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Fitch Ratings – London – 07 Jan 2021: Fitch Ratings has affirmed Swiss Car ABS 2018-1 AG’s class A notes at ‘AAAsf’ with Stable Outlook. View additional rating details TRANSACTION SUMMARY Swiss Car ABS 2018-1 AG is a securitisation of auto lease receivables originated in Switzerland by AMAG Leasing AG (ALAG), the financing arm of the AMAG Group. AMAG is one of the main Swiss car importers and resellers, and acts as “quasi-captive” for the Volkswagen group, in light of an exclusive import contract in force since 1948. The transaction has a three-year revolving period due to end in April 2021. KEY RATING DRIVERS Strong Performance, Resilience to Coronavirus Shock Cumulative defaults in the transaction are low, at 0.26%. The stress caused by the consequences of the coronavirus pandemic has led to an upward revision of the remaining life default assumption to 1.2%, from 1.0%. At the same time, the default multiple at ‘AAAsf’ has been reduced to 6.5x, to account for the higher base case and the short remaining revolving period. We have assumed a 75% recovery rate, to which we apply a 45% stress at ‘AAAsf’. Residual Value Drives Risk The securitised receivables include a residual value (RV) component, which could increase up to 50%. The RV exposure was 48.8% in the November 2020 payment date, up from 40.0% at closing. Dealers are obliged to pay the contractual RV to the issuer. However, a dealer default or a contract prepayment could expose the issuer to the risk […]