Fitch Ratings has affirmed two classes of asset-backed floating-rate notes from
The transaction is backed by a pool of first-ranking Australian automotive loan receivables originated by
RATING ACTIONS
Entity / Debt
Rating
Prior
A AU3FN0069100
LT
AAAsf
Affirmed
AAAsf
A-X AU3FN0069118
LT
AAAsf
Affirmed
AAAsf
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VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Stable Asset Performance: Obligor default is a key assumption in our quantitative analysis. The performance of the underlying assets has been better than Fitch's base-case net loss expectations, with 30+ and 60+ day arrears as of
The base case assumptions set at closing are detailed below:
Gross-loss expectations are 2.5%, 3.0%, 5.5% for tier 1, 2 and 3, respectively, and 5.0% for commercial loans. The 'AAAsf' default multiples are 6.00x, 5.50x, 5.25x and 5.50x. The recovery base case is 30.0%, with a 'AAAsf' recovery haircut of 50.0% across all sub-categories. The weighted-average base-case default assumption is 2.9% and the 'AAAsf' default multiple 5.8x.
Portfolio performance is supported by
No Updated Cash Flow Modelling: Cash-flow analysis was not performed because the rated notes are rated at the highest possible level, credit enhancement has increased and all other variables are in line with our expectations.
Low Operational and Servicing Risk: All receivables were originated by Plenti Finance, which demonstrates adequate capability as originator, underwriter and servicer.
The key rating drivers listed in the applicable sector criteria, but not mentioned above, are not material to this rating action.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Transaction performance may be affected by changes in market conditions and the economic environment. Weakening asset performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes.
Downgrade Sensitivities
Unanticipated increases in the frequency of defaults could produce loss levels higher than Fitch's base case and are likely to result in a decline in credit enhancement and remaining loss-coverage levels available to the notes. Decreased credit enhancement may make certain note ratings susceptible to negative rating action, depending on the extent of coverage decline. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base-case assumptions. Fitch stresses the recovery rate to isolate the effect of a change in recovery proceeds at the borrower level.
Fitch's previous rating sensitivities for the transaction were discussed in Fitch Assigns Final Ratings to
Factors that could, individually or collectively, lead to positive rating action/upgrade:
The rated notes are at 'AAAsf', which is the highest level on Fitch's scale. The ratings cannot be upgraded. Therefore, upgrade sensitivities are not relevant.
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 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.
As part of its ongoing monitoring, Fitch reviewed 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
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