CHICAGO--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to the notes issued by BMW Vehicle Lease Trust 2015-1:
--Class A-1 asset-backed notes 'F1+sf';
--Class A-2a asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-2b asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-3 asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The pool is consistent with that of 2014-1. Securitized residuals comprise 70.6% of the pool, and the 3 series remains the top model at 28.2% of the pool. While seasoning has decreased slightly to nine months, the WA FICO score has increased to 772.
Unhedged Floating-Rate Class A-2b: The class A-2b notes are expected to pay interest on a floating-rate basis while the assets pay a fixed rate and will not be hedged. As such, Fitch has stressed the transaction structure using its 'AAA' LIBOR-up stressed assumptions.
Adequate CE Structure: Initial CE has increased by 0.40% from 2014-1 and will be 17.15%. CE is composed of a 0.25% reserve account and overcollateralization (OC) of 16.90% growing to a target of 19.00% of the initial securitization value (until class A-2 has been paid in full, then the target OC drops to 18.25%). Initial excess spread is expected to be 4.82%.
Strong Loss Performance: Credit and residual performance on BMW FS's portfolio has been strong in recent years. This is a result of robust obligor credit quality and a strong wholesale used vehicle market, leading to higher recovery rates and residual realizations.
Evolving Wholesale Market: The U.S. wholesale vehicle market has normalized following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates leading to moderately higher loss rates. Fitch's analysis accounts for this risk by including periods of weak wholesale vehicle market performance in the derivation of its base case loss expectation.
Stable Origination/Underwriting/Servicing: BMW FS demonstrates adequate abilities as originator, underwriter, and servicer, as evidenced by historical portfolio delinquency and loss experience and securitization performance.
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. This in turn would likely result in declines of credit enhancement and loss coverage levels available to the notes. Hence, Fitch conducts sensitivity analyses by increasing the transaction's initial base case RV and credit loss assumptions and examining the rating implications on all classes of issued notes. The increases to the base case losses are applied such that they represent moderate (1.5x) and severe (2.5x) stresses, respectively. They are also intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.
The presale report is available at 'www.fitchratings.com' or by clicking on the above link.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'Criteria for Rating U.S. Auto Lease ABS' (April 24, 2014);
--'Counterparty Criteria for Structured Finance Transactions and Covered Bonds' (May 14, 2014);
--'Structured Finance Tranche Thickness Metrics' (July 29, 2011);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (Dec. 19, 2014);
--'BMW Vehicle Lease Trust 2015-1' (Jan. 5, 2014);
--'BMW Vehicle Lease Trust 2015-1-Appendix' (Jan. 5, 2014).
Applicable Criteria and Related Research:
BMW Vehicle Lease Trust 2015-1 -- Appendix
Global Structured Finance Rating Criteria
Criteria for Rating U.S. Auto Lease ABS
Counterparty Criteria for Structured Finance and Covered Bonds
Structured Finance Tranche Thickness Metrics
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
BMW Vehicle Lease Trust 2015-1 (US ABS)