DBRS Confirms the Ratings to Auto ABS2 Compartiment 2013-A
AutoDBRS Ratings Limited (“DBRS”) has reviewed Auto ABS2 Compartiment 2013-A (“the Issuer”) and has confirmed the following ratings:
• Class A Notes confirmed at AAA (sf), and
• Class B Notes confirmed at ‘A’ (sf).
The confirmation of the ratings on the Class A and the Class B Notes is based upon the following analytical considerations, as described more fully below:
• Portfolio performance, in terms of defaults and delinquencies, as of the October 2014 Investor Report.
• Updated default, recovery, loss and residual value assumptions on the remaining balance of the collateral portfolio.
• Current available credit enhancement to the Class A Notes and the Class B Notes to cover the expected losses at the AAA (sf) and ‘A’ (sf) rating level, respectively.
Auto ABS2 Compartiment 2013-A is a revolving cash securitisation of lease and residual value receivables extended by Crédipar (the “Originator”) to French private commercial companies for the purpose of acquiring new vehicles manufactured by the PSA Group and sold through its network of dealers.
The transaction is still in its 2-year revolving period. Performance triggers and concentration limits are in place to mitigate the potential portfolio performance deterioration. To date, all of them pass.
The pool is granular and benefits from geographic diversification in metropolitan France.
The cumulative gross default ratio (calculated on the initial collateral balance) increased over the year but is still relatively low at 0.72%. As per the October 2014 payment date, the 90+ delinquency ratio is 0.06%.
The Class A Notes are supported by subordination of the Class B Notes and the Class C Notes, while the Class B Notes are supported by subordination of the Class C Notes. Credit enhancement for the Class A Notes remains stable at 30.23%, that of the Class B Notes at 23.22%. However, the transaction is still in the revolving period.
The deal benefits from an amortising Reserve Fund available to cover liquidity during the life of the transaction but also available for credit under certain circumstances envisaged in the transaction documents. The Reserve Fund is currently at the target level of EUR 9.18 million.
Additionally, a Performance Reserve of EUR 12.75 million aims at guaranteeing the financial obligations of the Seller and a Commingling Reserve of EUR 1.29 million covers for the potential commingling risk.
BNP Paribas Securities Services SA is the Account Bank for the transaction. The DBRS private ratings of BNP Paribas Securities Services SA is at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, 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 monthly investor reports provided by Compagnie Generale de Credit aux Particuliers SA as well as data from the European DataWarehouse. 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 31 October 2013, when DBRS assigned final ratings of AAA (sf) to the Class A Notes and of ‘A’ (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), Loss Given Default (LGD) and a Residual Value Haircut (RVH) 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 5.63% and 45.59%, respectively. Additionally, the Base Case RVH for the Class A and Class B are 30% and 20%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes and the Class B Notes if the PD and RVH increase by a certain percentage over the Base Case assumption. For example, if the RVH increases by 50% the rating for the Class A Notes would be expected to be AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to be AAA (sf), all else being equal. If both the RVH and PD increase by 50%, the rating of the Class A Notes would be expected to be AAA (sf), all else being equal.
Class A Notes Risk Sensitivity:
• A hypothetical increase of the base case PD by 25% or 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case RVH by 25% or 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the RVH by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the RVH by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the RVH by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the RVH by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
Class B Notes Risk Sensitivity:
• A hypothetical increase of the base case PD by 25% or 50%, ceteris paribus, would lead to the Class B Notes maintaining an ‘A’ (sf) rating.
• A hypothetical increase of the base case RVH by 25% or 50%, ceteris paribus, would lead to the Class B Notes maintaining an ‘A’ (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the RVH by 25%, ceteris paribus, would lead to the Class B Notes maintaining an ‘A’ (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the RVH by 25%, ceteris paribus, would lead to the Class B Notes maintaining an ‘A’ (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the RVH by 50%, ceteris paribus, would lead to the Class B Notes maintaining an ‘A’ (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the RVH by 50%, ceteris paribus, would lead to the Class B Notes maintaining an ‘A’ (sf) rating.
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: Bruno Franco
Initial Rating Date: 31 October 2013
Initial Rating Committee Chair: Chuck Weilamann
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
• Legal Criteria for European Structured Finance Transactions.
• Derivative Criteria for European Structured Finance Transactions
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.