FRANKFURT, Germany & LONDON--(BUSINESS WIRE)--Link to Fitch Ratings' Report: Auto ABS German Lease Master
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=720959
Fitch Ratings has assigned Auto ABS German Lease Master, fixed-rate notes ratings as follows:
EUR7.2m Class A 2013-1 Series (FR0011600378), due 28 April 2023: 'AAAsf', Outlook Stable
EUR7.2m Class A 2013-2 Series (FR0011600386), due 28 April 2023: 'AAAsf', Outlook Stable
The ratings address timely payment of interest and payment of principal by the final maturity date in accordance with the transaction documents.
The transaction is a securitisation of German auto lease receivables (including residual values, (RVs)) advanced to small commercial and consumer debtors for the purchase of new and demonstration cars. The originator is Banque PSA Finance, German Branch (BPF), the captive of the French car manufacturer Peugeot S.A. (B+/ Negative).
The transaction is structured as a programme, whereby during the two and a half-year revolving period, additional series of class A and class B notes can be issued, up to the maximum programme size of EUR1.5bn. The resulting funds can be used to redeem existing notes at their expected maturity date or to purchase further receivables.
KEY RATING DRIVERS
Small Initial Pool: Due to its size, the pool at closing of EUR20m is significantly less granular than a typical consumer ABS portfolio: the largest single obligor accounts for 0.4% of the initial pool, while the 20 largest obligors account for 4.34%. Limits for the largest single obligor (0.5%) and the largest 20 obligors (5.5%) mitigate the risk of increasing concentration during the revolving period.
High Residual Value Exposure: The RV portion in the preliminary pool is 46.5% of the total pool. Fitch has assumed that during the revolving period this would increase up to the limit of 65%. This could leave the securitised pool exposed to declines in used car prices, which have been considered in the analysis.
Minimum Credit Enhancement (CE): Conditions regarding issuance of additional series of class A notes include the level of CE provided to those notes being maintained. After the revolving period, all class A notes will amortise pro rata. The rating assigned by Fitch to the class A notes applies to any series of class A notes issued during the revolving period.
Extended Revolving Period: The transaction's two and a half-year revolving period is longer than earlier transactions by BPF in Germany. Revolving period triggers together with receivable eligibility criteria, portfolio limits and available CE mitigate additional risks stemming from the extended revolving period.
Servicing Continuity Risk: BPF is the servicer. No back-up servicer was appointed at closing. Servicing continuity risks are mitigated by the monthly submission of lease data by the servicer to the management company, France Titrisation, and by the duty of the latter to notify the lessees and find a replacement servicer in case of a servicer termination event. Commingling risk is mitigated by the use of a dedicated collection account and the availability of a commingling reserve. A reserve fund is available to cover up to 9 months of senior fees and class A interest.
RATING SENSITIVITIES
Due to the relatively large RV portion, downward pressure on used car prices for Peugeot/ Citroen vehicles would negatively affect the performance of the securitised portfolio. In its analysis, Fitch has factored in a decrease in used car prices of 40%.
In the 'AAAsf' scenario, Fitch has assumed proceeds from the sale of a vehicle at lease contract maturity of 56%. Decreasing this by 25% would result in a model-implied downgrade to 'AAsf', while decreasing by 50% would result in downgrade of the notes to 'BBBsf'.
Fitch notes that German corporate insolvencies have recently been on the rise and incorporated this into its analysis. Fitch considers this variable to be an important driver of the transaction's performance, in particular as the share of commercial clients is 80% of total discounted portfolio balance. A further, and more pronounced, increase in corporate insolvencies could hence negatively affect the ratings.
For instance, increasing the base case default rate of 3.45% by 50% may result in a one-notch downgrade of the class A notes, to 'AA+sf' from 'AAAsf'.
Key rating drivers and rating sensitivities are further described in the accompanying pre-sale report. It includes also details on material sources of information that were used to prepare the rating and is available at www.fitchratings.com.
Credit enhancement for the class A notes is 30.5% at closing. It is provided by subordination of the class B notes and by the general reserve, which is aimed at providing liquidity but can only be released at the legal final maturity date or if the portfolio balance is reduced to zero. The general reserve amounts to 2.15% of outstanding class A and B notes, with a floor of EUR500,000. The receivables have been purchased at a discount rate, which is the higher of 6% and the contractual interest rate of the individual lease.
The issuer is a French securitization fund (Fonds Commun de Titrisation or FCT) that was established jointly by Banque PSA Finance (the custodian) and France Titrisation. It is governed by the FCT regulations and the provisions of the French Monetary and Financial Code.
Additional information is available at www.fitchratings.com.
The information and documentation used to assess the ratings was provided by BPF
Applicable criteria, 'Global Structured Finance Rating Criteria', May 2013; 'EMEA Consumer ABS Rating Criteria', June 2013; 'EMEA Consumer ABS Rating Criteria, Auto Residual Value Addendum', July 2013; 'Counterparty Criteria for Structured Finance and Covered Bonds', May 2013; 'Criteria for Servicing Continuity Risk in Structured Finance', July 2013; Assessing Tax Risk in German Structure Finance Transactions (June 2012) are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661
EMEA Consumer ABS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=711178
EMEA Consumer ABS Rating Criteria — Auto Residual Value Addendum
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=711602
Counterparty Criteria for Structured Finance and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155
Criteria for Servicing Continuity Risk in Structured Finance
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=712935
Assessing Tax Risk in German Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=681469
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=806036
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