Asset-Backed Securitisations - Autos
Octane ABS 1 (Pty ) Ltd - Imperial Bank Limited (Motor Finance Corporation)
Fitch Affirms Octane ABS 1; Outlook Positive
Fitch Ratings-London-06 May 2011: Fitch Ratings has affirmed Octane ABS 1 (Pty) Limited's ratings and revised the Outlooks of the class B to D notes to Positive, as follows:
ZAR286.2m class A4 notes: affirmed at 'AAA(zaf)'; Outlook Stable; Loss Severity (LS) Rating 'LS-2'
ZAR24.0m class B notes: affirmed at 'AA-(zaf)'; Outlook revised to Positive from Stable; 'LS-4'
ZAR24.0m class C notes: affirmed at 'A-(zaf)'; Outlook revised to Positive from Stable; 'LS-4'
ZAR13.8m class D notes: affirmed at 'BBB(zaf)'; Outlook revised to Positive from Stable; 'LS-5'
ZAR3.4m class E notes: affirmed at 'BB-(zaf)'; Outlook affirmed at Stable; 'LS-5'
The affirmations reflect the stable performance of this seasoned transaction since closing in 2007. Credit enhancement levels are well above expectations and both arrears reserve and liquidity reserve are fully funded. However, recoveries remain low, although the cumulative loss ratio is close to Fitch's model output. The larger credit enhancement available has led to the revision of the Outlook to Positive from Stable for the class B to D notes.
The transaction is a securitisation of auto loans (instalment sales agreements) originated by The Motor Finance Corporation, a fully owned subsidiary of Imperial Bank Limited, rated 'A+(zaf)'/'F1(zaf)', and extended to individuals in South Africa to finance the purchase of the vehicles, both new and used.
Fitch's cumulative loss rate (CLR) remains below the agency's expectations, although it is converging closer to them due to low recoveries. As at March 2011, the CLR stood at 3.65%, with a base case of 3.71%.
Delinquent loans have reached 15% of collateral outstanding, although in absolute terms the delinquent loan value has dropped over the past year.
After a two-year revolving period during which no early amortisation event occurred, the structure moved to a controlled amortisation period in July 2009. This ended in July 2010 as a result of an early amortisation event. In particular, the issuer held cash in excess of ZAR500m for more than two quarters due to insufficient eligible loans available for purchase.
Since the end of the revolving period, the notes amortised on a sequential basis until September 2010, when conditions for principal lock-out on classes B to E were no longer met. The class A notes have repaid 83% of the initial balance to date and currently account for 81% of the aggregate outstanding balance. Credit enhancement in percentage terms for the class A to E notes is 35.1%, 26.4%, 22.9%, 19.4% and 18.6%, respectively. The relatively high values for the junior notes are due to the subordinated loan and fully funded arrears and liquidity reserves.
Contacts:
Primary Analyst
Sinead Egan
Analyst
+44 20 3530 1492
Fitch Ratings Limited
30 North Colonnade
London E14 5GN
Committee Chairperson
Andy Brewer
Senior Director
+44 20 3530 1005
Media Relations: Mark Morley, London, Tel: +44 0203 530 1000, Email: mark.morley@fitchratings.com; Sandro Scenga, New York, Tel: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.
Additional information is available at www.fitchratings.com.