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Fitch Affirms Auto ABS French Loans Master at 'AAAsf'/Stable.

Paris: Fitch Ratings has affirmed Auto ABS French Loans Master class A notes at 'AAAsf' with Stable Outlook.

A full list of rating actions follows at the end of this rating action commentary.

Auto ABS French Loans Master is a securitisation of French auto loans advanced to individual and self-employed customers for the purchase of new or used vehicles for private use. The transaction is originated by Credipar, a subsidiary of PSA Banque France, a joint venture between (i) Banque PSA Finance, which is the financial captive of the French car manufacturer Peugeot S.A. (PSA; BBB-/Stable) and (ii) Santander Consumer France, which is 100%-owned by Santander Consumer Finance (A-/Stable/F2).


Satisfactory Performance

The affirmation reflects the robust performance of the underlying assets. As of end-September 2018, one-month plus arrears (excluding defaults) were only 0.3% while periodic defaults were low and stable at 0.5%-0.6% on an annualised basis.

The transaction has benefited from a significant level of gross excess spread (on average 6.5%) since closing in December 2012, which has been sufficient to cover all defaults to date.

Revolving Period

The transaction is still in its revolving period, which is scheduled to end in June 2019 as no early amortisation triggers have been breached and no accelerated amortisation event has occurred. Portfolio replenishment criteria have been respected and the current portfolio composition is comparable to that at closing.

Adequate Credit Enhancement

Since the restructuring in June 2015, credit enhancement for the class A notes, provided by the subordination of the class B notes, and the general reserve, has been maintained at 12.5% as of end-September 2018.

The transaction also benefits from a general reserve aimed at covering senior fees and interest payments on the class A notes. ??


Increasing defaults and reducing recoveries by 25% each would result in a downgrade of the class A notes to 'AAsf' from 'AAAsf'.


Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.


Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that affected the rating 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's closing, Fitch did not review the results of a third-party assessment conducted on the asset portfolio information.

Prior to the transaction's closing, 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.

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.


The information below was used in the analysis.

-Transaction reporting provided by France Titrisation as at 30 September 2018.

Fitch has affirmed the following ratings:

Class A2018-01 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-02 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-03 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-04 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-05 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-06 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-07 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-08 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-09 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-10 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-11 notes affirmed at 'AAAsf'; Outlook Stable

Class A2018-12 notes affirmed at 'AAAsf'; Outlook Stable
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Publication:Daily the Pak Banker (Lahore, Pakistan)
Geographic Code:4EUFR
Date:Jan 28, 2019
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