Fitch Rates GM Financial Automobile Leasing Trust 2015-1

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings and Rating Outlooks to GM Financial Automobile Leasing Trust 2015-1:

--$129,000,000 class A-1 asset-backed notes 'F1+sf';

--$329,360,000 class A-2 asset-backed notes 'AAAsf'; Outlook Stable;

--$369,360,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable;

--$72,930,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable;

--$42,240,000 class B asset-backed notes 'AAsf'; Outlook Stable;

--$38,940,000 class C asset-backed notes 'Asf'; Outlook Stable;

--$30,170,000 class D asset-backed notes 'BBBsf'; Outlook Stable.

KEY RATING DRIVERS

Strong Collateral Quality: 2015-1 has a weighted average (WA) non-zero obligor FICO score of 736, a relatively diverse mix of vehicles, and undiscounted base residuals of 66.22% as a percentage of securitization value (SV).

New Leasing Platform: GMF began originating auto leases in December 2010; therefore, empirical data are limited. Fitch supplemented the GMF data with proxy data from comparable origination platforms to derive a credit loss expectation. While residual value (RV) performance data for GM vehicles were utilized, an additional residual loss haircut was employed to account for potential volatility in auction proceeds owing to the servicer.

Concentrated Lease Maturities: Lease maturities are more concentrated in 2015-1, with the highest single-month maturity totaling 12.7% of the base RV and peak six-month residual maturities totaling 56% of the pool, both higher than 2014-2.

Sufficient Credit Enhancement (CE) Structure: Initial hard CE totals 18.40%, 14.55%, 11.00% and 8.25% for class A, B, C and D notes, respectively. Based on a 1.50% credit loss expectation stressed for each rating category and stressed RV loss expectations ranging from 33.7%-19.3% for 'AAAsf' to 'BBBsf', available CE is sufficient to support each expected rating.

Evolving Wholesale Market: The U.S. wholesale vehicle market has been normalizing following very strong performance in recent years. Fitch expects that increasing off-lease vehicle supply and pressure from rising production levels will lead to decreased residual realizations during the life of the transaction.

Stable Corporate Health: Fitch rates GMF 'BB+'/Positive Outlook. Fitch believes GMF to be a capable originator, underwriter and servicer, as evidenced by historical performance of its managed portfolio.

Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of GMF would not impair the timeliness of payments on the securities.

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 could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to GM Financial Automobile Leasing Trust 2015-1 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 between one and less than one rating category even under Fitch's severe (2.5x base case loss). The transaction shows more sensitivity to residual loss volatility; though even under Fitch's severe scenario the class A and B notes would be expected to retain an investment grade rating.

Key Rating Drivers and Rating Sensitivities are further detailed in Fitch's presale report, published today and available at 'www.fitchratings.com' or by clicking on the above link.

Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in GM Financial Automobile Leasing Trust 2014-2- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's October 2014 special report, 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions'.

Additional information is available on 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Criteria for Rating U.S. Auto Lease ABS' (April 2014);

--'Global Structured Finance Rating Criteria' (August 2014);

--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' (October 2014);

--'GM Financial Automobile Leasing Trust 2015-1 - Appendix' (March 2015).

Applicable Criteria and Related Research:

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981876

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 Street
New York, NY 10004
or
Secondary Analyst
Yun Tian
Associate Director
+1 212-908-0307
or
Committee Chairperson
Hylton Heard
Senior Director
+1 212-908-0214
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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