February 28, 2017 / 6:45 AM / 6 months ago

惠誉为上汽通用汽车金融的融腾2017年第一期ABS授予首次预期评级

(The following statement was released by the rating agency) Link to Fitch Ratings' Report: Rongteng 2017-1 Retail Auto Mortgage Loan Securitization Trust here HONG KONG/BEIJING, February 28 (Fitch) 本文章英文原文最初于2017年2月24日发布于:<a href="https://www.fitchratings.com/site/pr/1019491">Fitch Assigns Expected First-Time Rating to SAIC-GMAC Finance's Rongteng 2017-1 惠誉评级已为融腾2017年第一期个人汽车抵押贷款资产支持证券化信托(融腾2017-1)的汽车贷款抵押固定票据证券授予首次预期评级。此次发行的证券基础资产由上汽通 用汽车金融有限责任公司(上汽通用汽车金融)发放的个人汽车抵押贷款组成,该公司是中国的首家汽车金融公司,由上海汽车集团股份有限公司持股55%、通用汽车公司(通用汽 车,BBB-/正面)持股45%。这是上汽通用汽车金融的首单由惠誉评级的汽车贷款资产支持证券化(ABS)交易,也是该公司在中国的第八笔汽车贷款ABS交易。 评级如下: 34.48亿人民币的优先级证券的评级:‘AA(EXP)sf’,展望稳定 5.52亿人民币的次级证券的评级:'NR(EXP)sf' 本次证券将由中粮信托有限责任公司(中粮信托)作为融腾2017-1的受托人发行。截至初始起算日2016年11月底,抵押资产池中共有72,875笔个人汽车抵押贷款应 收账款,总余额为40亿元人民币。 关键评级驱动因素 压力倍数与评级相称:惠誉预计上汽通用汽车金融资产池在整个交易存续期间的累计违约率为1.5%。基于汽车金融在中国的有限历史(未经历一个完整经济周期),以及惠誉预计 相对于成熟市场相同评级的证券化资产而言,新兴市场的证券化资产通常面临更高的压力,惠誉针对AAsf评级的违约率采用6.0倍的压力倍数。惠誉对回收率的预期限制为15 %,并在压力环境中进一步减少50%。 强劲的资产池特征:截止到初始起算日(2016年11月30日),加权平均初始抵押率为63%。该资产池的初始加权平均贷款合同期限为36个月,且加权平均贷款账龄为10 个月。该资产池的资产分散度较高——截止到起算日最大单一债务人集中度敞口为未偿还本息余额的0.01%。 发起人和贷款服务机构经验丰富:上汽通用汽车金融是中国资产证券化市场上经验丰富的发起人。该公司在2008年成为首家发行汽车贷款ABS交易的非银行金融机构,并且在这 之后已经累计发行7笔汽车贷款ABS交易。上汽通用汽车金融在中国个人汽车贷款行业拥有12年以上的丰富经验,惠誉相信上汽通用汽车金融是具有实力的发起人及贷款服务机构 。 行业前景及主权评级上限:根据资产池的特点,惠誉认为该资产池的资产前景稳定。惠誉预计2017年中国的失业率和国内生产总值增长率将分别为4.1%和6.4%,2018 年分别为4.1%和5.7%。由于中国的资产证券化市场发展处于早期阶段且国家评级上限为‘A+’,所以惠誉将中国结构融资交易评级的上限定为‘AAsf’。 预期评级敏感性 如果违约频率和违约贷款损失率增加且超出预期,则这种情况可能会导致高于惠誉假设的基准损失水平,并可能会让惠誉对某些证券采取负面评级行动调整。因此惠誉评估了评级相对 交易存续期内总体违约水平上升和回收率降低的敏感性。 分析发现,优先级证券的评级仅在惠誉设定的严重违约情景即基准违约率增加100%(其他因素不变),才会受到影响,下调至‘A+sf’。优先级证券的评级对基准回收率受压 而其他因素不变的情景并不敏感,回收率下降至0%的情景下,评级仍可以达到‘AAsf’。 美国证监会17G-10条所规定的第三方尽职调查的使用 在此次评级中,惠誉没有收到或审阅ABS尽职调查-15E表格。 陈述、保证和执行机制 请参见下方“相关研究”中的附录部分,了解有关发行文件中所披露的该交易的陈述、保证和执行机制(RW&Es)以及有关基础资产池的信息。附录中还包括对该RW&Es与惠 誉认为的该资产类型典型条款的比较,详见2016年5月31日发布的特别报告《全球结构性融资交易中的陈述、保证和执行机制》。 数据的充分性 在交易完成之前,惠誉评估了第三方对资产池信息进行评估的结果,认为没有影响评级分析的发现。 在交易完成之前,惠誉对上汽通用汽车金融的发放贷款文件的一小部分样本进行了审阅,认为所审阅文件中包含的信息与发起人的政策和做法以及向惠誉提供的有关资产池的其他信息 充分一致。 总体而言,惠誉对资产池信息的评估是基于其按照适用评级方法开展的评级分析,表明评估是充分可靠的。 关键评级驱动因素和预期评级敏感性的详情请参见今日发布的预售报告《融腾2017年第一期个人汽车抵押贷款资产支持证券化信托》。 信息来源 以下信息用于分析: - 上汽通用汽车金融提供的截至2016年11月30日的资产池每一笔贷款数据 - 上汽通用汽车金融于2016年12月提供的贷款表现数据 - 上汽通用汽车金融于2016年12月提供的资本结构和结构特征信息 - 发行人的法律顾问金杜律师事务所提供的交易文件 - 上汽通用汽车金融于2017年1月提供的法律意见和承诺函。 发行人已告知惠誉,评级分析中所使用的相关基本信息并非全部为公开信息。 联系人: 首席分析师 Grace Li(李佳蕙) 联席董事 +852 2263 9936 惠誉国际评级有限公司 香港中环德辅道中68号 万宜大厦19楼 第二分析师 Kan Zhou(周侃) 联席董事 +8610 8517 2112 评级委员会主席 Ben McCarthy 董事总经理 +612 8256 0388 Media Relations: Wai-Lun Wan, Hong Kong, Tel: +852 2263 9935, Email: wailun.wan@fitchratings.com. 详情参见<a href="https://www.fitchratings.com">www.fitchratings.com 注意:本新闻稿为中文译本。如有疑问,请以英文版本为准。 Applicable Criteria Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016) here Criteria for Country Risk in Global Structured Finance and Covered Bonds (pub. 26 Sep 2016) here Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016) here Global Consumer ABS Rating Criteria (pub. 01 Dec 2016) here Global Structured Finance Rating Criteria (pub. 27 Jun 2016) here Additional Disclosures Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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