CHICAGO--(BUSINESS WIRE)--Fitch Ratings has affirmed the following ratings:
Continental Airlines 2012-2 Pass Through Trust
--Series 2012-2 Class A certificates at 'A',
--Series 2012-2 Class B certificates at 'BBB-'
Continental Airlines 2012-3 Pass Through Trust
--Series 2012-3 Class C certificates at 'BB-'
The 'A' rating on the class A certificates is based on a top down analysis that focuses on overcollateralization and the ability of the structure to withstand a severe stress scenario. Fitch's stress analysis applies various haircuts to the collateral value, assumes a full draw of the transaction's 18 month liquidity facility as well as incorporating remarketing/repossession costs equal to 5% of the portfolio value. Using these assumptions, Fitch estimates that the maximum stress level LTV through the life of the transaction is 94.2%, which implies full recovery for the A tranche holders with some headroom.
The 'A' rating is further supported by a high affirmation factor (the likelihood that the airline would affirm the collateral pool in a bankruptcy scenario) and the quality of the collateral pool. The underlying collateral consists of 2012 - 2013 delivery 737-900ERs and 787-8s, both of which Fitch considers to be quality Tier 1 aircraft, and which are viewed as being strategically important to United's fleet plan.
The subordinated tranche ratings reflect Fitch's updated EETC criteria, which was published on September 12, 2013. The updated methodology prescribes a three step process to determine the subordinated tranche ratings; 1) ratings are notched up from the airline's IDR by 0-3 notches based on affirmation factor, 2) a one notch uplift is provided for the presence of a liquidity facility, and 3) one additional notch of uplift may be assigned to B tranches that exhibit superior recovery prospects for a maximum potential uplift of 5 notches.
The 'BBB-' rating on the Continental 2012-2 class B certificates reflects a full five notch uplift, reflecting Fitch's view that the B tranche benefits both from a high affirmation factor and from recovery prospects that are well above average compared to similar deals.
The 'BB-' rating on the Continental 2012-3 class C certificates reflects a three notch uplift based on the affirmation factor, offset by a one notch downward adjustment based on recovery expectations.
Additional information is available at 'www.fitchratings.com'
Applicable Criteria and Related Research:
--'Rating Aircraft Enhanced Equipment Trust Certificates' (Sept. 12, 2013)
--'Corporate Rating Methodology' (Aug. 5, 2013);
--'Recovery Ratings and Notching Criteria for Nonfinancial Corporate Issuers' (Nov. 13, 2012).
Applicable Criteria and Related Research:
Rating Aircraft Enhanced Equipment Trust Certificates
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688711
Corporate Rating Methodology - Effective from 8 August 2012 - 5 August
2013
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=684460
Recovery Ratings and Notching Criteria for Non-Financial Corporate
Issuers
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=693773
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=801896
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