Fitch Rates BMW Vehicle Lease Trust 2015-2

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings and Outlooks to the notes issued by BMW Vehicle Lease Trust 2015-2:

--$171,000,000 class A-1 asset-backed notes 'F1+sf';

--$250,000,000 class A-2A asset-backed notes 'AAAsf'; Outlook Stable;

--$190,000,000 class A-2B asset-backed notes 'AAAsf'; Outlook Stable;

--$308,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable;

--$81,000,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Stable Collateral Quality: The pool is consistent with that of 2015-1. Securitized residuals comprise 71.51% of the pool and the 3 Series remains the top model at 22.8% of the pool. Seasoning is consistent at 10 months and the weighted average (WA) FICO score has increased to 776.

Adequate Credit Enhancement (CE) Structure: Initial CE has decrease by 0.10% from 2015-1 and will be 17.05%. CE is composed of a 0.25% reserve account and overcollateralization (OC) of 16.80% growing to a target of 18.95% of the initial securitization value (until class A-2 has been paid in full, then the target OC drops to 17.95%). Initial excess spread is 4.84% per annum.

Strong Loss Performance: Credit and residuals performance on BMW FS's portfolio has been strong in recent years. This is a result of robust obligor credit quality and a strong wholesale used vehicle market, leading to higher recovery rates and residuals realizations.

Evolving Wholesale Market: The U.S. wholesale vehicle market has been normalizing following strong performance in recent years. Fitch expects that increasing off-lease vehicle supply and pressure from increased production levels will lead to decreased residual realizations during the life of the transaction.

Stable Origination/Underwriting/Servicing: BMW FS demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio delinquency and loss experience and securitization performance.

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

RATING SENSITIVITIES

Unanticipated decreases in the value of returned vehicles and/or increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and would likely result in declines of CE and loss coverage levels available to the notes. Hence, Fitch conducts sensitivity analyses by increasing the transaction's initial base case RV and credit loss assumptions and examining the rating implications on all classes of issued notes. The increases to the base case losses are applied such that they represent moderate (1.5x) and severe (2.5x) stresses, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information from KPMG, LLP. The third-party due diligence focused on comparing or recalculating certain information with respect to 100 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.

Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'BMW Lease Trust 2015-2 -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.

Applicable Criteria

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

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

Related Research

BMW Vehicle Lease Trust 2015-2 -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871871

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=992301

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=992301&flm_nm=15e_992301_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=992301

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/20151014006597/en/

Fitch Ratings
Primary Analyst
Margaret Rowe, +1-312-368-3167
Director
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Secondary Analyst
Cole MacKenzie, +1-212-908-0830
Associate Analyst
or
Committee Chairperson
Hylton Heard, +1-212-908-0214
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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