NEW YORK--(BUSINESS WIRE)--Fitch Ratings expects to assign the following ratings to Ally Auto Receivables Trust 2015-SN1:
--$182,000,000 class A-1 asset-backed notes 'F1+sf';
--$480,000,000 class A-2A/A-2B asset-backed notes 'AAAsf'; Outlook Stable;
--$250,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable;
--$74,600,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The pool consists of strong quality leases with a weighted average (WA) FICO score of 759, seasoning of 16 months, and a reasonably diversified residual value (RV) maturity schedule.
Sufficient Credit Enhancement Structure: Initial credit enhancement (CE) to the class A notes is 18.75%, building to 21.75% until the class A-2 notes are repaid at which point it reduces to 19.85%. Available CE is sufficient to support Fitch's 'AAAsf' stressed credit and residual loss assumptions of 4.25% and 29.45%, respectively.
Improved Loss Performance: Credit and residual losses on Ally's portfolio have exhibited stable performance in recent years. While some normalization has occurred in 2014, overall performance remains well below elevated levels observed in 2008 and 2009.
Stable Corporate Health: Fitch rates Ally Financial, the parent of Ally, the originator and servicer, 'BB+' with a Stable Rating Outlook. Fitch believes Ally Financial 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 been normalizing following strong performance in recent years. Fitch expects that increasing off-lease vehicle supply and pressure from increased production levels will lead to decreased residual realizations during the life of the transaction.
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.
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 2015-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 could be downgraded by four categories.
Key Rating Drivers and Rating Sensitivities are further described in the presale report dated Feb. 27, 2015. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'Ally Auto Receivables Trust 2015-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 Oct. 31, 2014.
The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'email@example.com'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Rating U.S. Auto Lease ABS' (April 24, 2014);
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' (Oct. 31 2014);
--'Ally Auto Receivables Trust 2015-SN1' (Feb. 27, 2015);
--'Ally Auto Receivables Trust 2015-SN1 - Appendix' (Feb. 27, 2015).
Applicable Criteria and Related Research: Ally Auto Receivables Trust 2015-SN1 (US ABS)
Criteria for Rating U.S. Auto Lease ABS
Global Structured Finance Rating Criteria
Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions