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New York, March 02, 2011 -- Moody's Investors Service has assigned definitive ratings of Prime-1 (sf) and Aaa (sf) to the senior notes issued by Mercedes-Benz Auto Lease Trust 2011-A (MBALT 11-A). The rated notes are in effect collateralized by a pool of closed-end retail automobile lease contracts and related new Mercedes-Benz motor vehicles. All of the receivables securitized in this deal were originated by Mercedes-Benz dealers, in accordance with underwriting standards of Mercedes-Benz Financial Services USA LLC's (MBFS) .
The ratings are based primarily on an analysis of the credit quality of the collateral pool, the historical performance of prior originations from this sponsor, the servicing ability of MBFS, and the level of credit enhancement available under the proposed capital structure.
Moody's total credit enhancement (including excess spread credit) required to achieve a Aaa rating (i.e. Aaa proxy) is 22.00%. The total credit enhancement reflects the ability of the rated notes to withstand variability in asset performance that was deemed consistent with the desired rating. The sufficiency of credit support level for the rated notes is analyzed based on historical performance, including the level of residual value and credit losses experienced by the sponsor's portfolio and prior securitizations.
The V Score for this transaction is Medium, which is in line with the score assigned to the U.S. Auto Lease ABS sector.
Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If the market value volatility stress assumption underlying the credit support level used in determining the initial rating were changed from 40.0% to 50.0% or 60.0%, the initial model-indicated output for the Class A notes might change from Aaa to Aa1 or Aa3, respectively. The assessment is based on a vehicle turn-in ratio assumption of close to 100% excluding credit defaults.
Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; instead they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis.
Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction.
Our auto lease analysis involves both credit loss assessment and residual value stress, with a keen focus on residual value risk underlying the auto lease transactions.
In general, our credit loss analysis for auto lease transactions is consistent with our published methodology in evaluating retail auto loan securitizations. The approach typically relies on estimates of the expected credit loss and its variance to derive the full probability distribution of the pool credit loss. The expected credit loss is estimated based on factors such pool quality, historical performance track record, and macroeconomic trends, etc. The variance of the pool credit loss, or "Volatility Proxy Aaa Level" , is derived directly from rating committee assessment based on past performance variance, servicing quality, pool concentration, deal structure, and other qualitative and quantitative factors that could contribute to credit loss variability.
Moody's does not estimate expected residual value losses for auto lease ABS transactions. Compared with credit loss, residual value loss are affected by a far wider array of factors, such as future used car prices, that are difficult to forecast with a high degree of confidence. Furthermore, historical residual value performance for almost every issuer of auto lease ABS has proved to be quite volatile. For these reasons, we focus our residual value analysis on applying different residual value stresses based on targeted rating levels, rather than on deriving an expected residual value loss figure.
Moody's applies different residual value stress based on targeted rating levels by using historical auction data, such as reported directly by issuer or by National Automotive Dealer's Association ("NADA") rather than industry guides such as the ALG. The use of historical price data is preferable to replaying on third party projections because it permits Moody's to incorporate its own assumptions and information specific to various manufacturer and vehicle types in stressing residual value. The Aaa credit enhancement required to cover residual value loss is derived by applying a 40-50% stress to the average historical auction realization value at close and a 100% turn-in rate stress for non-defaulting lease contracts.
Additional research including a pre-sale report for this transaction is available at www.moodys.com. The special reports, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" and "V Scores and Parameter Sensitivities in the U.S. Vehicle ABS Sector" are also available on moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.
Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available on the issuer satisfactory for the purposes of assigning a credit rating. However, the credit rating action was based on limited historical data.
Moody's Investors Service adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from reliable sources; however, Moody's Investors Service does not and cannot in every instance independently verify, audit or validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.
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Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.
Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.
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