OREANDA-NEWS. January 26, 2016. Fitch Ratings has affirmed three French auto ABS transactions and one French auto lease ABS transaction as follows:

FCT Auto ABS Compartiment 2012-1 (Auto ABS 2012)
Class A notes affirmed at 'AAAsf'; Outlook Stable

Auto ABS French Loans Master (Auto ABS Master)
Class A notes affirmed at 'AAAsf'; Outlook Stable

Auto ABS FCT Compartiment 2013-2 (Auto ABS 2013)
Class A notes affirmed at 'AAAsf'; Outlook Stable
Class B notes upgraded to 'AAsf'; Outlook Stable from 'A+sf'; Outlook Stable

Auto ABS3 FCT Compartiment 2014-1 (Auto ABS 2014)
Class A notes affirmed at 'AAAsf'; Outlook Stable
Class B notes affirmed at 'Asf'; Outlook Stable

The transactions are originated by Credipar, a subsidiary of Societe Financiere de Banque (Sofib), a joint venture between (i) Banque PSA Finance, which is the financial captive of the French car manufacturer Peugeot S.A. (PSA; BB/Stable); and (ii) Santander Consumer France, which is 100% owned by Santander Consumer Finance (A-/Stable/F2).

KEY RATING DRIVERS
Transaction Characteristics
Auto ABS 2013, 2014 and Auto ABS Master are securitisations of French auto loans advanced to individual and self-employed customers for the purchase of new or used vehicles for private use. Auto ABS 2013 has been amortising since November 2014 and Auto ABS 2014 and Auto ABS Master are still revolving.

The securitised portfolio of Auto ABS 2012 consists of auto lease agreements advanced to individuals and small and medium-sized companies for the purchase of new Peugeot or Citroen vehicles originated via the dealer network of PSA group. The transaction has been amortising since January 2015.

Robust Performance
The affirmations reflect the robust performance of the underlying assets. As of the last reporting date (November 2015), one-month plus arrears (excluding defaults) ranged between 0.4% (Auto ABS Master) and 0.7% (Auto ABS 2012) of the current portfolio balance. Since inception, the transactions have performed in line with or better than Fitch's initial expectations in terms of defaults and recoveries.

The cumulative default rates stand respectively at 1.1%, 0.5%, 0.3% and 2.9% of the asset balance for Auto ABS 2013, Auto ABS Master, Auto ABS 2014 and Auto ABS 2012. These levels are either in line or below Fitch expectations.

The revolving transactions still benefit from the adequate credit enhancement set at closing. Class A credit enhancement for Auto ABS 2013 and Auto ABS 2012 has built up and was 18.4% for Auto ABS 2013 (vs. 9.0% at closing) and 56.6% for Auto ABS 2012 (vs. 33.0% at closing). Classe B credit enhancement for Auto ABS 2013 has also increased due to the deleveraging of the transaction and was 10.3% as of November (vs. 5% at closing).

All the transactions have benefited in the last few months from a significant level of gross excess spread.

RATING SENSITIVITIES
Fitch has revised its original base case default expectation to 2.5% from 3.2% for Auto ABS 2013 and to 4.0% from 4.5% for Auto ABS 2012.

The expected impact upon the notes' rating of increased defaults and reduced recovery by 25% is as follows:

Auto ABS 2013:
Class A Current Rating: 'AAAsf'; Expected Impact: 'AAAsf'
Class B Current Rating: 'AAsf'; Expected Impact: 'AA-sf'

Auto ABS 2012:
Class A Current Rating: 'AAAsf'; Expected Impact: 'AAAsf'

Fitch has maintained its initial base case for Auto ABS 2014 and Auto ABS Master which are still revolving. Therefore, the rating sensitivities are still in line with the original ones.

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 pools and the transactions. 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 of Auto ABS 2013, Auto ABS 2014 and Auto ABS 2012 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 of Auto ABS Master, Fitch did not review the results of a third party assessment conducted on the asset portfolio information.

Prior to the transaction closing of Auto ABS 2014, Auto ABS Master and Auto ABS 2012, Fitch conducted a review of a small targeted sample of Credipar'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. For Auto ABS 2013, no file review was conducted but the initial analysis relied on the one made for Auto ABS Master due to the proximity of both transaction in terms of collateral and issuance.

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
The information below was used in the analysis.
- Transaction reporting provided by France Titrisation as at December 2015

MODELS
The Fitch Granular Asset Model Analyser (GALA Model) was used in the analysis. More information on this model is available on the Fitch website.

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 reports 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.