2017-2 are able to withstand a 'AA+sf' stress scenario at a CE of 44.4%, 17.1% and 14.7%, respectively. RATING SENSITIVITIES Unexpected increases in default rates and unexpected decreases in the recovery rate on defaulted loans could produce loss levels higher than Fitch's base case, which could result in negative rating action on the notes. Fitch has evaluated the sensitivity of the ratings assigned to the three transactions to increased gross default levels and decreased recovery rates over the transactions' lives. The analysis found that the rating of the class B notes for Fuyuan 2017-1 and Fuyuan 2017-2 are susceptible to a downgrade when the base-case default rates are increased by 50%. In this scenario, the ratings would be lowered to 'AA-sf' and 'A+sf', respectively, while the rating on the class A notes would remain unchanged, assuming all other factors remain constant. Rating on class A and B notes for Fuyuan 2016-1 remained unchanged even when base-case default rates were increased by 200%. The ratings on the three transactions' class A and B notes are not sensitive to reduced recovery rates, even when reduced to zero, assuming all other factors remain constant. We cap the rating on Chinese structured finance transactions at 'AA+sf'. Hence, the likelihood of a rating upgrade for the class A and B notes is low. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC 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 pools and transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio or conducted a review of origination files as part of its ongoing monitoring. Prior to the transactions closing, Fitch reviewed a small targeted sample of FAFC'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, Fitch's assessment of the asset pool 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: Loan-by-loan data provided by FAFC as at 31 August 2017 Monthly servicer reports provided by FAFC as at September 2017 The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Contacts: Lead Surveillance Analyst Jensen Hui Analyst +852 2263 9956 Fitch (Hong Kong) Limited 19/F Man Yee Building 68 Des Voeux Road Central, Hong Kong Committee Chairperson Hilary Tan Senior Director +852 2263 9904 Media Relations: Wai-Lun Wan, Hong Kong, Tel: +852 2263 9935, Email: wailun.wan@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Consumer ABS Rating Criteria (pub. 25 May 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Country Risk Rating Criteria (pub. 18 Sep 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Related Research Fuyuan 2016-1 Retail Auto Mortgage Loan Securitization Trust - Appendix here Fuyuan 2017-1 Retail Auto Mortgage Loan Securitization Trust - Appendix here Fuyuan 2017-2 Retail Auto Mortgage Loan Securitization Trust - Appendix here Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. 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 © 2017 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