(The following statement was released by the rating agency)
March 14 - Fitch Ratings - Paris/London - 14 March 2012: Fitch Ratings has affirmed Auto ABS Compartiment 2006-1’s (Auto ABS 2006) notes as follows:
EUR7.9m class A notes affirmed at ‘AAAsf’; Stable Outlook
EUR132m class B notes affirmed at ‘AA-sf’; Stable Outlook
The affirmation reflects the increasing credit enhancement for the notes, as a result of the transaction’s continued deleveraging, and the solid performance of the underlying receivables.
As of end-January 2012, the class A notes benefited from 102.4% credit enhancement, through the subordinated class B notes (70.1%), the continued overcollateralisation levels (25.7%) and the reserve fund (6.6%), while the class B notes benefited from 32.4% credit enhancement from both the overcollateralisation (25.7%) and the reserve fund amount (6.6%).
The transaction has performed better than Fitch’s base case assumptions in terms of gross defaults, recoveries and net defaults. As of end-January 2012, the cumulative gross default ratio stood at 3.9% compared to a base case of 5.3% for the same period and the cumulative net default ratio was negative, -0.1% versus a base case assumption of 1.57%. This negative figure is achieved by the fact that recoveries include a portion of interest past due on defaulted receivables whereas the defaults recorded only include the principal loss. In addition, the performance has been characterised by stable delinquency levels, averaging 2.9% over the past 12 months and strong excess spread levels (annualised level of 3.8% as of end-January 2012).
The receivables included as collateral for this transaction include some residual value risk at the tenor of the lease. Fitch notes that, as of end-January 2012, the transaction has a higher exposure to a proportion of lease receivables with the highest residual value risk. Despite this, Fitch considers that the deleveraging of the transaction, the continued overcollateralisation, the solid performance of the underlying receivables in terms of defaults and recoveries and the fully funded reserve fund (EUR12.5m, its minimum floor level) provide sufficient protection for the notes.
The transaction is a securitisation of auto lease receivables originated in France by Compagnie Generale de Credit aux Particuliers (Credipar). Banque PSA Finance, Credipar’s parent Company is 100% owned by Peugeot S.A. (PSA; ‘BB+'/Stable/‘B’). The securitised portfolio consists of auto lease agreements originated via the dealer network of PSA Group and bearing on Peugeot and Citroen brands only.