OREANDA-NEWS. Fitch Ratings has assigned Auto ABS German Loans Master's class A notes a final rating, as follows:

Class A asset-backed notes, due January 2032, up to a maximum programme size of EUR2.0bn: 'AAAsf'; Stable Outlook

The transaction is a master programme that securitises a portfolio of German auto loan receivables originated by Banque PSA Finance, Niederlassung Deutschland (BPF Germany). Fitch initially rated the transaction in November 2013. We assigned the ratings above with respect to an extension of the programme's replenishment period by four years, compared with an original replenishment phase of two years. Proceeds from the newly issued class A notes were used by the issuer to fully redeem all previously issued class A notes.

The ratings are based on Fitch's assessment of BPF Germany's origination and servicing procedures, Fitch's expectations of asset performance, the available credit enhancement (CE), and the transaction's legal structure.

KEY RATING DRIVERS
Long Revolving Period
The replenishment phase of four years is significantly longer than revolving periods in peer transactions. Investors are thus exposed to an above-average increase of the risk horizon, due to potential economic deterioration or a worsening of the originator's underwriting standards. Fitch factored in the increased risk via default stress multiples in excess of our median criteria levels. In addition, we consider early amortisation triggers adequately shield the transaction from weakening asset performance.

Pool Composition Determines OC
The pool consists of four different sub-pools, with significant performance differentials. No sub-pool exposure limits are in place, so the overall pool composition could shift materially during the revolving period. Dynamic overcollateralisation (OC), created through the subordination of the class B notes, will adjust to reflect the risk characteristics of the then current portfolio mix. In Fitch's view, each sub-pool's specific OC level is adequate to resist 'AAA' stresses, even if the portfolio comprises only assets from one single sub-pool.

Weaker Performance of Recent Loans
The originator's historical default data shows that performance of more recent vintages has been weaker than historical averages. Fitch notes that this is different from German peer originators whose recent origination vintages have performed better than more seasoned ones, in light of the benign economic environment. We considered this trend when determining performance expectations.

Servicer-Related Risks Addressed
No back-up servicer was appointed at closing of the transaction. However, servicing continuity risk is reduced by different operational elements, such as well-documented servicer replacement obligations. Furthermore, a specially dedicated collection account and a commingling reserve address commingling risk, while an adequately sized reserve fund is available to reduce servicing disruption risk.

TRANSACTION STRUCTURE
The originator is the German branch of Banque PSA Finance, itself the financial arm of the French car maker Peugeot S.A. (BB/Stable). The portfolio comprises amortising and balloon loans, granted to private and commercial borrowers, and used to finance new and used vehicles. The issuer entered into an interest rate swap agreement at closing to hedge the mismatch between the fixed-paying assets and the floating-rate notes. Credit Agricole Corporate and Investment Bank is the swap provider.

The transaction features a revolving period of up to four years. During the replenishment phase, the issuer will apply collections from the receivables portfolio to purchase additional assets from BPF Germany, subject to certain replenishment criteria being met. The SPV may issue further class A and B notes during the revolving period.

As of the extension date, 58,852 loans were securitised with a weighted average remaining term of 34 months and an average outstanding loan balance of EUR9,151. The major part of the initial portfolio comprises balloon loans to private obligors (49.6%). Balloon and amortising loans to commercial borrowers account for about 16% each. The remainder of the portfolio comprises amortising loans to private customers (17.5%). Loans financing new vehicles at loan origination make up about 77% of the pool, and used vehicle financings account for 23%.

A new issue report, including further information on transaction related stress, key rating drivers and rating sensitivities, as well as material sources of information that were used to prepare the final rating, is available at www.fitchratings.com.

RATING SENSITIVITIES
Expected impact on the note rating of increased defaults:
Current ratings: 'AAAsf'
Increase base case defaults by 10%: 'AA+sf'
Increase base case defaults by 25%: 'AA+sf'
Increase base case defaults by 50%: 'AA-sf'

Expected impact on the note rating of reduced recoveries:
Current ratings: 'AAAsf'
Reduce base case recovery by 10%: 'AAAsf'
Reduce base case recovery by 25%: 'AAAsf'
Reduce base case recovery by 50%: 'AA+sf'

Expected impact on the note rating of increased defaults and reduced recoveries:
Current ratings: 'AAAsf'
Increase default base case by 10%; reduce recovery base case by 10%: 'AA+sf'
Increase default base case by 25%; reduce recovery base case by 25%: 'AAsf'
Increase default base case by 50%; reduce recovery base case by 50%: 'A+sf'

DUE DILIGENCE USAGE
Fitch was provided with a third party asset portfolio assessment in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of the third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis. Fitch believes the sample size and relevance of the tested fields suggest the data provided by the originator for assigning the ratings was of acceptable quality.

Fitch conducted a review of a small targeted sample of BPF Germany'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:
- Transaction pool stratification data provided by BPF Germany.
- Historical development of outstanding loan volumes for the total portfolio and sub-portfolios, covering the period between 1Q07 and 2Q15.
- Historical development of quarterly loan originations for the total portfolio and sub-portfolios, for the period between 1Q07 and 2Q15.
- Quarterly dynamic delinquency data, for the overall portfolio and sub-pools. The data provided covers the period between 1Q07 and 2Q15.
- Quarterly static default vintage data, for the overall book and sub-portfolios. The data provided spans the period between 1Q04 and 2Q15.
- Quarterly recovery vintages for the overall book and sub-portfolios. The data provided spans the period between 1Q07 and 2Q15.
- Dynamic quarterly prepayment data from 1Q07 to 2Q15 for the total portfolio and sub-pools.