Fitch Affirms Seven Classes of Capital Auto Receivables Asset Trust 2014-3

NEW YORK--(BUSINESS WIRE)-- As part of its ongoing surveillance, Fitch Ratings has affirmed seven classes of the Capital Auto Receivable Asset Trust 2014-3 as follows:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class A-3 at 'AAAsf'; Outlook Stable;

--Class A-4 at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'Asf'; Outlook Stable;

--Class D at 'BBBsf'; Outlook Stable.

Class E is not rated by Fitch.

KEY RATING DRIVERS

The rating actions are based on available credit enhancement (CE) and loss performance to date. The collateral pool continues to perform within Fitch's expectations. Under the current structure and CE, the securities are able to withstand stress scenarios consistent with the assigned ratings and make full payments to investors in accordance with the terms of the documents.

The initial recommended loss proxy of 5.50% for 2014-3 incorporated an additional stress considering the potential post-revolving worst-case collateral pool. This approach took into consideration a negative migration of the pool characteristics assuming the collateral migrates to the maximum collateral concentration limits during the revolving period.

To date, the additional collateral added to the pool in the revolving period has been consistent when compared to the initial pool and there have been minimal negative migrations with only one month left before the revolving period ends. After which, the transaction will begin to amortize. As a result of the consistent collateral, increased seasoning, and low loss performance, Fitch revised its loss proxy down to 4.75%. The revised proxy excludes the aforementioned additional stress given that there is only one month left during the revolving period and Fitch expects the collateral to be very similar to the original pool mix at the end of this period.

The ratings reflect the quality of Ally Financial Inc.'s (AFIN) retail auto loan originations, the sound financial and legal structure of the transaction, and the strength of the servicing provided by Ally.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxies and impact available loss coverage and multiples levels for the transactions. Lower loss coverage could affect the ratings and Rating Outlooks depending on the extent of the decline in coverage.

In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case loss expectations. To date, the transactions have exhibited strong performance with losses well within Fitch's initial expectations, with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset pools to have potential negative impact on the outstanding ratings.

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

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

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

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Rating Criteria for U.S. Auto Loan ABS (pub. 10 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863979

Related Research

Capital Auto Receivables Asset Trust 2014-3 -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=758367

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=989575

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=989575

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.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150817006329/en/

Fitch Ratings
Primary Analyst
Timothy McNally, +1 212-908-0870
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Du Trieu, +1 312-368-2091
Senior Director
or
Media Relations
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

---

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

---

You May Also Be Interested In

• Olive Resource Capital Inc. Closes Non-Brokered Private Placement
• Emerging Growth Research Releases Flash Report on First Phosphate; Reiterates Buy Rating and C$4.94 Price Target Following Nasdaq Uplisting
• Alaska Silver Announces Closing of C$7.6 Million Pipe Financing