December 20, 2016 / 6:05 AM / 7 months ago

Fitch Assigns Final Ratings to FP Turbo Series 2016-1 Trust

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(The following statement was released by the rating agency) Link to Fitch Ratings' Report: FP Turbo Series 2016-1 Trust here SYDNEY, December 20 (Fitch) Fitch Ratings has assigned FP Turbo Series 2016-1 Trust final ratings as listed below. The transaction is a securitisation of finance and operating vehicle leases originated by Fleet Partners Pty Limited (FleetPartners). The ratings are as follows: AUD66.00m Class A1 notes: 'F1+sf' AUD165.00m Class A2 notes: 'AAAsf'; Outlook Stable AUD31.02m Class B notes: 'NRsf' AUD12.87m Class C notes: 'NRsf' AUD8.58m Class D notes: 'NRsf' AUD15.51m Class E notes: 'NRsf' AUD7.92m Class F notes: 'NRsf' AUD6.60m Class G notes: 'NRsf' AUD16.50m Seller notes: 'NRsf' The notes are issued by Perpetual Trustee Company Limited in its capacity as trustee of FP Turbo Series 2016-1 Trust. The total collateral pool consisted of 10,032 receivables with a current balance of AUD322,420,816 at the 25 November 2016 cut-off date. KEY RATING DRIVERS Residual Value Risk Present: This is the second term securitisation by FleetPartners to include operating leases within the lease portfolio. The lessees are a broad mix of small-to-medium entities (SMEs) through to large corporations and government entities. Residual value (RV) and vehicle servicing risk are present within the transaction due to the inclusion of operating leases, along with credit risk. Fitch assumes 'AAAsf' RV losses of 12.3%. Large Lessee Concentration: The pool's 20 largest obligors account for about 37.4% of the asset balance. Fitch deems this concentration higher than we usually observe in consumer ABS transactions. Fitch has therefore derived default assumptions while considering lessee concentrations and correlation risks, in line with its SME criteria. Sufficient Enhancement: The transaction incorporates a sequential pay/pro-rata pay structure, consistent with other ABS transactions. Initial hard credit enhancement (CE) to the 'AAAsf' notes totals 30.0%. Pro-rata paydown will commence when hard CE reaches 45.0%, subject to transaction performance. Overall CE is sufficient to cover the Fitch 'AAAsf' stressed cumulative net loss assumption in all Fitch scenarios. The transaction also comprises a vehicle servicing account to enable the issuer to fund operating lease vehicle servicing obligations. Mixed Collateral Included: The collateral backing the transaction comprises lease receivables backed by a mix of cars, light and heavy commercial vehicles and equipment, with a weighted-average seasoning of 19 months and an average receivable size of AUD32,139. Operating leases comprise 82% and finance leases 18% of the portfolio. Historically, FleetPartners' 30+ day delinquencies have generally tracked below Fitch's Dinkum ABS Index RATING SENSITIVITIES Increases in the frequency of defaults, decreases in recoveries or decreases in vehicle sale prices could produce loss levels higher than Fitch's base-case, which could result in negative rating action on the notes. Fitch evaluated the sensitivity of FP Turbo Series 2016-1 Trust's ratings to changes in these factors and a combination of these factors over the life of the transaction. Its analysis found that the rating of the class A1 notes was not affected by any of the stress scenarios. The class A2 notes were affected as follows: Effect on the note rating of increased defaults: Increase base-case defaults by 10%: 'AA+sf' Increase base-case defaults by 25%: 'AA+sf' Increase base-case defaults by 50%: 'AA-sf' Effect on the note rating of decreased recoveries: Reduce base-case recovery and RV sales proceeds by 10%: 'AA+sf' Reduce base-case recovery and RV sales proceeds by 25%: 'AA-sf' Reduce base-case recovery and RV sales proceeds by 50%: 'BBB-sf' Effect on the note rating of increased defaults and decreased recoveries: Increase default base-case by 10%; reduce recovery and RV sales proceeds by 10%: 'AA+sf' Increase default base-case by 25%; reduce base-case recovery and RV sales proceeds by 25%: 'Asf' Increase default base-case by 50%; reduce base-case recovery and RV sales proceeds by 50%: 'BBsf' 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. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) disclosed in the offering document that relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled, "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016. DATA ADEQUACY As part of its ongoing monitoring, Fitch conducted a review of a small targeted sample of FleetPartners' 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. Fitch sought to receive a third-party assessment conducted on the asset portfolio information, but none was made available. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Key rating drivers and rating sensitivities are further discussed in the corresponding new issue report titled, "FP Turbo Series 2016-1 Trust", published today. SOURCES OF INFORMATION The information below was used in the analysis: -Line-by-line information and stratifications on the transaction pool provided by KPMG as at 25 November 2016. -Line-by-line data on defaults and recoveries since 2002. -Sale proceeds from remarketed vehicles since 2002, split into sale proceeds and compensation payments. -Delinquency data starting in 2008 and split into different arrears buckets. -Transaction documentation provided by King & Wood Mallesons, the issuer's counsel. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Contacts: Primary Analyst Brenden Asplin, CFA Associate Director +612 8256 0340 Level 15, 77 King St, Sydney NSW 2000 Secondary Analyst David Carroll Director +612 8256 0333 Committee Chairperson Natasha Vojvodic Senior Director +612 8256 0350 Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com. Additional information is available at www.fitchratings.com Applicable Criteria Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016) here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 18 Jul 2016) here Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs) (pub. 10 Oct 2016) here Global Consumer ABS Rating Criteria (pub. 01 Dec 2016) here Global Consumer ABS Rating Criteria - EMEA Auto Residual Value Addendum (pub. 01 Dec 2016) here Global Rating Criteria for CLOs and Corporate CDOs (pub. 09 Sep 2016) here Global Structured Finance Rating Criteria (pub. 27 Jun 2016) here Related Research FP Turbo Series 2016-1 Trust - Appendix here Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here _id=1016764 Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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