News Column

Fitch Assigns Final Ratings to Wheels SPV 2, LLC 2014-1

May 22, 2014

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings and Rating Outlooks to the Wheels SPV 2, LLC, series 2014-1 notes:

--$122,000,000 class A-1 notes 'F1+sf';

--$308,000,000 class A-2 notes 'AAAsf'; Outlook Stable;

--$53,600,000 class A-3 notes 'AAAsf'; Outlook Stable;

--$7,800,000 class B notes 'AAsf'; Outlook Stable;

--$11,700,000 class C notes 'A-sf'; Outlook Stable.

KEY RATING DRIVERS

Strong Credit Quality Obligors: Approximately 67% of the portfolio is rated by Fitch or another Nationally Recognized Statistical Rating Organization (NRSRO). As such, 33% is unrated, an increase from 29% in the 2012-1 transaction. In its analysis, Fitch assumed a 'B' rating for unrated obligors. While the pool is generally consistent with 2012-1, a decrease in investment grade obligors and increase in non-rated obligors has led to an increase in overall loss expectations.

Consistent Concentrations: Both obligor and industry concentrations are consistent with 2012-1. The top 20 obligors by balance represent 49%, consistent with 2012-1.

Low Delinquency and Loss History: Wheels' historical managed portfolio and prior transaction delinquency and loss experience is low, even during periods marked by elevated levels in other consumer and commercial asset classes.

Minimal Residual Risk: The 2014-1 leases are all open-ended, meaning lessees bear residual risk. Therefore, the trust is only exposed to wholesale market risk in the event of an obligor default. Even then, vehicle dispositions have largely resulted in gains relative to book value due to conservative amortization and substantial vehicle discounts obtained by Wheels.

Sufficient Credit Enhancement (CE): CE has increased for the class A and B notes versus the 2012-1 transaction, while class C CE has declined. Total CE is sufficient to support loss levels consistent with ratings of 'AAAsf', 'AAsf', and 'A-sf', for class A, B, and C notes, respectively.

Quality Origination, Underwriting, and Servicing Platform: Rated 'A/F1' by Fitch, Wheels, Inc. has demonstrated strong abilities as originator, underwriter, and servicer., This is evidenced by historical delinquency and loss performance of securitized trusts and the managed portfolio.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and transaction fees, or decreases in recovery rates, could produce loss levels higher than the base case. This in turn could result in potential negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Wheels 2014-1 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.

Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'Wheels SPV 2, LLC, Series 2014-1 - Appendix'. This R&W is 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 April 17, 2012.

The new issue report is available at 'www.fitchratings.com' or by clicking on the link at the end of the press release.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 2014);

--'Criteria for Rating U.S. Auto Lease ABS' (April 2014);

--'Global Rating Criteria for Corporate CDOs' (August 2013);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);

--'Structured Finance Tranche Thickness Metrics' (July 2011);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (January 2014).

--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' (April 17, 2012);

--'Wheels SPV 2, LLC, Series 2014-1 (US ABS)' (May 7, 2014);

--'Wheels SPV 2, LLC, Series 2014-1 -- Appendix' (May 7, 2014).

Applicable Criteria and Related Research:

Wheels SPV 2, LLC, Series 2014-1 -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748160

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Criteria for Rating U.S. Auto Lease ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746763

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Structured Finance Tranche Thickness Metrics

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

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=695535

Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=676496

Wheels SPV 2, LLC, Series 2014-1 (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748100

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=831336

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

Peter Manofsky

Director

+1 312-368-2068

Fitch Ratings, Inc.

70 W. Madison

Chicago, IL 60602

or

Secondary Analyst

Thomas Kaiser, CPA

Associate Director

+1 312-368-3338

or

Committee Chairperson

Du Trieu

Senior Director

+1 312-368-2091

or

Media Relations, New York

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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