08.01.2016, 13:41
Fitch Affirms Ford China's Fuyuan 2015-1 'AAsf'; Outlook Stable
OREANDA-NEWS. Fitch Ratings has affirmed senior notes issued by Fuyuan 2015-1 Retail Auto Mortgage Loan Securitization Trust (Fuyuan 2015-1). The transaction is backed by Chinese automotive loan receivables originated by Ford Automotive Finance (China) Limited (FAFC), a wholly owned subsidiary of Ford Motor Credit Company LLC (BBB-/Positive/F3).
The rating action is as follows:
CNY1,127.6 m, senior notes affirmed at 'AAsf'; Outlook Stable
KEY RATING DRIVERS
Increased Credit Enhancement: Reported credit enhancement (CE) has increased from 14.87% to 31.05% for the senior notes within 10 months of closing. This substantial build-up of CE is due largely to the turbo amortisation structure, which pays the senior notes sequentially before the subordinated notes.
Performance Well Within Expectations: Performance has been well within Fitch's expectations since closing. As of end-November 2015, the gross cumulative default ratio (the cumulative realised losses as a percentage of initial pool balance per the servicer reports) stood at 0.27%, which, based on Fitch's historical static analysis of FAFC's portfolio and the 16 months seasoning of this securitised portfolio, indicates that the portfolio is performing well within Fitch's expectation for this stage of seasoning.
Sector Outlook, Sovereign Cap: Fitch views the asset outlook of this portfolio as stable. We forecast China's unemployment and GDP growth rates at 4.1% and 6.8%, respectively, in 2015, and at 4.1% and 6.3% in 2016. We cap the rating on Chinese structured finance transactions at 'AAsf' to reflect the early stage of development of China's securitisation markets, and the country's sovereign Issuer Default Rating of 'A+' and Country Ceiling of 'A+'.
The default performance of the underlying pool has been within expectation and the model was not re-run for this rating action.
RATING SENSITIVITIES
Fitch's rating sensitivity analysis shows that there is significant buffer available in the transaction to absorb losses before a downgrade will be considered. The 31.05% of credit enhancement available to the senior notes means that the default rate of the assets will be able to withstand an increase to 5.27% from Fitch's base case of 1.75% at closing (a 3.0x increase).
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch conducted a file review of 20 sample loan files focusing on the underwriting procedures conducted by the originator compared to the originator's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.
Initial Key Rating Drivers and Rating Sensitivity are described further in the New Issue report dated 13 February 2015.
A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links given under Related Research below.
The rating action is as follows:
CNY1,127.6 m, senior notes affirmed at 'AAsf'; Outlook Stable
KEY RATING DRIVERS
Increased Credit Enhancement: Reported credit enhancement (CE) has increased from 14.87% to 31.05% for the senior notes within 10 months of closing. This substantial build-up of CE is due largely to the turbo amortisation structure, which pays the senior notes sequentially before the subordinated notes.
Performance Well Within Expectations: Performance has been well within Fitch's expectations since closing. As of end-November 2015, the gross cumulative default ratio (the cumulative realised losses as a percentage of initial pool balance per the servicer reports) stood at 0.27%, which, based on Fitch's historical static analysis of FAFC's portfolio and the 16 months seasoning of this securitised portfolio, indicates that the portfolio is performing well within Fitch's expectation for this stage of seasoning.
Sector Outlook, Sovereign Cap: Fitch views the asset outlook of this portfolio as stable. We forecast China's unemployment and GDP growth rates at 4.1% and 6.8%, respectively, in 2015, and at 4.1% and 6.3% in 2016. We cap the rating on Chinese structured finance transactions at 'AAsf' to reflect the early stage of development of China's securitisation markets, and the country's sovereign Issuer Default Rating of 'A+' and Country Ceiling of 'A+'.
The default performance of the underlying pool has been within expectation and the model was not re-run for this rating action.
RATING SENSITIVITIES
Fitch's rating sensitivity analysis shows that there is significant buffer available in the transaction to absorb losses before a downgrade will be considered. The 31.05% of credit enhancement available to the senior notes means that the default rate of the assets will be able to withstand an increase to 5.27% from Fitch's base case of 1.75% at closing (a 3.0x increase).
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch conducted a file review of 20 sample loan files focusing on the underwriting procedures conducted by the originator compared to the originator's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.
Initial Key Rating Drivers and Rating Sensitivity are described further in the New Issue report dated 13 February 2015.
A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links given under Related Research below.
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