Fitch Ratings has affirmed the ratings of Driver China nine Trust's auto loan-backed fixed-rate notes.
The issuance consists of notes backed by Chinese automotive loan receivables originated by
RATING ACTIONS
Entity / Debt
Rating
Prior
Driver
A CNM100004K11
LT
AA+sf
Affirmed
AA+sf
Page
of 1
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Obligor Default Risk within Expectation (Positive): Driver China nine Trust had a cumulative default rate of 0.54% as of the
The transaction entered into an amortisation period in
Sequential Structure Aids CE Build-Up (Positive): Driver China nine Trust is following sequential payment structure, as the target overcollateralisation (OC) levels are met for class A notes and aggregate discounted receivables balance is less than 10% of the aggregated cut-off date balance, including additional purchase. The target OC for class A notes if no triggers are breached is 24%. At
Counterparty Risks, Rating Cap (Neutral): There have been no changes to the counterparties since the closing of the transaction. The rating of the account bank,
The transaction has structural mechanisms that ensure remedial action takes place should the account bank's rating fall below Fitch's rating of 'A-' and 'F1'. Fitch uses the rating of the servicer's ultimate parent,
Servicer, Operational Risks (Neutral): Fitch found that the operation, underwriting, risk management, and servicing procedures are comparable with those of other auto finance companies. The transaction has a cash-collateral account to mitigate potential payment-interruption risk, covering around 18.5 months of senior fees and interests. This mitigates the lack of a back-up servicer being named at closing. The servicing and collection has not been significantly affected by recent Covid-related lockdowns in various cities in
Economic Growth Tampered (Negative): Fitch forecasts that
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
An unexpected significant increase in default rates could result in a negative rating action. However, we consider the prospects of downgrades as remote in light of the stable asset performance and CE buffers.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
We envisage remedial action will take place in the event the account bank's ratings fall below a Fitch rating of 'A-' and 'F1'. Notwithstanding the asset performance and CE accumulation, the materiality of the counterparty dependency limits the ratings at 'AA+sf'.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. 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 closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator'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, and together with any assumptions referred to above, 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.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
PARTICIPATION STATUS
The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.
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