Feb 20 (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following
ratings to Ally Auto Receivables Trust 2014-SN1:
--$203,000,000 class A-1 asset-backed notes 'F1+sf';
--$470,000,000 class A-2 asset-backed notes 'AAAsf'; Outlook Stable;
--$250,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable.
--$85,700,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Strong Collateral Quality: The pool consists of strong quality leases with a WA
FICO score of 763, seasoning of 10.8 months, and a diversified residual value
(RV) maturity schedule. Truck and SUV collateral, while still representing a
large concentration, has decreased from 2013-SN1. Of concern, securitized
residuals have increased from the prior transaction to 73.15%.
Sufficient CE Structure: 2014-SN1 incorporates a sequential-pay structure.
Initial CE to the class A notes is 18.75%, building to 21.75%. Available
enhancement is sufficient to support Fitch's 'AAAsf' stressed credit and
residual loss assumptions of 4.25% and 29.7%, respectively.
Unhedged Floating-Rate Note: 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.
Improved Loss Performance: Credit and residual losses on Ally's portfolio have
declined significantly from the elevated levels seen in 2008 and 2009. This is a
result of strong obligor credit quality and a recently solid wholesale used
vehicle market, leading to higher recovery rates and residual realization.
Stable Corporate Health: Fitch rates Ally Financial Inc., the servicer, 'BB'
with a Stable Rating Outlook. Fitch believes Ally to be a capable originator,
underwriter, and servicer, as evidenced by historical performance of its managed
portfolio and prior securitizations.
Evolving Wholesale Market: The U.S. wholesale vehicle market has remained strong
in recent years. However, increasing off-lease vehicle supply and pressure from
increased production levels could lead to decreased residual realizations during
the life of the transaction.
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 and could result in potential
rating actions on the notes. Fitch evaluated the sensitivity of the ratings
assigned to Ally Auto Receivables Trust 2014-SN1 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, though even under Fitch's severe
scenario, the class A notes would be expected to retain an investment grade
Key Rating Drivers and Rating Sensitivities are further described in the presale
report dated Feb. 20, 2014. Fitch's analysis of the Representations and
Warranties (R&W) of this transaction can be found in 'Ally Auto Receivables
Trust 2014-SN1 - Appendix'. This R&W is compared to those of typical R&W for the
asset class as detailed in the special report 'Representations, Warranties, and
Enforcement Mechanisms in Global Structured Finance Transactions' dated April
The presale report is available to all investors on Fitch's website at
'www.fitchratings.com'. For more information about Fitch's comprehensive
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