Reuters logo
Fitch Assigns A-Best 13 Tap Issuance Final Ratings, Affirms Outstanding Notes
November 24, 2017 / 10:53 AM / 19 days ago

Fitch Assigns A-Best 13 Tap Issuance Final Ratings, Affirms Outstanding Notes

(The following statement was released by the rating agency) MADRID, November 24 (Fitch) Fitch Ratings has assigned Asset-Backed European Securitisation Transaction Thirteen, FT's (A-Best 13) tap issuance final ratings, and affirmed the outstanding notes as follows: EUR45 million Class A tap (ISIN ES0305106009): 'AA+sf'; Positive Outlook EUR225.5 million Class A notes (ISIN ES0305106009): affirmed at 'AA+sf'; Positive Outlook EUR7.2 million Class B tap (ISIN ES0305106017): 'Asf'; Stable Outlook EUR36.5 million Class B notes (ISIN ES0305106017): affirmed at 'Asf'; Stable Outlook The transaction is a securitisation of a revolving pool of auto loans and leases granted to Spanish individuals and corporates by FCA Capital Espana (FCAC or the originator). The originator is a wholly owned subsidiary of FCA Bank S.p.A. (FCAB; BBB+/Sable/F2), a joint venture between Fiat Chrysler Automobiles (FCA) and Credit Agricole Consumer Finance. The transaction, which originally closed in November 2015, has been restructured with the main goal of extending the revolving period by an additional year to January 2019, and increasing the securitised portfolio balance to EUR377.7 million from EUR315.0 million. In addition, the class A notes margin has been lowered to 0.4% from 1%. KEY RATING DRIVERS Stable Credit Assumptions Fitch's credit assumptions are identical to those assigned when the transaction closed in November 2015, for both the base case and the stress scenarios for the notes' ratings. This is mainly due to the stable composition of the securitised portfolio, the stable underwriting and servicing standards of the originator and the portfolio's observed and projected stable credit performance. The portfolio comprises four key product types: new car loans to individuals; used car loans to individuals; loans to corporates; and leases. Fitch's rating analysis under a base case scenario is linked to a default rate for each product of 4%, 7%, 6% and 8% respectively, and a single recovery rate of 30%. Revolving Period Extension Fitch believes the extension of the revolving period by one year until January 2019 does not introduce additional credit risk to the transaction. Fitch's credit analysis assumes the securitised portfolio migrates to the worst product mix permitted by the transaction covenants during the revolving period, which implies a maximum concentration of 20%, 20% and 35% on used car loans, leases and corporates, respectively. The worst portfolio composition is linked to a lifetime base case loss rate of 4.1%, in line with that assumed at closing. Stable Credit Enhancement Credit enhancement for the rated notes remains identical after the tap issuance, at 29.2% and 17.6% for the class A and B notes, respectively. The tap issuances are fungible with the existing notes. Excessive Counterparty Exposure The class B notes' rating is capped at the SPV account bank rating considering that up to 15% of principal collections during the revolving period could be accumulated in the issuer account bank. Thus, a very material source of structural credit enhancement for this tranche could be in the form of cash reserves kept at the relevant bank account (BNP Paribas SA; A+/Stable/F1). RATING SENSITIVITIES Unexpected increases in the default rate and decreases in the recovery rates could result in negative rating action on the notes. The following are the model-implied sensitivities stemming from a change in selected input variables for class A/B respectively: Current ratings: 'AA+sf' and 'Asf' Increase base case defaults by 30%: 'A+sf'/'BBB+sf' Reduce base case recovery rate by 30%: 'AAsf'/'Asf' Increase base case defaults by 30% and decrease recoveries by 30%: 'A+sf'/'BBBsf' The class B notes' rating is capped at the SPV account bank's ratings during the revolving period, as cash collections are permitted up to 15% of the portfolio balance. Therefore, the class B notes' rating could be downgraded if the SPV account bank rating was downgraded below 'A'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, Fitch's assessment of the asset pool 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. - Securitisation loan-by-loan data provided by FCAC as at 30 October 2017 - Static default and recovery data by product type since 2007 up to end-2016 MODELS The model below was used in the analysis. Click on the link for a description of the model. <a href="https://www.fitchratings.com/site/structuredfinance/emeacfm ">EMEA Cash Flow Model. REPRESENTATIONS AND WARRANTIES A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016. Contacts: Primary Analyst Luis Romaguera Analyst +34 91 702 5777 Fitch Ratings Espana SAU Plaza Colon 2, Torre II 28046 Madrid Secondary Analyst Alberto Faraco Associate Director +34 91 702 5778 Committee Chairperson Juan David Garcia Senior Director +34 91 702 5774 Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Consumer ABS Rating Criteria (pub. 25 May 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 2017) here Structured Finance and Covered Bonds Country Risk Rating Criteria (pub. 18 Sep 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Related Research Asset-Backed European Securitisation Transaction Thirteen, FT (A-Best 13) - Appendix here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

Our Standards:The Thomson Reuters Trust Principles.
0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below