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Fitch Rates World Omni Auto Receivables Trust 2015-B

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October 15, 2015 11:37 AM EDT

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings and Rating Outlooks to the notes issued by World Omni Auto Receivables Trust 2015-B (WOART 2015-B):

--$216,000,000 Class A-1 Notes 'F1+sf';

--$280,000,000 Class A-2a Notes 'AAAsf'; Outlook Stable;

--$133,000,000 Class A-2b Notes 'AAAsf'; Outlook Stable;

--$234,000,000 Class A-3 Notes 'AAAsf'; Outlook Stable;

--$125,000,000 Class A-4 Notes 'AAAsf'; Outlook Stable;

--$21,160,000 Class B Notes 'AAsf'; Outlook Stable.

KEY RATING DRIVERS

Consistent Pool Quality: 2015-B has relatively stable credit quality with a weighted average (WA) Fair Isaac Corp. N.A (FICO) score of 724, within range of recent 2014 - 2015 pools, although marginally lower. New vehicles total 97%, and the pool is geographically concentrated in the Southeast, consistent with historical World Omni originations.

High Percentage of Extended-Term Loans: Loans with original terms greater than 60 months total 76.50% in 2015-B. Extended-term loans have historically produced higher loss rates. Mitigating this somewhat is that the borrowers within this longer term range have strong obligor FICO scores. Fitch accounted for this risk in its determination of the loss proxy.

Adequate Credit Enhancement Structure: Credit enhancement (CE) in 2015-B is consistent with prior transactions. The structure is able to support multiples of Fitch's base case loss proxy of 2.10% that are commensurate with the expected ratings.

Evolving Wholesale Market: The U.S. wholesale vehicle market is normalizing following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates, leading to moderately higher loss rates.

Stable Portfolio/Securitization Performance: World Omni's portfolio and securitization delinquency and loss performance has improved since 2009 and has been relatively stable in 2013-2015, despite coming off record lows.

Consistent Origination/Underwriting/Servicing: Fitch believes World Omni to be a capable originator, underwriter, and servicer for 2015-B as evidenced by the historical performance of its managed portfolio and securitizations.

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

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes.

Fitch evaluated the sensitivity of the ratings assigned to World Omni Auto Receivables Trust 2015-B to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. The sensitivity analysis shows a potential downgrade of one category for both classes of notes under Fitch's moderate (1.5x base case loss) scenario. The notes could experience downgrades of two or more rating categories under Fitch's severe (2.5x base case loss) scenario.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information from Ernst & Young LLP (EY). The third-party due diligence focused on an extract of 125 retail instalment sale contracts that were selected by EY and verified for details such as customer name and state, interest rate, monthly payment amount, original term, FICO etc. In that sample set all compared information was in agreement. Fitch considered this information in its analysis and concluded that the findings do not impact our analysis.

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. As such, no adjustments were made to Fitch's analysis.

Fitch's analysis of the Representation and Warranties (R&W) of this transaction can be found in 'World Omni Auto Receivables Trust 2015-B--Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's June 2015 special report, 'Representations, Warranties, and Enforcement Mechanisms in the Global Structured Finance Transactions'.

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

Global Structured Finance & Covered Bonds Rating Criteria Hierarchy (pub. 07 Aug 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=869560

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

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

Rating Criteria for U.S. Auto Loan ABS (pub. 10 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863979

Related Research

Structured Finance Tranche Thickness Metrics

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646951

World Omni Auto Receivables Trust 2015-B (US ABS)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871822

World Omni Auto Receivables Trust 2015-B -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871929

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=992341

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=992341&flm_nm=15e_992341_1.pdf

ABS Due Diligence Form 15E 2

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=992341&flm_nm=15e_992341_2.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=992341

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.

Fitch Ratings
Primary Analyst
Kate Manion
Director
+1-212-908-0792
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Thomas Kaiser, CPA, CFA
Associate Director
+1-312-368-3338
or
Committee Chairperson
John Bella
Managing Director
+1-212-908-0243
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings


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