Fitch Rate Nissan Auto Lease Trust 2013-A
CHICAGO -- May 23, 2013
Fitch Ratings has assigned the following ratings to Nissan Auto Lease Trust
--$195,000,000 class A-1 asset-backed notes 'F1+sf';
--$195,000,000 class A-2a asset-backed notes 'AAAsf'; Outlook Stable;
--$400,000,000 class A-2b asset-backed notes 'AAAsf'; Outlook Stable;
--$360,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable; and
--$109,825,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The weighted average (WA) FICO score of 743 is
consistent with prime auto lease ABS and indicates a strong credit quality
lessee. The pool is primarily composed of 39-month leases, has seasoning of
more than 12 months and has a residual composition slightly higher than prior
Sufficient CE Structure: 2013-A incorporates a sequential-pay structure.
Initial credit enhancement (CE) is 17.50% of the initial securitization value,
growing to 18.50% of the initial securitization value. Excess spread is 5.25%.
Strong Credit and Residual Losses: Credit and residual losses on NMAC's
portfolio and recent NALT securitizations have declined significantly from the
elevated levels seen in 2007 and 2008. This is supported by the improved
obligor credit quality and a strong wholesale used vehicle market resulting in
higher recovery rates and strong residual realizations.
Improved Residual Maturity Diversification: The concentration of residual
maturities has improved with no more than 61% of residuals maturing in any one
year period compared to nearly 67% in 2012-B. While residual realizations have
improved in recent years, Fitch remains cautious of the potential impact of
general economic weakness and rising fuel prices on demand for used vehicles.
Unhedged Floating-Rate Class A-2b: The class A-2b notes pay interest on a
floating-rate basis, while the assets pay a fixed rate and will not be hedged.
As such, Fitch has stressed the transaction structure using its 'AAA' LIBOR-up
Uncertain Macroeconomic Conditions: The stability of the U.S. and global
economic recovery remains a concern, as economic deterioration could lead to
increased losses in 2013-A.
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 Nissan Auto Lease Trust 2013-A 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 would be expected to retain an
investment grade rating.
Key Rating Drivers and Rating Sensitivities are further described in the
accompanying presale report.
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
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Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Criteria for Rating U.S. Auto Lease ABS' (April 30, 2013);
--'Global Structured Finance Rating Criteria' (June 6, 2012).
Applicable Criteria and Related Research:
Criteria for Rating U.S. Auto Lease ABS
Global Structured Finance Rating Criteria
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