NEW YORK--(BUSINESS WIRE)-- Fitch Ratings expects to assign the following ratings to Porsche Innovative Lease Owner Trust 2012-1:
--$108,000,000 class A-1 notes 'F1+sf';
--$175,000,000 class A-2 notes 'AAAsf'; Outlook Stable;
--$187,000,000 class A-3 notes 'AAAsf'; Outlook Stable;
--$57,360,000 class A-4 notes 'AAAsf'; Outlook Stable.
Key Rating Drivers
Strong Collateral Quality: Consistent with a prime pool of auto leases, the weighted average (WA) Fair Isaac Corporation (FICO) score of 792 indicates a very strong lessee. The pool primarily comprises 36-month leases, is well seasoned, and has a well-diversified residual value (RV) maturity schedule. In addition, RV as a % of securitization value is lower than that of PILOT 2011-1.
Sufficient CE Structure: Loss coverage provided in the 2012-1 structure is sufficient to support Fitch's 'AAAsf' loss assumptions. Initial CE is 17.00% of the initial securitization value, growing to 18.80% of the initial securitization value. Initial excess spread is expected to be 3.85%.
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.
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 2012-1 pool will include a notable concentration in the Panamera, which has no available residual realization data due to its recent introduction. 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 2012-1 pool.
Unstable Macroeconomic Conditions: While the wholesale vehicle market in the U.S. is currently strong, Fitch remains concerned regarding potential macroeconomic deterioration that could lead to increased credit and residual loss levels.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria', June 6, 2012;
--'Criteria for Rating U.S. Auto Lease ABS ', May 14, 2012.
Applicable Criteria and Related Research: Porsche Innovative Lease Owner Trust 2012-1 (US ABS)
Global Structured Finance Rating Criteria
Criteria for Rating U.S. Auto Lease ABS
Melvin Zhou, CFA, +1 212-908-0503
One State Street Plaza
New York, NY 10004
Bradley Sohl, +1 312-368-3127
Hylton Heard, +1 212-908-0214
Sandro Scenga, +1 212-908-0278
Source: Fitch Ratings