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Fitch Rates Nissan Auto Lease Trust 2015-A

June 24, 2015 1:04 PM EDT

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings and Rating Outlooks to the notes issued by Nissan Auto Lease Trust 2015-A:

--$91,000,000 class A-1 asset-backed notes 'F1+sf';

--$135,000,000 class A-2a asset-backed notes 'AAAsf'; Outlook Stable;

--$197,000,000 class A-2b asset-backed notes 'AAAsf'; Outlook Stable

--$252,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable;

--$75,000,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Stable Collateral Quality: The weighted average (WA) FICO score of 747 is consistent with prior NALT transactions. The pool is primarily composed of 36-month leases (50.7% versus 25.3% in 2014-B and has WA seasoning of 12 months. The base residual value percentage increased to 69.7% in 2015-B versus 68.3% for 2014-B.

Adequate Credit Enhancement Structure: Initial credit enhancement (CE) is 16.50% of the initial securitization value (SV), growing to 17.50% of the initial values, and excess spread is expected to be 4.84%.

Weakening Residual Performance: Residual loss performance for the NMAC platform has softened through fiscal year-end 2015. Infiniti vehicles, in particular, have played a larger role in driving losses. However, losses are still well below peak 2008-2009 levels for both the Nissan and Infiniti brands. Fitch's 'BB' RV loss expectation is 12.50% of base residual and Fitch's credit loss proxy is 0.90% of SV.

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 historical delinquency and loss performance of its managed portfolio and securitizations. Fitch deems NMAC capable of adequately servicing 2015-A.

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.

RATING SENSITIVITIES

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 of CE and loss coverage levels available to the notes. Hence, 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

No third party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Criteria for Rating U.S. Auto Lease ABS (pub. 24 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864500

Global Structured Finance Rating Criteria (pub. 31 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Related Research

Nissan Auto Lease Trust 2015-A -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867065

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=986891

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=986891

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Primary Analyst
Joyce Fargas
Director
+1-212-908-0824
Fitch Ratings, Inc
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Puloma Mukherjee
Associate Director
+1-212-908-9131
or
Committee Chairperson
Du Trieu
Senior Director
+1-312-368-2091
or
Media Relations
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings



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