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Fitch Assigns Expected Ratings to FP Turbo Series 2016-1 Trust
December 12, 2016 / 4:33 AM / a year ago

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

(The following statement was released by the rating agency) Link to Fitch Ratings' Report: FP Turbo Series 2016-1 Trust here SYDNEY, December 11 (Fitch) Fitch Ratings has assigned FP Turbo Series 2016-1 Trust expected 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+(EXP)sf' AUD165.00m Class A2 notes: 'AAA(EXP)sf'; Outlook Stable AUD31.02m Class B notes: 'NR(EXP)sf' AUD12.87m Class C notes: 'NR(EXP)sf' AUD8.58m Class D notes: 'NR(EXP)sf' AUD15.51m Class E notes: 'NR(EXP)sf' AUD7.92m Class F notes: 'NR(EXP)sf' AUD6.60m Class G notes: 'NR(EXP)sf' AUD16.50m Seller notes: 'NR(EXP)sf' The notes will be issued by Perpetual Trustee Company Limited in its capacity as trustee of FP Turbo Series 2016-1 Trust. The assignment of the final rating is contingent on the receipt of final documents conforming to information already received. 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 EXPECTED 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 expected ratings to changes in these factors and a combination of these factors over the life of the transaction. Its analysis found that the expected rating of the class A1 notes was not affected by any of the stress scenarios. The class A2 notes were affected as follows: Expected 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' Expected 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' Expected 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%: 'AAsf' 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 expected rating sensitivities are further discussed in the corresponding presale 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. -Draft 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: Additional information is available at 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=1016285 Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2016 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch's factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch's ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided "as is" without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

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