--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: 2014-A is consistent with prior NALT transactions with a weighted average (
Adequate Credit Enhancement Structure: 2014-A incorporates a sequential-pay structure. Initial credit enhancement (CE) is 16.50% of the initial securitization value, growing to 17.50% of the initial securitization value, a decrease from NALT 2013-B. Excess spread is 5.30%.
Strong Credit Loss: Credit 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 improved credit quality and a strong wholesale used vehicle market resulting in higher recovery rates.
Weakening Residual Performance: While residual losses on NMAC's portfolio and recent NALT securitizations remain well below the elevated levels seen in 2007 and 2008, performance has displayed some weakening.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of NMAC would not impair the timeliness of payments on 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 would likely result in declines of credit enhancement 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, respectively, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.
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'.
--'Global Structured Finance Rating Criteria' (
--'Criteria for Rating U.S. Auto Lease ABS' (
--'Structured Finance Tranche Thickness Metrics'(
Global Structured Finance Rating Criteria
Criteria for Rating U.S. Auto Lease ABS
Structured Finance Tranche Thickness Metrics
Source: Fitch Ratings
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