Fitch Affirms Mercedes-Benz Master Owner Trust, Series 2012-A, 2015-A and 2015-B; Outlook Stable
--2012-A class A at 'AAAsf'; Outlook Stable;
--2015-A class A at 'AAAsf'; Outlook Stable;
--2015-B class A at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Good Quality of Receivables: The trust receivables are largely backed by new vehicles from dealers with strong internal dealer ratings and health.
Asset Concentrations: Dealers and manufacturers are subject to concentration limits, mitigating the risk of individual dealer defaults and losses. Further, the exposure to individual vehicle type, model or segment is mitigated with concentration limits in place.
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 or trust losses.
Adequate Credit Enhancement (CE): Class A CE for 2012-A and 2015-A&B is currently 18.76% and 17.54% (of the nominal liquidation amount), respectively, comprising required overcollateralization (OC), incremental OC and a non-declining cash reserve fund. Structural features such as early amortization triggers mitigate events of 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's 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.
However, to date, performance for the trust has remained strong. A material deterioration would have to occur in performance to have potential negative impact on the ratings for each series.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.
Fitch's analysis of the Representation and Warranties (R&W) of the transactions in this review can be found in the respective appendices to each presale report. These R&W 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.