OREANDA-NEWS. November 30, 2015.  Fitch Ratings has assigned Asset-Backed European Securitisation Transaction Thirteen, FT (A-Best 13)'s notes the following ratings:

EUR225.5m floating rate Class A notes, due in August 2030: 'AA+sf'; Outlook Stable
EUR36.5m floating rate Class B notes, due in August 2030: 'Asf'; Outlook Stable
EUR53.0m fixed rate Class M notes, due in August 2030: not rated

The transaction is a securitisation of a revolving pool of auto loans and leases granted to Spanish resident 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/Positive/F2), a joint venture between Fiat Chrysler Automobiles (FCA) and Credit Agricole Consumer Finance.

KEY RATING DRIVERS
Blended Default Rate Assumption
The portfolio comprises four key product types: new car loans to individuals, used car loans to individuals, loans to corporates and leases. Fitch has assumed a base case default rate for each product of 4%, 7%, 6% and 8%, respectively, based on post-2008 historical performance. Combined with a flat recovery rate of 30%, these assumptions result in a weighted average (WA) base case lifetime loss rate for the initial portfolio of 3.3%, which is moderate relative to other recent Spanish auto ABS transactions rated by Fitch.

Revolving Period Portfolio Migration
The transaction has a 26-month revolving period. As of the end of the revolving period, Fitch has assumed a worst portfolio loss rate of 4.0%, compared with the 3.3% loss rate expectation for the closing portfolio. This stress captures a potential product mix migration, limited by transaction covenants establishing maximum concentrations: 20%, 20% and 35% for used car loans, leases and corporates, respectively (vs. initial concentration of 6.9%, 9.6% and 17.7%, respectively.)

High Loss Rate Stresses
Fitch has assumed WA portfolio stressed loss rate assumptions of 18.5% and 28.4%, at the 'A' and 'AA+' rating scenarios, respectively, which are high relative to other recent Spanish auto ABS transactions rated by Fitch. These assumptions result from high default rate multiples and recovery haircuts (i.e. 5.7x and 54% at a 'AA+' stress, respectively). In Fitch's view, these are justified by higher defaults for pre-2009 vintages, which are not captured in our base case, exposure to balloon receivables, and volatility of historical recoveries.

Significant Credit Protection
The class A and B notes have credit enhancement of 29.2% and 17.6%, respectively, provided by overcollateralisation and a cash reserve. In addition, the transaction may benefit from significant excess spread, as the assets pay a minimum fixed rate of 6% (as per the revolving covenants), while the rated notes receive a WA rate of 1.1% at closing. Available net excess spread on each interest payment date may be used to provision for cumulative defaults, defined as receivables in excess of 180 days past due.

Interest Rate Hedge
Interest rate risk is hedged by a fixed-floating swap with an eligible counterparty, in accordance with Fitch's Counterparty Criteria. Under the swap agreements, the SPV will pay aggregate fixed rates of 7bps and receive from the counterparty one-month Euribor, which is the reference rate of the rated notes. The notional on both legs of the swap is the rated notes' outstanding balance.

No Set-off Exposure
Fitch considers set-off is a non-material risk for the transaction. The originator is not a deposit-taking institution. In addition, Fitch understands from the originator's legal counsel that under Spanish law no set-off could be exercised as a result of premiums paid due to insurance policies signed at the same time as the auto loans and leases.

No Residual Value Exposure
The closing pool could migrate during the revolving period so that it included a relatively large amount of loans and leases with optional balloon payments. However, these amounts will not be securitised, so the SPV is not exposed to residual value risk.

RATING SENSITIVITIES
The following are the model-implied sensitivities from a change in selected input variables:

Current ratings:
- Class A notes: 'AA+sf'
- Class B notes: 'Asf'

Increase in default rates by 25%:
- Class A notes: 'A+sf'
- Class B notes: 'BBB+sf'

Decrease in recovery rates by 25%:
- Class A notes: 'AAsf'
- Class B notes: 'Asf'

Increase in default rates by 25% and decrease in recovery rates by 25%:
- Class A notes: 'A+sf'
- Class B notes: 'BBB+sf'

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
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.

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 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 20 September 2015
- Static default and recovery data on the originator's aggregate portfolio since 2007
- Static default and recovery data by product type and main car brands since 2009
- Originator's loan book delinquencies and prepayment data since 2009
- Originator's loan book stratifications since 2007

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Asset-Backed European Securitisation Transaction Thirteen, Fondo de Titulizacion (A-Best 13) - Appendix, dated 25 November 2015 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.