DBRS Confirms Ratings to Auto ABS 2012-3, FTA

DBRS Ratings Limited (“DBRS”) has reviewed Auto ABS 2012-3, FTA (“the Issuer”) and confirms the following ratings:
• Class A Notes at AA (low) (sf);
• Class B Notes at CCC (sf).

Auto ABS 2012-3, FTA is a securitisation of a portfolio of Spanish auto loan receivables originated and serviced by Banque PSA Finance S.A., Spanish Branch (“BPF” or “Originator”). BPF is a wholly-owned subsidiary of Banque PSA Finance S.A., which in turn is owned by Peugeot S.A.

The transaction has a 13-month revolving period during which BPF may sell subsequent portfolios by choosing between seven combinations of portfolio concentration, cash reserve target and weighted average interest rate. The revolving period will end on 26 December 2013.
Confirmation of the ratings for the Notes is based upon the following analytical considerations:

• Portfolio performance, in terms of defaults and level of delinquencies, as of the 28 November 2013 Payment Date.
• Actual gross default rate, recovery rate and expected losses are within DBRS expectations.
• No early-amortization event has occurred.
• Current available credit enhancement to Class A Notes and Class B Notes to cover the expected losses at the AA (low) (sf) and CCC (sf) rating level, respectively.

Over the first 12 months of the transactions, the 0-30 days arrears ratio has been volatile and is currently at 1.18%. However, this is not concerning as the 31-60 and 61-90 days arrears ratios have been steady and relatively low, currently 0.58% and 0.16%, respectively. Delinquencies greater than 90 days are also very low at 0.07%.Cumulative default ratio showed an increasing trend since rating but is still very low at 0.15%.

Credit enhancement for Class A Notes is provided by subordination of Class B Notes and a fully funded Cash Reserve of €8mn (equal to 1% of the initial aggregate balance of the Notes). Class B Notes credit enhancement consists of the fully funded Reserve Fund only. Current credit enhancement for Class A Notes and Class B Notes, as a percentage of the current performing balance of the portfolio, is 17.42% and 0.91%, respectively.

A Commingling Reserve of €28mn has been set up at closing. This reserve fund will be maintained to an amount equal to 3.5% of the outstanding balance of the assets (including Defaulted Loans) on each Payment Date.
Barclays Bank Plc (Spanish Branch) is the Account Bank for the transaction. The DBRS private rating of Barclays Bank Plc (Spanish Branch) is above the Minimum Institution Rating given the highest rating assigned to the senior-most trance rated, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Titulización de Activos S.G.F.T., S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 27 November 2012, when DBRS assigned a rating of AA (low) (sf) to the Class A Notes and of CCC (sf) to the Class B Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case PD and LGD of the current pool of receivables are 7.68% and 22.21%, respectively. The PD of 7.68% accounts for an additional sovereign stress which has been applied to capture the sovereign rating of the Kingdom of Spain.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes and Class B Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to drop to A (low) (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to drop to A (low) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to drop to BBB (low) (sf), all else being equal.

Class A Risk Sensitivity:

• 25% increase in LGD, expected rating of A (high) (sf).
• 50% increase in LGD, expected rating of A (low) (sf).
• 25% increase in PD, expected rating of A (high) (sf).
• 50% increase in PD, expected rating of A (low) (sf).
• 25% increase in LGD and 25% increase in PD, expected rating of A (low) (sf).
• 25% increase in LGD and 50% increase in PD, expected rating of BBB (high) (sf).
• 50% increase in LGD and 25% increase in PD, expected rating of BBB (high) (sf).
• 50% increase in LGD and 50% increase in PD, expected rating of BBB (low) (sf).

Class B Risk Sensitivity:

• 25% increase in LGD, expected rating of CC (sf).

• 50% increase in LGD, expected rating of C (sf).

• 25% increase in PD, expected rating of CC (sf).

• 50% increase in PD, expected rating of C (sf).

• 25% increase in LGD and 25% increase in PD, expected rating of C (sf).

• 25% increase in LGD and 50% increase in PD, expected rating of D (sf).

• 50% increase in LGD and 25% increase in PD, expected rating of D (sf).

• 50% increase in LGD and 50% increase in PD, expected rating of D (sf).

  For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
  http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 23 November 2012
Initial Rating Committee Chair: Erin Stafford

Last Rating Date: 27 November 2012

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies and are as follows:

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Rating European Consumer and Commercial Asset-Backed Securitisations.