The auto fleet lease sector witnessed the coming of a first-time entrant last week as Chicago-based leasing company Wheels, Inc. priced a private, $500 million deal led by JPMorgan Securities, its first ever term securitization. Wheels had previously issued discreetly into the conduit market.

The deal is backed by automobile leases made to credit-rated businesses primarily in the healthcare, pharmaceutical sales and manufacturing sectors, with 100 to 5,000 vehicle fleets. The four-tranche deal has two triple-A rated senior tranches as well as a B class rated Aa3' by Moody's Investors Service and A' by Standard & Poor's. The C class was rated Baa1' by Moody's and BBB' by S&P, respectively.

The transaction, reportedly priced last Thursday, but officials from JPMorgan declined to comment or provide final pricing details due to its Rule 144A status. As of press time, however, the two-year tranche was talked in the nine to 10 basis point range over one-month Libor and the 3.39-year tranche was talked at 13 to 15 basis points over one-month Libor. The 2.73-year Class B tranche was talked in the 38 to 40 basis point range over one-month Libor and the 2.73-year C class was talked at 68 to 70 basis points over one-month Libor.

"We are very pleased with the market reception and execution we received on our inaugural ABS transaction," said Sharon Ephraim, treasurer with Wheels. "It is an important step in establishing the Wheels name in the market as we anticipate future issuances." As for whether any future deals would be public or private, Ephraim said the company would assess all options for future deals.

The total pool consists of 30,368 leases, mostly on cars and light-duty trucks, with a small percentage of medium and heavy-duty trucks, miscellaneous equipment and forklifts. The leases range in size from the mid-thousands to $210,000, with an average value of $16,663. The leases in the pool have a range of original terms from 20 to 100 months and a weighted average remaining maturity of 42 months.

Kent Becker, senior vice president with Moody's, said the fact that most of the leases in the deal were made to Moody's-rated entities allowed the agency to measure default probabilities and idealized default rates within the pool. Because of that, Moody's was able to follow an approach similar to that used in CBO and CLO transactions, based on the creation of a hypothetical collateral pool consisting of identical, independent obligors intended to mimic the creditworthiness of the actual

proposed pool.

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