Fitch Rates World Omni Automobile Lease Securitization Trust 2016-A

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings and Rating Outlooks to the notes issued by World Omni Automobile Lease Securitization Trust 2016-A:

--$117,000,000 Class A-1 'F1+sf';

--$426,000,000 Class A-2a/A-2b 'AAAsf'; Outlook Stable;

--$305,000,000 Class A-3 'AAAsf'; Outlook Stable;

--$93,282,000 Class A-4 'AAAsf'; Outlook Stable;

--$45,445,000 Class B 'AAsf'; Outlook Stable.

KEY RATING DRIVERS

Stable Collateral Quality: 2016-A has a weighted average (WA) FICO score of 732, a decrease from prior securitizations but consistent with a prime portfolio. The base residual value percentage has decreased marginally to 68.94% from 69.52% in WOLS 2015-A.

Collateral Concentration Risks: The two largest models (Toyota Camry and RAV4) total 39% of the portfolio in 2016-A compared to 45% for the two largest models (Toyota Camry and Corolla) in 2015-A. Camry and RAV4 models have produced low residual value (RV) losses historically. While the lease maturities in 2016-A are heavily concentrated at the end of 2018 and first half of 2019, the overall portfolio has a WA original term of 37.6 months, in line with 2015-A.

Adequate Credit Enhancement Structure: Initial credit enhancement (CE) is expected to be 17.65% and 13.65% of the initial securitization value (SV) for the class A and B notes, respectively, growing to 19.15% and 15.15% of the initial SV. Fitch's 'BB' RV loss expectation is 9.30% of base residual and Fitch's credit loss proxy is 0.85% of SV.

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.

Quality of Origination, Underwriting, and Servicing Platform: World Omni demonstrates adequate abilities as originator, underwriter, and servicer, as evidenced by historical delinquency, credit loss, and RV loss performance of the 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 notes.

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 Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to 135 sample leases. Fitch considered this information in its analysis and the findings did not have an impact on 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 at 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 the reports titled ' World Omni Automobile Lease Securitization Trust 2016-A -- Appendix'. 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.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815

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 Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Related Research

World Omni Auto Receivables Trust 2016-A -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878772

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1009176

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1009176

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/20160720006049/en/

Fitch Ratings
Primary Analyst
Puloma Mukherjee
Associate Director
+1-212-908-0307
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Kate Manion
Director
+1-212-908-0792
or
Committee Chairperson
Hylton Heard
Managing Director
+1-212-908-0214
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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