Fitch Affirms Auto ABS 2012-3 at 'AA sf'
Auto ABS 2012-3 FTA is a securitisation of auto loan receivables originated in Spain by Banque PSA Finance, Spanish branch, a subsidiary of Peugeot SA (BB/Stable). The deal was revolving until February 2015, when notes started to amortise.
Fitch notes the partnership between Banque PSA Finance (BPF, the financial captive of the French car manufacturer Peugeot S.A. (PSA, BB/Stable)) and Santander Consumer Finance (SCF, A-/Stable/F2) did not have an impact on the notes' rating.
KEY RATING DRIVERS
Current 30 days plus delinquencies stand at around 1% while cumulative defaults since closing (November 2012) amount to EUR9.2m, which represents around 1.2% of the initial balance. This performance data is better than Fitch's expectations when the initial rating was assigned and we have therefore revised the remaining life default and recovery base cases to 2.5% from 5.0% and to 50% from 30%, respectively.
Large Excess Spread
The deal benefits from strong protection thanks to the significant annual excess spread. The weighted average interest rate on the assets is 9.6% compared with the low coupon of the notes (0.6% and 0.8% for class A and B, respectively).
The rating of the notes is the highest achievable rating for Spanish structured finance transactions, as it is six notches above the Kingdom of Spain's Issuer Default Rating (BBB+/Stable/F2).
The notes are also capped at 'AA+sf' due to the exposure to the account bank, Barclays Bank plc (A/Stable/F1). The rating trigger of the account bank is set at 'A-'/'F2' and hence the highest rating supported is 'AA+sf' in accordance with Fitch's counterparty criteria. Therefore, the notes will not be upgraded even if the Spanish sovereign cap is lifted.
Fitch believes that considerable changes in the default or recovery rates would not lead to a downgrade of the class A notes as follows:
Current Rating: 'AA+sf'
Increase base case default by 15%: 'AA+sf'
Increase base case default by 30%: 'AA+sf'
Decrease base case recovery by 15%: 'AA+sf'
Decrease base case recovery by 30%: 'AA+sf'
Increase base case default by 15%; reduce base case recovery by 15%: 'AA+sf'
Increase base case default by 30%; reduce base case recovery by 30%: 'AA+sf'
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
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 were material to this 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, which indicated no adverse findings material to the rating analysis.
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.
- Loan-by-loan data provided by the European Data Warehouse as December 2015
- Transaction reporting provided by Titulizacion de Activos, SGFT, SA as of January 2016
- Servicer's procedures review as of October 2012
REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Auto ABS 2012-3 - Appendix dated December 2012 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.