(The following statement was released by the rating agency)
July 25 - Fitch Ratings has assigned FCT Auto ABS Compartiment 2012-1’s Class A EUR723.6m notes backed by French auto leases receivables originated by Credipar (not rated) a ‘AAAsf’ final rating. The Outlook is Stable.
The rating is based on Fitch’s assessment of Credipar’s origination and servicing procedures, Fitch’s expectations of future asset performance, the available credit enhancement, and the transaction’s legal structure. Credit enhancement is provided to the class A notes by the class B subordinated notes (33%) and the partial amortisation of a reserve fund (1% of the class A and B notes balance) through its release in the sequential priority of payments.
This transaction is a securitisation of French auto lease receivables originated by Credipar in the normal course of its business. Credipar is the French subsidiary of Banque PSA Finance (BPF, not rated) which is the financial captive of the French car manufacturer Peugeot S.A. (PSA; ‘BB+'/Stable). 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. All lease receivables present some residual value (RV) risk, for an aggregate exposure at closing of 30.1%.
The transaction has a maximum 30-month revolving period, after which the portfolio will become static and will amortise. The early amortisation triggers, along with the eligibility criteria and the available credit enhancement, adequately mitigate the risk added by the revolving period. Fitch has analysed potential pool mix shifts during this period and modelled a worst-case portfolio.
Under its analysis, the agency has considered several stress scenarios, including the insolvency of Credipar. Under such specific scenario and based on the legal opinion and memo received, Fitch’s view is that the proceeds from the receivables related to the sale of the underlying vehicles could be lost, or not be made available in a timely manner, to the issuer. In its analysis, the agency has considered the issuer would not benefit from such amounts. Furthermore, under its stress scenarios, Fitch has considered used car values depreciate, providing limited incentive for lessees to purchase the underlying car at a predetermined price and, therefore, has assumed that none of the lessees would either prepay or exercise their RV purchase option at lease maturity.
Credipar is the servicer. No back-up servicer was appointed at closing of the transaction. However, servicing continuity risks are mitigated by different operational elements. Furthermore, several factors mitigate the commingling risk (including the use of a dedicated collection account and the availability of a dedicated commingling reserve), while an adequately sized reserve fund is available for liquidity.
Fitch has a stable to declining asset outlook for French consumer ABS assets. Although the agency forecasts French economic activity to remain weak over the next two years, characterised by high unemployment and limited growth, Fitch believes defaults are likely to remain within base-case expectations, as they already incorporate Fitch’s short-term macroeconomic expectations.
A new issue report, including further information on transaction related stress and sensitivity analysis, and material sources of information that were used to prepare the credit rating is available at www.fitchratings.com.
A comparison of the transaction’s representations and warranties to those Fitch considers to be typical for European ABS transactions is available in the appendix document entitled ‘FCT Auto ABS Compartiment 2012-1 - Representations and Warranties’, dated 24 July 2012 and available at www.fitchratings.com
Link to Fitch Ratings’ Report: FCT Auto ABS Compartiment 2012-1