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AUTONORIA SPAIN 2022, FONDO DE TITULIZACION -- Moody's assigns provisional ratings to AUTONORIA SPAIN 2022, FONDO DE TITULIZACION Auto ABS

·17 min read

Rating Action: Moody's assigns provisional ratings to AUTONORIA SPAIN 2022, FONDO DE TITULIZACION Auto ABSGlobal Credit Research - 05 Sep 2022EUR [ ] million ABS Notes rated, relating to a portfolio of Spanish auto loansMadrid, September 05, 2022 -- Moody's Investors Service ("Moody's") has assigned the following provisional ratings to Notes to be issued by AUTONORIA SPAIN 2022, FONDO DE TITULIZACION:....EUR [ ]M Class A Asset Backed Floating Rate Notes due January 2040, Assigned (P)Aa1 (sf)....EUR [ ]M Class B Asset Backed Floating Rate Notes due January 2040, Assigned (P)Aa3 (sf)....EUR [ ]M Class C Asset Backed Floating Rate Notes due January 2040, Assigned (P)A3 (sf)....EUR [ ]M Class D Asset Backed Floating Rate Notes due January 2040, Assigned (P)Baa2 (sf)....EUR [ ]M Class E Asset Backed Floating Rate Notes due January 2040, Assigned (P)Ba2 (sf)....EUR [ ]M Class F Asset Backed Floating Rate Notes due January 2040, Assigned (P)B3 (sf)Moody's has not assigned a rating to the Class G Asset Backed Floating Rate Notes due January 2040 amounting to EUR [ ]M.RATINGS RATIONALEThe transaction is a six-month revolving cash securitisation of auto loans extended to obligors in Spain by Banco Cetelem S.A.U. (Banco Cetelem, NR). Banco Cetelem, acting also as servicer in the transaction, is a specialized lending company 100% owned by BNP Paribas Personal Finance (Aa3/P-1/Aa3(cr)/P-1(cr)).The portfolio of underlying assets consists of auto loans originated in Spain. The loans are originated via intermediaries or directly through physical or online point of sale and they are all fixed rate, annuity style amortising loans with no balloon or residual value risk, the market standard for Spanish auto loans. The final portfolio will be selected at random from the portfolio to match the final note issuance amount.As of July 28 2022, the pool had 39,918 loans with a weighted average seasoning of 0.9 years, and a total outstanding balance of approximately EUR 536 million. The weighted average remaining maturity of the loans is 74.7 months. The securitised portfolio is highly granular, with top 10 borrower concentration at 0.13% and the portfolio weighted average interest rate is 7.35%. The portfolio is collateralised by 46.4% new cars, 47% used or semi-new cars, 0.8% recreational vehicles and 5.8% motorcycles. The ratings are primarily based on the credit quality of the portfolio, the structural features of the transaction and its legal integrity.According to Moody's, the transaction benefits from credit strengths such as the granularity of the portfolio, the excess spread-trapping mechanism through a 5 months artificial write-off mechanism, the high average interest rate of 7.35% and the financial strength of BNP Paribas Group. Banco Cetelem, the originator and servicer, is not rated. However, it is 100% owned by BNP Paribas Personal Finance (Aa3/P-1, Aa3 (cr)/P-1(cr)).However, Moody's notes that the transaction features some credit weaknesses such as (i) six-month revolving structure which could increase performance volatility of the underlying portfolio, partially mitigated by early amortisation triggers, revolving criteria both on individual loan and portfolio level and the eligibility criteria for the portfolio, (ii) a complex structure including interest deferral triggers for juniors notes, pro-rata payments on all classes of notes after the end of the revolving period, (iii) a fixed-floating interest rate mismatch as 100% of the loans are linked to fixed interest rates and the classes A-G are all floating rate indexed to one month Euribor, mitigated by three interest rate swaps provided by Banco Cetelem (NR) and guaranteed by BNP Paribas (Aa3(cr)/P-1(cr), Aa3/P-1)).Moody's analysis focused, amongst other factors, on (1) an evaluation of the underlying portfolio of receivables and the eligibility criteria; (2) the revolving structure of the transaction; (3) historical performance on defaults and recoveries from the Q1 2014 to Q1 2022 vintages provided on Banco Cetelem's total book; (4) the credit enhancement provided by the excess spread and the subordination; (5) the liquidity support available in the transaction by way of principal to pay interest for Classes A-E (and F-G when they become the most senior class) and a dedicated liquidity reserve only for Classes A-F, and (6) the overall legal and structural integrity of the transaction.Moody's determined the portfolio lifetime expected defaults of 3.5%, expected recoveries of 15.0% and portfolio credit enhancement ("PCE") of 13.0%. The expected defaults and recoveries capture our expectations of performance considering the current economic outlook, while the PCE captures the loss we expect the portfolio to suffer in the event of a severe recession scenario. Expected defaults and PCE are parameters used by Moody's to calibrate its lognormal portfolio loss distribution curve and to associate a probability with each potential future loss scenario in our cash flow model to rate Auto and Consumer ABS.Portfolio expected defaults of 3.5% are in line with Spanish Auto loan ABS average and are based on Moody's assessment of the lifetime expectation for the pool taking into account (i) historic performance of the book of the originator, (ii) other similar transactions used as a benchmark, and (iii) other qualitative considerations.Portfolio expected recoveries of 15.0% are lower than the Spanish Auto loan ABS average and are based on Moody's assessment of the lifetime expectation for the pool taking into account (i) historic performance of the book of the originator, (ii) benchmark transactions, and (iii) other qualitative considerations.PCE of 13.0% is in line with Spanish Auto loan ABS average and is based on Moody's assessment of the pool taking into account (i) the unsecured nature of the loans, and (ii) the relative ranking to the originators peers in the Spanish and EMEA consumer ABS market. The PCE level of 13.0% results in an implied coefficient of variation ("CoV") of approximately 53.3%.The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/390478. Alternatively, please see the Rating Methodologies page on https://ratings.moodys.com for a copy of this methodology.Please note that a Request for Comment was published in which Moody's requested market feedback on potential revisions to one or more of the methodologies used in determining these Credit Ratings. If the revised methodologies are implemented as proposed, it is not currently expected that the Credit Ratings referenced in this press release will be affected.Request for Comments can be found on the rating methodologies page on https://ratings.moodys.com.FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:Factors or circumstances that could lead to an upgrade of the ratings of the notes would be (1) better than expected performance of the underlying collateral; (2) significant improvement in the credit quality of Banco Cetelem; or (3) a lowering of Spain's sovereign risk leading to the removal of the local currency ceiling cap.Factors or circumstances that could lead to a downgrade of the ratings would be (1) worse than expected performance of the underlying collateral; (2) deterioration in the credit quality of Banco Cetelem; or (3) an increase in Spain's sovereign risk.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found on https://ratings.moodys.com/rating-definitions.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the issuer/deal page for the respective issuer on https://ratings.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website https://ratings.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://ratings.moodys.com/documents/PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on https://ratings.moodys.com.Please see https://ratings.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the issuer/deal page on https://ratings.moodys.com for additional regulatory disclosures for each credit rating. Rodrigo Conde Vice President - Senior Analyst Structured Finance Group Moody's Investors Service Espana, S.A. Calle Principe de Vergara, 131, 6 Planta Madrid, 28002 Spain JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Armin Krapf VP - Senior Credit Officer Structured Finance Group JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Releasing Office: Moody's Investors Service Espana, S.A. 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