CHICAGO--()--Fitch Ratings expects to rate the Ally Auto Receivables Trust (AART) series 2012-SN1 as follows:
--$128,000,000 class A-1 'F1+sf';
--$288,000,000 class A-2 'AAAsf'; Outlook Stable;
--$264,000,000 class A-3 'AAAsf'; Outlook Stable;
--$79,440,000 class A-4 'AAAsf'; Outlook Stable.
Key Rating Drivers
Strong Collateral Quality: The pool consists of strong quality leases with a weighted average (WA) FICO score of 763, seasoning of nine months, and a well-diversified residual value (RV) maturity schedule. Of concern, the pool does contain heavy concentrations in truck and SUV/CUV collateral.
Sufficient Credit Enhancement (CE) Structure: 2012-SN1 incorporates a sequential-pay structure. Initial CE to the class A notes is 17.50%, building to 20.50%. Hard CE consists of overcollateralization (8.25% building to 11.25% of the initial collateral balance), subordination, and a nondeclining reserve account (0.50%). The transaction will also benefit from 4.09% in per annum excess spread.
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 improved 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 Bank, the originator and servicer 'BB-' with Rating Watch Negative. Fitch believes Ally to be a capable originator, underwriter, and servicer, as evidenced by historical performance of its managed portfolio.
Unstable Macroeconomic Conditions: While the current wholesale vehicle market in the U.S. is strong, Fitch remains concerned regarding potential macroeconomic deterioration, which could lead to increased credit and residual loss levels. Potential increases in gas prices in the near term could harm the residual values of older vehicles and less fuel efficient models, particularly SUVs and trucks.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of Ally would not impair the timeliness of payments on the securities.
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Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria', June 6, 2012;
--'U.S. Auto Lease ABS Rating Criteria', May 14, 2012.
Applicable Criteria and Related Research: Ally Auto Receivables Trust 2012-SN1 (US ABS)
Global Structured Finance Rating Criteria
Criteria for Rating U.S. Auto Lease ABS