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Lessons in Securitisation from the Sub-prime Crisis

by Thomas Mairer, MBA, Branch Manager Porsche Corporate Finance GmbH

Porsche Holding GmbH’s subsidiary company, Porsche Bank AG, primarily offers car finance in Austria and seven Eastern European countries. In 2001, the Austrian credit and leasing receivables were first securitised into a term transaction (Fact-2001 EUR 400 million), the first transaction of this type in Austria. This was followed by alternating conduit warehousing facilities with a subsequent take-out (Fact-2004, EUR 500 million/Fact-2006, EUR 600 million). At present we are once again in a warehousing structure with Fact-2008.

Reasons for movement

As a family-owned business with high exogenous growth, it was important for us to broaden the group’s refinancing sources, to reduce dependence on banks and to structure the liability side of the balance sheet in terms of duration. It should also be noted that the Porsche Holding group is not a capital market address in the narrow sense and will not become so in the foreseeable future. Routes therefore need to be found to indirectly access the capital market.

Furthermore the margin level of this finance was extremely attractive. In recent years spreads have actually only moved in one direction – downwards. This can be seen from the margins of the AAA tranches of our former term transactions (Fact-2001 33 bps, Fact-2004 10 bps and Fact-2006 5 bps).

Refinancing in the ABCP market has been at the Euribor flat rate for many years. This was until the first signs of bad news due to the sub-prime crisis emerged.