NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to the notes issued by Nissan Auto Lease Trust 2015-B:
--Class A-1 asset-backed notes 'F1+sf';
--Class A-2A asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-2B asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-3 asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The weighted average (WA) FICO score of 748 is consistent with recent NALT transactions. The pool is primarily composed of 36-month leases (67.4% versus 50.7% in 2015-A) and has seasoning of 12 months. The base residual value percentage decreased slightly to 69.3% in 2015-B versus 69.7% for 2015-A.
Adequate Credit Enhancement (CE) Structure: Initial CE is 16.50% of the initial securitization value (SV), growing to 17.50% of SV, consistent with 2015-A. Excess spread is expected to be 4.70%, in line with 2015-A.
Portfolio Performance - Higher Residual Losses: Credit losses on NMAC's portfolio and recent NALT securitizations have stabilized since the recession and are currently low in 2015. However, residual losses have risen through second quarter 2015 (2Q15). In particular, Infiniti vehicles have played a larger role in driving losses. However, losses are still well below peak 2008-2009 levels for both Nissan and Infiniti brands. Fitch's 'BB' residual value (RV) loss proxy is 12.40%, and Fitch's credit loss proxy is 0.90%.
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.
Consistent Origination/Underwriting/Servicing: NMAC has adequate capabilities as originator, underwriter, and servicer, as evidenced by the historical delinquency and loss performance of its managed portfolio and securitizations. Fitch deems NMAC capable of adequately servicing 2015-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 notes.
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 would likely result in declines in CE and loss coverage levels available to the notes. Thus, Fitch conducts sensitivity analyses by increasing the transaction's initial base case RV and credit loss assumptions and examining the rating implications on all classes of issued notes. The increases to the base case losses are applied such that they represent moderate (1.5x) and severe (2.5x) stresses and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to 140 sample leases. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.
Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in the reports titled 'Nissan Auto Lease Trust 2015-B -- Appendix'. These R&W are 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 June 12, 2015.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Rating U.S. Auto Lease ABS (pub. 19 Oct 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Nissan Auto Lease Trust 2015-B -- Appendix
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1