Fitch Affirms Wheels SPV2, LLC, Series 2015-1

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the following notes issued by Wheels SPV2, LLC, Series 2015-1:

--Class A-2 notes at 'AAAsf'; Outlook Stable;

--Class A-3 notes at 'AAAsf'; Outlook Stable;

--Class A-4 notes at 'AAAsf'; Outlook Stable;

--Class B notes at 'AAsf'; Rating Outlook revised to Positive from Stable;

--Class C notes at 'Asf'; Rating Outlook revised to Positive from Stable.

The Wheels SPV2, LLC, Series 2015-1 (Wheels 2015-1) pool has collateral characteristics and risks similar to corporate collateralized debt obligations (CDOs) and auto lease securitizations. As such, Fitch used elements of the rating methodologies detailed in the criteria for both of these asset classes which include 'Global Rating Criteria for CLOs and Corporate CDOs' dated November 2015 and 'Criteria for Rating U.S. Auto Lease ABS' dated March 2016. For details regarding the application of these criteria, please refer to the Wheels SPV2, LLC, Series 2015-1 (US ABS) presale report available on 'www.fitchratings.com'.

KEY RATING DRIVERS

The affirmation of the notes reflects the stable performance of the underlying lease receivables as evidenced by low delinquency and loss rates, as well as increasing credit enhancement for all classes of notes. The Positive Outlooks for the subordinate classes are indicative of potential upgrades over the next two years given continued credit enhancement growth and performance within expectations. Fitch will continue to monitor economic conditions and their impact on trust level performance variables and update the ratings accordingly.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and transaction fees in the event of servicer replacement, or decreases in recovery rates, could produce loss levels higher than the base case and could result in potential rating actions on the notes. In its initial review, Fitch evaluated the sensitivity of the ratings assigned to Wheels 2015-1 to increased default levels and servicing fees, as well as lower recovery rates for the truck component of the collateral pool, over the life of the transaction. Fitch's analysis found that the transaction displays relatively little sensitivity to increased servicing fees and decreased truck recovery rates. In both cases, the notes showed rating sensitivity of no more than one rating category. The transaction shows significantly more sensitivity to higher default rates, which Fitch stressed by assuming all unrated obligors carry a 'CCC' rating.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

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 Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Criteria for Rating U.S. Auto Lease ABS (pub. 24 Mar 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879019

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

Global Rating Criteria for CLOs and Corporate CDOs (pub. 12 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873664

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

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

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1004370

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1004370

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.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160512005855/en/

Fitch Ratings
Primary Analyst
Eric Orenstein
Analyst
+1-646-582-4816
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Hylton Heard
Senior Director
+1-212-908-0214
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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