OREANDA-NEWS.  Fitch Ratings has affirmed Auto ABS French Loans Master class A notes at 'AAAsf' with a Stable Outlook.

The transaction is a securitisation of French auto loan receivables originated by Credipar in the normal course of its business. Credipar is a subsidiary of Societe Financiere de Banque (Sofib), a joint venture between (i) Banque PSA Finance, which is the financial captive of the French car manufacturer Peugeot S.A. (PSA; BB-/Positive) and (ii) Santander Consumer France, which is 100% owned by Santander Consumer Finance (A-/Stable/F2). The securitised portfolio consists of loans advanced to individual and self-employed customers for the purchase of new or used vehicles, for private use.

KEY RATING DRIVERS
Extension of the Revolving Period
From 29 June 2015, the transaction will revolve for four additional years (initially the revolving period was expected to last 2.5 years), after which the portfolio will become static and amortise. The early amortisation triggers, along with eligibility criteria and 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.

Updated Default And Recovery Assumptions
Fitch took into account the extended length of the revolving period as well as the latest historical performance data provided by the originator to update its base case default and recovery assumptions and stressed assumptions. Given the French economic outlook, Fitch arrived at a rating default rate of 17.0% at 'AAAsf' and a rating recovery rate of 24.2% at 'AAAsf', resulting in a 'AAAsf' loss rate assumption of 12.9%.

Sufficient Credit Support
Fitch took into account the updated default and recovery assumptions together with the increased subordination ratio (to 10.8% from 9.8% previously), the lower senior notes interest rate condition (2% compared with 4% previously) and the lower global portfolio limit on the minimum weighted-average interest rate of the receivables (6% compared with 7.5% previously). The analysis showed that the updated level of credit support available is commensurate with a 'AAAsf' rating for the class A notes.

Credit enhancement for the class A notes is provided by subordination of the class B notes. The general reserve may provide credit enhancement to the extent that while amortising, the excess of the reserve over its required amount flows through the relevant priority of payments and provides additional excess spread, available to cure any principal deficiency amount.

Additional Transaction Amendments
As of 29 June 2015, the following amendments have also been made to the transaction documentation:
- The addition of a global portfolio limit (condition for the purchase of additional receivables during the revolving period), which caps the weighted-average original loan-to-value of the loans at 75%.
- The modification of the transfer frequency from the specially-dedicated collection account to the issuer bank accounts from daily to monthly as long as the dedicated account bank is rated at least 'A'/'F1' by Fitch.
- The revision of the commingling reserve arrangements (the commingling reserve will be removed if the servicer, the servicer's controlling entity or mother company is rated at least 'A'/'F1' by Fitch).
- The modification of the amortisation and accelerated amortisation events. A servicer termination event now triggers an accelerated amortisation of the transaction if a new servicer is not appointed within 30 days and an event of default of Credipar's controlling party (Santander Consumer Finance as of June 2015) now triggers the amortisation of the transaction.
- The revision of the fixed coupon on the class B notes to 1.5% from 2%.

RATING SENSITIVITIES
Expected impact on the class A notes rating of increased defaults:
Increase base case defaults by 10%: 'AA+sf'
Increase base case defaults by 25%: 'AAsf'
Increase base case defaults by 50%: 'AA-sf'

Expected impact on the class A notes rating of decreased recoveries:
Reduce base case recovery by 10%: 'AA+sf'
Reduce base case recovery by 25%: 'AA+sf'
Reduce base case recovery by 50%: 'AA+sf'

Expected impact on the class A notes rating of increased defaults and decreased recoveries:
Increase default base case by 10%; reduce recovery base case by 10%: 'AA+sf'
Increase default base case by 25% and reduce recovery base case by 25%: 'AAsf'
Increase default base case 50% and reduce recovery base case by 50%: 'Asf'

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Prior to the transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information.

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information of the Auto ABS3 FCT Compartment 2014-1 transaction (Auto ABS3 2014), which indicated no adverse findings material to the rating analysis. The portfolio perimeter of the Auto ABS3 2014 transaction is similar to the portfolio perimeter of the Auto ABS French Loans Master transaction.

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, 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 France Titrisation (Management Company) as at 30 April 2015
- Historical performance data (delinquencies, cumulative defaults per quarterly origination vintage, dynamic defaults, cumulative recoveries by quarterly default vintage, quarterly prepayment data) split by product type from 2004 to end-2014, provided by Credipar.