OREANDA-NEWS. Fitch Ratings has affirmed Auto ABS 2012-3 FTA's class A notes at 'AA+sf' with a Stable Outlook.

Auto ABS 2012-3 FTA is a revolving securitisation of auto loan receivables originated in Spain by Banque PSA Finance, Spanish branch, a subsidiary of Peugeot SA (B+/Positive).

Fitch notes that the partnership between Banque PSA Finance (BPF, the financial captive of the French car manufacturer Peugeot S.A. (PSA, B+/Positive)) and Santander Consumer Finance (SCF, A-/Stable/F2) does not have an impact on the notes' rating.

KEY RATING DRIVERS
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 9.5% compared with the low coupon of the notes.

Strong Collateral Performance
Current 30d+ delinquencies stand at 0.8% while cumulative defaults since closing (November 2012) amount to EUR7.0m, which represents less than 1% of the initial balance. In addition, cumulative recoveries stand at close to 50% of defaulted loans. Fitch has kept the lifetime base cases of defaults and recoveries of 6% and 30%, respectively, given the short time period elapsed since closing and to take into account a potential scenario of back-loaded defaults.

Credit Enhancement to Increase
The credit enhancement, which was stable at 17.5% during the revolving phase, will start building up once the notes start amortising in March 2015.

Sovereign Cap
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).

Counterparty Exposure
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.

RATING SENSITIVITIES
Fitch has maintained its lifetime default and recovery base cases at 6% and 30%, respectively

Expected impact upon the note rating of increased defaults:
Current Rating: 'AA+sf'
Increase base case defaults by 25: 'AA+sf'

Expected impact upon the note rating of decreased recoveries:
Current Rating: 'AA+sf'
Reduce base case recovery by 25%: 'AA+sf'

Expected impact upon the note rating of increased defaults and decreased recoveries:
Current Rating: 'AA+sf'
Increase default base case by 25%; reduce recovery base case by 25%: 'AA+sf'