RPT-Fitch to rate Nissan Auto Lease Trust 2013-B; issues presale
Oct 21 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following ratings and Rating Outlooks to Nissan Auto Lease Trust 2013-B:
--$127,000,000 class A-1 asset-backed notes 'F1+sf';
--$140,000,000 class A-2a asset-backed notes 'AAAsf'; Outlook Stable;
--$225,000,000 class A-2b asset-backed notes 'AAAsf'; Outlook Stable;
--$193,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable;
--$115,000,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The weighted averaged (WA) FICO score of 744 is consistent with prime auto lease ABS and indicates a strong credit quality lessee. The pool is primarily composed of 39-month leases, has seasoning of 13 months and has a residual composition slightly higher than prior pools.
Sufficient Credit Enhancement Structure: 2013-B incorporates a sequential-pay structure. Initial credit enhancement (CE) is 17.50% of the initial securitization value (SV), growing to 18.50% of the initial SV. Excess spread is expected to be 5.04%.
Strong Credit and Low Residual Losses: Credit and residual losses on NMAC's portfolio and recent NALT securitizations have declined significantly from the elevated levels seen in 2007 and 2008. This is supported by the improved obligor credit quality and a strong wholesale used vehicle market resulting in higher recovery rates and strong residual realizations.
Weakening Residual Maturity Diversification: Maturity concentrations have weakened with 67% and 91% of residuals maturing in a one-year and an 18-month period, respectively, versus 61% and 85% in 2013-A. While residual realizations have improved in recent years, Fitch remains cautious of the potential impact of general economic weakness and rising fuel prices on demand for used vehicles.
Unhedged Floating-Rate Class A-2b: The class A-2b notes are expected to pay interest on a floating-rate basis, while the assets pay a fixed rate, and will not be hedged. As such, Fitch has stressed the transaction structure using its 'AAA' LIBOR-up stressed assumptions.
Uncertain Macroeconomic Conditions: The stability of the U.S. and global economic recovery remains a concern, as economic deterioration could lead to increased losses in 2013-B.
State of the Wholesale Vehicle Market: The U.S. wholesale vehicle market (WVM) has remained healthy thus far in 2013. However, Fitch remains cautious as the general economic softness and the used vehicle supply, which is expected to grow, could have a negative impact on future residual realizations.
Consistent Origination/Underwriting/Servicing: NMAC has good capabilities as originator, underwriter and servicer. This is evidenced by historical delinquency and loss performance of its managed portfolio and securitizations. Fitch deems NMAC capable of adequately servicing 2013-B.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of NMAC would not impair the timeliness of payments on the securities.
Unanticipated decreases in the value of returned vehicles and/or increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in potential negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Nissan Auto Lease Trust 2013-B to increased credit and residual losses over the life of the transaction.
Fitch's analysis found that the transaction displays relatively little sensitivity to increased defaults and credit losses, showing downgrades of only one rating category even under Fitch's severe (2.5 times base case loss) scenario. The transaction shows significantly more sensitivity to residual loss volatility. However. the class A notes would be expected to retain an investment grade rating even under Fitch's severe scenario.
Key Rating Drivers and rating sensitivities are further detaild in the accompanying presale report, , available at 'www.fitchratings.com' or by clicking on the below link.
Link to Fitch Ratings' Report: Nissan Auto Lease Trust 2013-B (US ABS)