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Fitch Assigns Final Ratings to FP Ignition 2017 - B Trust
July 6, 2017 / 1:19 AM / 15 days ago

Fitch Assigns Final Ratings to FP Ignition 2017 - B Trust

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(The following statement was released by the rating agency) Link to Fitch Ratings' Report: FP Ignition 2017 - B Trust here SYDNEY, July 05 (Fitch) Fitch Ratings has assigned final ratings to FP Ignition 2017 - B Trust's automotive lease-backed floating-rate notes. The issuance consists of notes ultimately backed by New Zealand finance and operating vehicle leases originated by Fleet Holding (NZ) Limited (FleetPartners NZ), a subsidiary of FleetPartners Pty Limited (FleetPartners) and a part of Eclipx Group Limited (ECX:ASX), an ASX-listed entity. The ratings are as follows: NZD146.3 million Class A notes: 'AAAsf'; Outlook Stable NZD11.4 million Class B notes: 'AAsf'; Outlook Stable NZD19.5 million Class C notes: 'Asf'; Outlook Stable NZD13.5 million Class D notes: 'BBBsf'; Outlook Stable NZD15.7 million Class E notes: 'BBsf'; Outlook Stable NZD4.5 million Class F notes: 'B+sf'; Outlook Stable NZD2.2 million Class G notes: 'NRsf' NZD11.2 million Originator notes: 'NRsf' The notes were issued by NZGT (FP) Trustee Limited in its capacity as trustee of FP Ignition 2017 - B Trust. The total underlying collateral pool consisted of 7,802 leases totalling NZD220.1 million at the 30 June 2017 cut-off date. The portfolio consists of operating and finances leases to obligors across a wide range of industries, with the largest industry exposure being manufacturing (23.2%) and wholesale trade (10.6%). The concentration of vehicle manufacturer in the portfolio is dominated by Ford Motor Company (27.2%), General Motors Holden (14.8%) and Toyota Motor Corporation (10.7%), with the remainder including several established Japanese and European car manufacturers. KEY RATING DRIVERS Residual Value Risk Present: This is the third term securitisation, and the first in New Zealand, by FleetPartners that includes 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 15.6%. Large Lessee Concentration: The pool's 20-largest obligors account for about 26.6% of the asset balance. Fitch deems this concentration higher than usually observed in consumer ABS transactions and 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. Pro rata paydown will commence when hard credit enhancement (CE) reaches 45.0% for the class A notes, subject to transaction performance. Overall CE is sufficient to cover the Fitch-stressed cumulative net loss assumptions 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 of lease receivables backed by a mix of passenger vehicles as well as light and heavy commercial vehicles, with a weighted-average seasoning of 18.1 months and an average receivable size of NZD28,205. Operating leases comprise 94% of the portfolio and finance leases 6%. Historically, FleetPartners' 30+ day delinquencies for their New Zealand and Australian assets have generally tracked below Fitch's Dinkum ABS Index. RATING SENSITIVITIES Unexpected decreases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case, possibly resulting in negative rating action on the notes. Fitch has evaluated the sensitivity of the ratings to increased defaults and reduced recovery rates over the life of the transaction. Expected impact on note ratings from increased defaults: Final rating AAAsf/AAsf/Asf/BBBsf/BBsf/B+sf Increase defaults by 10%: AAAsf/AA-sf/BBB+sf/BBB-sf/BB-sf/B+sf Increase defaults by 25%: AA+sf/A+sf/BBB+sf/BBB-sf/BB-sf/B+sf Increase defaults by 50%: AA-sf/BBBsf/BBBsf/BB+sf/B+sf/Bsf Expected impact on note ratings from decreased recovery rates and RV sale proceeds: Final rating AAAsf/AAsf/Asf/BBBsf/BBsf/B+sf Reduce recoveries and RV sale proceeds by 10%: AAAsf/AAsf/A-sf/BBB-sf/BB-sf/B+sf Reduce recoveries and RV sale proceeds by 25%: AAAsf/AAsf/A-sf/BBB-sf/BB-sf/B+sf Reduce recoveries and RV sale proceeds by 50%: AA+sf/A+sf/BBB+sf/BB+sf/B+sf/Bsf Expected impact on note ratings from multiple factors: Final rating AAAsf/AAsf/Asf/BBBsf/BBsf/B+sf Increase defaults by 10%; reduce recoveries and RV sale proceeds by 10%: AAAsf/AA-sf/A-sf/BBB-sf/BB-sf/B+sf Increase defaults by 25%; reduce recoveries and RV sale proceeds by 25%: AAsf/A+sf/A-sf/BB+sf/B+sf/B+sf Increase defaults by 50%; reduce recoveries and RV sale proceeds by 50%: A+sf/BBB+sf/BBB-sf/BBsf/Bsf/CCCsf 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 reviewed 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. Prior to the transaction closing, Fitch sought to receive a third-party assessment conducted on the portfolio information, but none was available for this transaction. 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 entitled "FP Ignition 2017 - B Trust", published today. SOURCES OF INFORMATION The information below was used in the analysis: Loan-by-loan data provided by KPMG as at 30 June 2017 Transaction documentation provided by Mayne Wetherell, 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 Spencer Wilson Associate Director +612 8256 0320 Fitch Australia Pty Ltd 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 on www.fitchratings.com Applicable Criteria Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Consumer ABS Rating Criteria (pub. 25 May 2017) here Global Consumer ABS Rating Criteria – EMEA and APAC Auto Residual Value Addendum (pub. 15 May 2017) here Global Rating Criteria for CLOs and Corporate CDOs (pub. 09 Sep 2016) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here SME Balance Sheet Securitisation Rating Criteria (pub. 03 Mar 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Related Research FP Ignition 2017 – B Trust - Appendix here Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. 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 © 2017 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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