Mercedes Benz Financial Services USA priced an upsized, $1.98 billion of auto lease securitization, according to a regulatory filing.
The deal, MBALT 2014-A, was originally sized at $1.37 billion. It consists of a $393 million money market tranche and four tranches with preliminary triple-A ratings from Moody’s Investors Service and Standard & Poor’s.
The money market tranche, which has a weighted average life (WAL) of 0.38 years, was priced at par and pays interest of 0.2%; a $405 million tranche with a WAL of 1.05 years yields 20 basis points over the Eurodollar synthetic forward curve; another $405 million tranche with a WAL of 1.05 years yields one-month Libor plus 18 basis points; a $546.29 million tranche with a WAL of 1.69 years pays 24 basis points over the eurodollar synthetic forward curve and a $220 million tranche with a WAL of 2.08 years pays 32 basis points over the interpolated swaps curve.
Citigroup, BNP and Bank of America Merrill Lynch are joint lead arrangers; Deutsche Bank and Sumitomo Mitsui Banking Corp. are co-managers.
The transaction securitizes prime auto leases with a weighted average FICO score of 781, according to a presale report published by Standard & Poor’s. The vehicles in the pool historically have had strong retention values. The leases in the pool are originated by Mercedes-Benz dealers.
The deal has an initial overcollateralization of 16.5%.
MBALT 2014-A is the originator’s fourth publicly placed auto lease securitization and its sixth auto lease deal overall, according to S&P.
At the end of 2013, MBFS USA’s portfolio of retail lease contracts totaled 364,870 contracts worth a total of about $17.3 billion. The portfolio has grown steadily since 2010. Recent performance has been healthy — at the end of last year overdue payments beyond the 30-day mark and repossessions were 0.48% and 0.39% of the firm’s portfolio, respectively.
S&P said the program’s outstanding deals have so far, across the board, experienced “very low losses.” The worst performing deal of the bunch that’s over a year old - 2012-A - exhibits cumulative net losses below 0.15%.