Fitch Revises Bosphorus Finance DPR Series' Outlook to Negative; Affirms Ratings
Bosphorus is a securitisation of diversified payment rights (DPRs) originated by Finansbank A. S. (Finansbank; BBB/Stable/F3). DPRs are payment orders processed by banks mainly reflect payments due on the export of goods and services, capital flows and personal remittances. Bosphorus has purchased all present and future DPRs denominated in dollar, euro and pound from Finansbank, financed through issued notes that are secured on the DPRs.
KEY RATING DRIVERS
The affirmations follow Fitch's recent downgrade of Finansbank's Long-Term Local Currency (LTLC) Issuer Default Ratings (IDR) to 'BBB' from 'BBB+' Outlook Stable (for more details see Fitch Takes Action on 15 Turkish Banks Following Sovereign Criteria Change, dated 28 July 2016 at www. fitchratings. com).
The Outlook of the outstanding notes have been revised to Negative due to the small cushion of DPR flows protecting the debt service coverage ratio (DSCR) ratio compared with other programmes. However, Fitch has applied a two-notch uplift from the LTLC IDR based on our going concern assessment (GCA) score on Finansbank, which remains unchanged at GC2.
The GC2 score indicates Finansbank's importance to the Turkish banking system as the eighth-largest bank in Turkey and also the parental support from Qatar National Bank (QNB; AA-/Stable/F1+). Finansbank had unconsolidated assets of USD30.9bn at March-2016, representing about 3.9% of the system's total deposits and assets, according to the Banks Association of Turkey.
Fitch has applied a two-notch uplift on Bosphorus's ratings over Finansbank's LTLC IDR of 'BBB'. The notching uplift is supported by the stability, strength and diversification of the DPR flows, size of the total outstanding notes relative to Finansbank's overall indebtedness and DSCR.
The Fitch calculated monthly DSCR, excluding all Turkish flows, at 24x as of end-May 2016. Fitch tested the sustainability of coverage under various scenarios, including FX - and interest-rate stresses and a reduction in remittances at a given time. The flows are healthy and the DSCR is adequately above coverage-related trigger levels set out in the transaction documents. However, the programme is susceptible to further decline in flows due to the low DSCR ratio relative to other DPR programmes.
RATING SENSITIVITIES
The most significant variables affecting the transactions' ratings are the credit quality of the bank, the impact of the parent on the bank's LTLC IDR, the GCA score, and coverage. A change in any of these variables will be analysed for their impact on the transaction's ratings.
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 has checked the consistency and plausibility of the information it has received about the performance of the DPR programme. There were no findings that were material to this analysis. Fitch has neither requested any third party assessment of the information about DPR flows nor conducted a review of origination files because there is no existing asset portfolio to assess in future flow transactions.
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.
- Investor reports and information provided by Finansbank A. S. as at 11 July 2016
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