Fitch to Rate Wheels SPV 2, LLC, Series 2015-1; Issues Presale

Fitch Ratings expects to assign the following ratings and Rating Outlooks to the Wheels SPV 2, LLC, Series 2015-1 notes:

--$124,000,000 class A-1 notes 'F1+sf';

--$307,000,000 class A-2 notes 'AAAsf'; Outlook Stable;

--$50,500,000 class A-3 notes 'AAAsf'; Outlook Stable;

--$11,300,000 class A-4 notes 'AAAsf'; Outlook Stable;

--$8,000,000 class B notes 'AAsf'; Outlook Stable;

--$11,900,000 class C notes 'Asf'; Outlook Stable.

KEY RATING DRIVERS

The Wheels 2015-1 pool has collateral characteristics and risks similar to corporate collateralized debt obligations (CDOs) and auto lease securitizations. As such, Fitch used elements of the rating methodologies detailed in its current criteria for each of these two asset classes in its review of Wheels 2015-1.

The obligor and industry concentration risk in this portfolio is similar to the risks prevalent in CDO transactions. As such, Fitch used its proprietary Fitch Portfolio Credit Model (PCM v.2.4.5) in deriving its default expectations for the pool, consistent with the rating approach for corporate CDOs. This model and approach were employed as described in Fitch's 'Global Rating Criteria for Corporate CDOs,' dated July 2014, available on its website at 'www.fitchratings.com'. This approach is the primary driver of default expectations for the Wheels 2015-1 pool.

The pool's collateral is subject to the depreciation-setting policy of the lessor and fluctuations in the wholesale vehicle market. As such, Fitch used its approach to determine residual loss levels for retail auto lease transactions to generate recovery expectations for each lessee, as detailed in 'Criteria for Rating U.S. Auto Lease ABS,' published April 2015, available on Fitch's website.

Strong Credit Quality Obligors: Approximately 72% of the portfolio is rated by Fitch or another nationally recognized statistical rating organization (NRSRO). As such, 28% is unrated, which is down from the prior two transactions. In its analysis, Fitch assumed a 'B' rating for unrated obligors. Due to the increase in rated obligors, the expected portfolio hurdle loss rates are down from 2014-1 to 7.1%, 6.1% and 4.8% for 'AAAsf', 'AAsf' and 'Asf', respectively.

Consistent Concentrations: Both obligor and industry concentrations remain stable. The top 20 obligors by balance represent 49%, consistent with 2014-1. Light Duty Trucks comprise 62% of the pool compared to 59% in 2014-1.

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 2015-1 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 depreciation policies and substantial vehicle discounts obtained by Wheels.

Sufficient Credit Enhancement: Credit enhancement (CE) is consistent with the prior (2014-1) transaction. Total CE is sufficient to support loss levels consistent with expected ratings of 'AAAsf', 'AAsf' and 'Asf' for class A, B and C notes, respectively.

Quality Origination, Underwriting and Servicing Platform: Wheels has an investment-grade rating of 'A/F1' by Fitch and has demonstrated strong abilities as originator, underwriter and servicer, as 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 and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Wheels 2015-1 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.

DUE DILIGENCE USAGE

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

Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in the reports titled ' Wheels SPV2, LLC, Series 2015-1 -- 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 March 26, 2015.

Additional information is available at www.fitchratings.com.

Wheels SPV 2, LLC, Series 2015-1 (US ABS)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=866395

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Criteria for Rating U.S. Auto Lease ABS (pub. 24 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864500

Global Rating Criteria for Structured Finance CDOs (pub. 16 Jul 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Global Structured Finance Rating Criteria (pub. 31 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Additional Disclosures

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=985377

Endorsement Policy

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

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