by Standard and Poor's on Wednesday, November 23, 2016
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NEW YORK (S&P Global Ratings) Nov. 23, 2016--S&P Global Ratings today raised its ratings on four classes and affirmed the ratings on 13 classes from four GreatAmerica Leasing Receivables Funding LLC transactions (see list).
Today's rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under
various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the creditworthiness of the notes remains consistent with the raised and affirmed ratings.
Each transaction is performing better than we had initially expected. As a result, we lowered our original lifetime loss expectation for series 2013-1, 2014-1, and 2015-1 because of lower-than-expected default frequencies as well as less stressful severity assumptions given the shorter period of time during which the transactions are exposed to recovery rate volatility. For series 2013-1 and 2014-1, we increased our stressed recovery rate assumption to 15% and 13%, respectively, from our initial 10% assumption. Our revised lifetime loss expectations also considered the servicer's substitutions of replacement contracts for those that have become defaulted, which is permitted, at the servicer's option, up to a capped amount.
Series 2016-1, at month nine, is still a relatively young transaction, with a pool factor of 76.68%. This transaction is performing better than we had initially expected but we are maintaining our initial loss expectation pending further collateral performance (see tables 1 and 2).
Our stressed loss level for each pool considers obligor concentrations. Each individual obligor concentration is well below 1.50% of the pool balance, the threshold level that we generally focus on to begin incorporating obligor default risk into our stressed loss analysis. Therefore, we have not included an additional amount for top obligor defaults in our stressed loss calculation but have focused on actuarial or flow-loss levels in the calculation. Given the low obligor concentrations, the total hard credit enhancement in each pool can cover many top obligor concentrations.
GreatAmerica Leasing Receivables Funding LLC
Series Class To From
2013-1 B AAA (sf) AA+ (sf)
2013-1 C AA+ (sf) AA (sf)
2014-1 C AA (sf) AA- (sf)
2015-1 C AA (sf) A+ (sf)
13 ADDITIONAL RATINGS WERE AFFIRMED