About $750 million of asset-backed securities affected
New York, February 10, 2011 -- Moody's Investors Service has assigned provisional ratings of (P)Prime-1
(sf) and (P)Aaa (sf) to the senior notes to be 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 complete rating actions are as follows:
Issuer: Mercedes-Benz Auto Lease Trust 2011-A
Class A-1 Notes, rated (P)Prime-1(sf)
Class A-2 Notes, rated (P)Aaa (sf)
Class A-3 Notes, rated (P)Aaa (sf)
Class A-4 Notes, rated (P)Aaa (sf)
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 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 rating
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
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.
Credit Loss Analysis
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.
Residual Value Stress
Moody's does not estimate expected residual value losses for auto
lease ABS transactions. Compared with credit loss, residual
value loss is 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.
Our residual value stress includes both vehicle residual value and turn-in
rates stress. Among the more important factors in setting stressed
residual value and turn-in rates are the following:
Historical turn-in rates and residual value loss
Stability of manufacturer
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
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
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
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify 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.
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.
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's assigns provisional ratings to Mercedes-Benz Auto Lease Trust 2011-A
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