Fitch Expects to Rate John Deere Owner Trust 2015-B; Presale Issued

CHICAGO--()--Fitch Ratings expects to assign the following ratings to the John Deere Owner Trust 2015-B (JDOT 2015-B) notes:

--$228,000,000 class A-1 'F1+sf';

--$245,000,000 class A-2 'AAAsf'; Outlook Stable;

--$203,000,000 class A-3 'AAAsf'; Outlook Stable;

--$75,000,000 class A-4 'AAAsf'; Outlook Stable;

--$19,260,178 certificates not rated.

Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'John Deere Owner Trust 2015-B', dated Aug. 20, 2015, which is available on Fitch's web site. The presale report details how Fitch addresses the key rating drivers summarized below.

KEY RATING DRIVERS

High Concentration of Agricultural Equipment (AG): JDOT 2015-B is comprised of approximately 75% AG equipment, consistent with the prior transactions dating back to 2011. While AG equipment historical losses have been low, the high concentration in the pool limits diversification. However, geographic diversity, diversification within the AG sector, and equipment versatility help mitigate the high concentration.

Consistent Collateral Concentrations: The pool contains 75.3% AG and 24.7% construction equipment (CO). These concentrations are consistent with those of JDOT 2015. Furthermore, the pool consists of 64.4% annual-pay contracts, which historically have experienced a lower level of losses versus other payment types.

Sufficient Credit Enhancement: Initial hard credit enhancement (CE) for JDOT 2015-B is 3.50%, unchanged from JDOT 2015. The initial reserve in JDOT 2015-B is 1.00%, while the subordinated certificates provide 2.50% enhancement. Initial excess spread in JDOT 2015-B is expected to be approximately 1.56%, down from 1.73% in JDOT 2015. Under Fitch's 'AAAsf' scenario, CE for the class A notes was able to withstand more than 5.0x the expected net loss rate of 1.00%.

Stable Origination, Underwriting and Servicing: JDCC has demonstrated strong capabilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized trusts and its managed portfolio. All securitizations issued and rated by Fitch have performed within initial base case expectations.

Integrity of Legal Structure: The legal structure of the transaction should provide that a bankruptcy of the trust would not impair the timeliness of payments on the securities.

RATING SENSITIVITIES

Unanticipated 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 to increased losses over the life of the transaction. Fitch's analysis found that the notes display limited sensitivity to increased defaults and losses, showing limited impact on the rating of the notes under Fitch's moderate (1.5x base case loss) scenario. The notes could experience downgrades of up to two rating categories under Fitch's severe (2.5x base case loss) scenario.

DUE DILIGENCE USAGE

Additionally, Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence focused on comparing or recalculating certain information with respect to 120 receivables. Fitch considered this information in its analysis and the findings did not have an impact on our analysis/conclusions. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary (RAC).

Key Rating Drivers and Rating Sensitivities are further described in the presale report dated Aug. 20, 2015. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in ' John Deere Owner Trust 2015-B - Appendix'. These R&Ws are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated June 12, 2015.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, available at 'www.fitchratings.com' or by clicking on the link.

Additional information is available at www.fitchratings.com.

John Deere Owner Trust 2015-B (US ABS)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=869975

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Rating U.S. Equipment Lease and Loan ABS (pub. 23 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=830328

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

John Deere Owner Trust 2015-B Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=870034

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=989715

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=989715&flm_nm=15e_989715_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=989715

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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. 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.

Contacts

Fitch Ratings
Primary Analyst
Peter Manofsky
Director
+1-312-368-2068
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Secondary Analyst
Thomas Kaiser, CPA
Associate Director
+1-312-368-3338
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-0171
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Peter Manofsky
Director
+1-312-368-2068
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Secondary Analyst
Thomas Kaiser, CPA
Associate Director
+1-312-368-3338
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-0171
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com