OREANDA-NEWS. Fitch Ratings has published an updated Asset-Backed sector specific criteria report. There have been no material changes from the previous version, and therefore Fitch expects no impact on outstanding ratings.

This report updates and replaces the prior criteria report with the title 'Criteria for Rating U.S. Auto Loan ABS, dated April 24, 2015.

The report presents Fitch's analytical approach to rating U.S. Auto Loan ABS and outlines the unique features of these transactions. Additionally, the report details key rating drivers associated with U.S auto lease ABS as detailed below.

KEY RATING DRIVERS

Lease-End Residual Risk: Fitch's analysis of auto lease securitizations places a large focus on residual value (RV) risk (see page 7 of the report). Fitch's RV risk analysis is driven by the issuer's historical RV loss rates and the potential volatility of the future used vehicle market. Historical worst-case 12-18-month observations set the 'BBsf' rating level, with increased residual realization stresses given to investment-grade ratings, as described in the report.

Forward-looking Approach to Derive Base Case Credit Loss Proxy: The credit risk analysis of auto leases is consistent with the approach for auto loan ABS. Fitch derives its base case credit loss proxy by examining fully amortized historical vintage loss curves, extrapolating incomplete vintage curves, matching future expectations with any relevant previous vintage data, and weighting by relevant pool credit characteristics. Additionally, a margin of safety is built into the base case by weighting previous recessionary vintages and adding adjustments for future unemployment expectations and/or wholesale vehicle market conditions, where applicable.

Macroeconomic Risks: The economic environment can have a material impact on asset performance and auto lease ratings. Fitch takes into consideration the strength of the economy, as well as future expectations, by assessing key macroeconomic indicators that are correlated with lease performance (for example, unemployment).

Concentration Risks: Auto lease pools and, notably, residual loss performance can be affected by concentrations in the underlying leases or vehicles. Concentrations in vehicle model or segment can expose the trust to idiosyncratic risks affecting specific vehicle types. Additionally, material concentrations in the timing of lease maturities can expose the ABS performance disproportionately to periods of elevated residual losses. Fitch's quantitative analysis explicitly accounts for concentration risks as described in this report.

Counterparty Risk: This portion of the analysis is largely qualitative and includes a review of seller/servicer operations (originations, underwriting and servicing). Findings of the originator, seller and servicer reviews may result in quantitative adjustments to the base case credit loss proxy and RV loss assumptions and stresses thereof. Fitch's assessment of counterparty-related risks is addressed in its 'Counterparty Criteria for Structured Finance and Covered Bonds' report, dated May 2014, and further described in this report.