Fitch Affirms Retail Automotive CP Germany 2013 UG
EUR200.6m Class A notes affirmed at 'AAAsf'; Stable Outlook
The transaction is a securitisation of German fixed-rate multi-brand auto loans, originated by CreditPlus Bank AG in Germany. The bank is a subsidiary of CA Consumer Finance and part of the Credit Agricole group.
KEY RATING DRIVERS
The transaction started to amortise in August 2014 and 46% of the class A notes have been repaid. Cumulative defaults and 30d+ delinquencies are low, at 0.47% and 0.44% respectively. Losses reached 0.25% but they are lower than Fitch base case. Defaults have been covered by the available excess spread via the principal deficiency ledger mechanism.
Credit enhancement for the class A notes is provided through overcollateralisation and a cash reserve. Due to the sequential redemption of the notes, credit enhancement for the class A notes has increased rapidly to 13.8% from 8.4%, thus providing additional support to the senior notes against losses.
The cash reserve consistently has the required amount and is available in case of payment interruption. Remedial actions are in place to cover operational risk and together with the available reserve they are considered sufficient to support the class A notes in a potential payment shortfall.
The rating is further supported by Germany's stable economy and record-low unemployment. Additionally, the ABS Rating Outlook for the country is Stable to Positive.
RATING SENSITIVITIES
Fitch has revised its lifetime default base case to 1.25% from 1.62% at closing. Expected impact of increased defaults and reduced recoveries on the class A notes' rating:
Current rating: 'AAAsf'
Increase default base case by 25%: 'AAAsf'
Reduce recovery base case by 25%: 'AAAsf'
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed 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 asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
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.
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