CHICAGO--(BUSINESS WIRE)--Fitch Ratings expects to assign the following ratings and Outlooks to Mercedes-Benz Master Owner Trust series 2015-A as follows:
--$400,000,000 class A 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Strong Receivables Quality: The receivables have approximately 91% new vehicles backed mainly by MB vehicles, as well as a small portion of those of other manufacturers.
Asset Concentration Limits: Dealers are subject to concentration limits, mitigating the risk of individual dealer defaults and losses. The exposure to individual vehicle types, dealer credit ratings, and state concentrations is mitigated by concentration limits.
Strong Dealer Network: Current dealer performance, financial metrics and overall health of the MB dealer network are strong, with the majority of dealers profitable in early 2015.
Strong Trust Performance: MBMOT continues to exhibit positive trends in overall performance metrics, including elevated monthly payment rates (MPRs) and stable asset yields, low agings, and no dealer defaults and trust losses.
Sufficient Credit Enhancement: Initial hard credit enhancement (CE) for the class A notes totals 16.88% (16.25% overcollateralization [OC] and a 0.63% reserve), down from 18.62% in 2012-A. Structural features, including early amortization triggers, mitigate risks stemming from dealer/manufacturer defaults/bankruptcies.
Consistent Origination and Servicing: MBFS demonstrates adequate abilities as an originator, underwriter, and servicer, as evidenced by the historical performance of MBFS' portfolio and MBMOT.
Legal Structure Integrity: The legal structure of the transaction provides that a bankruptcy of MBFS would not impair the timeliness of payments on the securities.
To conduct rating sensitivity for the issued notes, under a category B Dealer Floorplan platform, Fitch assumes portfolio default levels at 10%, 25%, and 40%, and under two recovery-level scenarios of 50% and 30%. Fitch modeled these series with the assumption that the above defaults have occurred and recoveries stressed accordingly, reflecting asset performance in a stressed environment. Remaining expected loss levels were compared with the stressed loss assumption grid commensurate with various rating levels.
Fitch's analysis of the Representation and Warranties (R&W) of these transactions can be found in 'Mercedes-Benz Master Owner Trust, Series 2015-A Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's October 31, 2014 special report, 'Representations, Warranties, and Enforcement Mechanisms in the Global Structured Finance Transactions'.
The presale report is available to all investors 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 Rating Criteria for Dealer Floorplan ABS' (Jan. 6, 2015);
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transaction' (Oct. 31, 2014)
--'Mercedes-Benz Master Owner Trust, Series 2015-A -- Appendix' (April 13, 2015).
Applicable Criteria and Related Research: Mercedes-Benz Master Owner Trust, Series 2015-A (US ABS)
Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions
Global Rating Criteria for Dealer Floorplan ABS
Global Structured Finance Rating Criteria - Effective from 4 August 2014 to 31 March 2015