Fitch Affirms Mercedes-Benz Master Owner Trust, Series 2012-A, 2015-A and 2015-B; Outlook Stable

NEW YORK

Fitch Ratings has affirmed the following outstanding notes issued by the Mercedes-Benz Master Owner Trust (MBMOT) as a result of its annual review of the trust:

–2012-A class A at ‘AAAsf’; Outlook Stable;

–2015-A class A at ‘AAAsf’; Outlook Stable;

–2015-B class A at ‘AAAsf’; Outlook Stable.

KEY RATING DRIVERS

Good Quality of Receivables: The trust receivables are largely backed by new vehicles from dealers with strong internal dealer ratings and health.

Asset Concentrations: Dealers and manufacturers are subject to concentration limits, mitigating the risk of individual dealer defaults and losses. Further, the exposure to individual vehicle type, model or segment is mitigated with concentration limits in place.

Strong Dealer Network: Current dealer performance, financial metrics and overall health of the MB dealer network are strong, with the majority of dealers profitable in early 2015.

Strong Trust Performance: MBMOT continues to exhibit positive trends in overall performance metrics, including elevated monthly payment rates (MPRs) and stable asset yields, low agings, and no dealer defaults or trust losses.

Adequate Credit Enhancement (CE): Class A CE for 2012-A and 2015-A&B is currently 18.76% and 17.54% (of the nominal liquidation amount), respectively, comprising required overcollateralization (OC), incremental OC and a non-declining cash reserve fund. Structural features such as early amortization triggers mitigate events of dealer/manufacturer defaults/bankruptcies.

Consistent Origination and Servicing: MBFS demonstrates adequate abilities as an originator, underwriter, and servicer, as evidenced by the historical performance of MBFS’s portfolio and MBMOT.

Legal Structure Integrity: The legal structure of the transaction provides that a bankruptcy of MBFS would not impair the timeliness of payments on the securities.

RATING SENSITIVITIES

To conduct rating sensitivity for the issued notes, under a category B Dealer Floorplan platform, Fitch assumes portfolio default levels at 10%, 25%, and 40%, and under two recovery-level scenarios of 50% and 30%. Fitch modeled these series with the assumption that the above defaults have occurred and recoveries stressed accordingly, reflecting asset performance in a stressed environment. Remaining expected loss levels were compared with the stressed loss assumption grid commensurate with various rating levels.

However, to date, performance for the trust has remained strong. A material deterioration would have to occur in performance to have potential negative impact on the ratings for each series.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch’s analysis of the Representation and Warranties (R&W) of the transactions in this review can be found in the respective appendices to each presale report. 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. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Global Rating Criteria for Dealer Floorplan ABS (pub. 06 Jan 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=833468

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

Mercedes-Benz Master Owner Trust 2012-A — Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=696051

Mercedes-Benz Master Owner Trust 2015-A — Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864626

Mercedes-Benz Master Owner Trust 2015-B — Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864640

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=992336

Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=992336

Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Fitch Ratings
Primary Analyst:
Timothy McNally, +1-212-908-0870
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Du Trieu, +1-212-908-0870
Senior Director
or
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Sandro Scenga, +1-212-908-0278
New York
sandro.scenga@fitchratings.com