Oct 28 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following ratings and Outlooks to Porsche Innovative Lease Owner Trust 2013-1:
--$124,000,000 class A-1 notes 'F1+sf';
--$225,000,000 class A-2 notes 'AAAsf'; Outlook Stable;
--$265,000,000 class A-3 notes 'AAAsf'; Outlook Stable; and
--$74,310,000 class A-4 notes 'AAAsf'; Outlook Stable.
Key Rating Drivers
Strong Collateral Quality: The weighted average (WA) Fair Isaac Corporation (FICO) score of 793 indicates a very strong lessee. The pool primarily comprises 36-month leases, is well seasoned, and has a diversified residual value (RV) maturity schedule. However, RV as a percent of securitization value has increased to 66.9% from 59.1% in PILOT 2012-1.
Sufficient CE Structure: Loss coverage provided in the 2013-1 structure is sufficient to support Fitch's 'AAAsf' loss assumptions. Initial and target CE are 15.75% and 17.25% of the initial securitization value, down from 17.00% and 18.80%, respectively, for 2012-1. Initial excess spread is expected to be 4.77%.
Low Historical Loss Levels: Credit losses on PFS' portfolio have remained low for the past several years and are consistent with other luxury originators. Residual losses on PFS' portfolio throughout the 2008 - 2009 industry downturn were lower than those of other luxury lease originators, due in part to Porsche's conservative vehicle production policies.
Concerns Surrounding High Average Vehicle Cost: Industry-level data suggest a notable correlation between vehicle price and residual loss levels in previous downturns.
New Model Introduction and Assumptions: The 2013-1 pool will include a notable concentration in the Panamera, which has limited residual realization data due to its recent introduction, although the percentage of Panamera in the 2013-1 pool dropped to 29.8% from 34.9% in 2012-1. Fitch assumed this vehicle performed in a manner consistent with similar luxury vehicles.
Stable Origination/Underwriting/Servicing: Fitch believes PFS demonstrates adequate abilities as originator, underwriter, and servicer to service the 2013-1 pool.
State of the Vehicle Wholesale Market: The U.S. wholesale vehicle market (WVM) has remained healthy thus far in 2013. However, Fitch Ratings remains cautious that general economic softness and expected growing used vehicle supply could have a negative impact on future residual realizations. 95.9% of the leases in the 2013-1 pool will mature in 2015 and thereafter.
Unanticipated decreases in the value of returned vehicles and/or increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Porsche Innovative Lease Owner Trust 2013-1 to increased credit and residual losses over the life of the transaction. Fitch's analysis found that the transaction displays relatively little sensitivity to increased defaults and credit losses, showing downgrades of only one rating category even under Fitch's severe (2.5 times base case loss) scenario. The transaction shows significantly more sensitivity to residual loss volatility. Under Fitch's severe scenario, the class A notes could be downgraded by four rating categories to non-investment grade.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, available at 'www.fitchratings.com' or by clicking on the below link.
Link to Fitch Ratings' Report: Porsche Innovative Lease Owner Trust 2013-1 (US ABS)