OREANDA-NEWS. Fitch Ratings has affirmed four auto loan and lease securitisations, originated by Banque PSA Finance (BPF), German branch as follows:

EUR361.2m class A notes (FR0011481589) issued by Auto ABS FCT Compartiment 2013-1, due May 2020: affirmed at 'AAAsf'; Outlook Stable

Up to EUR1.5bn class A notes issued by Auto ABS German Lease Master, due April 2023: affirmed at 'AAAsf'; Outlook Stable

Up to EUR2bn class A notes issued by Auto ABS German Loans Master, due January 2028: affirmed at 'AAAsf'; Outlook Stable

EUR720m class A notes (FR0011143767) issued by Auto ABS German Loans Compartment 2011-2: affirmed at 'AAAsf'; Outlook Stable

The 2013-1 and Lease Master transactions are securitisations of leasing receivables, inclusive of residual values. The 2011-2 and Loans Master transactions are securitisations of loan receivables inclusive of balloon shares and remain in their revolving period. The 2013-1 and 2011-2 transactions are amortising.

The securitised pools comprise loans and leases advanced to German individual and commercial customers. The originator is the German Branch of BPF, the captive finance company of Peugeot S.A. (BB/Stable).

KEY RATING DRIVERS
The affirmation reflects the solid performance of the loan and lease portfolios and the credit enhancement (CE) provided in the respective structures.

CE is provided by overcollateralisation (OC). All the transactions benefit from an amortising reserve fund, which mainly provides liquidity support. It may also provide credit support if amortising amounts are used for note redemption via a principal deficiency ledger (default provisioning). The reserve funds - or the floor amount in the Compartiment 2013-1 - will ultimately be released into the waterfall for redemption of the notes.

Auto ABS FCT Compartiment 2013-1
The transaction has performed in line with Fitch's expectations.

With amortisation of the notes, CE has risen and is currently 46.6%. It is provided by OC and the reserve fund. Only the floor of the reserve fund (amounting to EUR4.2m) will ultimately be available for redemption of the notes.

As of end-July 2015, cumulative defaults and cumulative losses were 1.1% and 0.4% of total purchased assets. Fitch notes that these figures were somewhat skewed to the downside by the transfer of performing assets during the revolving period. Nevertheless, even excluding the newly purchased assets, the transaction's performance is still in line with the agency's expectations.

The discounted residual value (RV) balance accounts for 72% of total discounted portfolio balance, up from 56% at closing. The RV share is expected to rise with further amortisation of the portfolio. We have factored this into our analysis.

Auto ABS German Lease Master
The transaction has performed in line with our expectations. The portfolio balance remains relatively small, but is expected to increase with further replenishment. CE is provided by OC and a reserve fund amounting to 2.15% of assets. Amortisation amounts can be used to provision for defaults.

As of end-August 2015, cumulative defaults and cumulative losses were 0.3% and 0.1% of total purchased assets.

At maturity of the lease contract, both Compartment 2013-1 and Lease Master can sell the vehicles to the originator at the contractually agreed RV. This repurchase commitment indemnifies the issuers from RV risks in a base case, but not in a stressful rating scenario in which the originator may have defaulted.

Auto ABS German Loans Compartment 2011-2
This is the most seasoned of the four transactions. CE has increased substantially with amortisation of the notes and is expected to rise further from its current level of 49.4%. CE is provided by OC and a cash reserve, amortisation amounts of which can be used to provision for defaults.

The performance has been better than our expectations, with defaults being lower than initially assumed and recoveries being higher. Cumulative defaults and losses as a percentage of all purchased assets were 0.7% and 0.3% as of August 2015.

Auto ABS German Loans Master
The transaction has evolved in line with our initial expectations. It features dynamic CE, currently 17.2%, which will be adjusted based on pool composition. CE is provided by OC as well as a cash reserve, the amortisation amounts from which can be used to provision for defaults. Funds not used for replenishment are considered to provide CE.

As of end-July 2015 cumulative defaults and losses as a percentage of all purchased assets were 0.5% and 0.2% respectively.

RATING SENSITIVITIES
The ratings of Compartiment 2013-1 and Compartment 2011-2's class A notes are insensitive to stressing the default and/or recovery base case by up to 25%. As the portfolio of the Lease Master and Loans Master has been revolving in line with the agency's assumptions, their initial rating sensitivities remain unchanged. They are further described in the new issue reports dated 24 October 2013 and 28 November 2013, respectively, at www.fitchratings.com.

Each of the issuers is a French securitisation fund (Fonds Commun de Titrisation or FCT) that was established jointly by BPF (the custodian) and France Titrisation (the management company). It is governed by the FCT regulations and the provisions of the French Monetary and Financial Code.

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 originator's 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.

SOURCES OF INFORMATION
Periodic servicer and payment reports and from the management company, France Titrisation.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is available by accessing the appendix that accompanies the initial new issue report. Please refer to the respective appendix published at www.fitchratings.com.