NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned an 'AAAsf' rating to the class A notes of Mercedes-Benz Master Owner Trust, Series 2016-A (MBMOT 2016-A). The Rating Outlook is 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 2016.
Strong Trust Performance: MBMOT continues to exhibit positive trends in overall performance metrics, including strong monthly payment rates (MPRs) and stable asset yields, low agings and no dealer defaults or 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), consistent with 2015-A/B. Structural features, including early amortization triggers, mitigate risks stemming from dealer/manufacturer defaults/bankruptcies.
Consistent Origination and Servicing: MBFS USA demonstrates adequate abilities as an originator, underwriter and servicer, as evidenced by the historical performance of MBFS's portfolio and MBMOT.
Legal Structure Integrity: The legal structure of the transaction provides that a bankruptcy of MBFS USA 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.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has assigned the following rating:
--$375,000,000 class A notes 'AAAsf'; Outlook Stable.
Additional information is available at www.fitchratings.com.
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
Exposure Draft: Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 Apr 2016)
Global Rating Criteria for Dealer Floorplan ABS (pub. 05 May 2016)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Mercedes-Benz Master Owner Trust, Series 2016-A - Appendix
Dodd-Frank Rating Information Disclosure Form