Nissan Auto Lease Trust 2024-B: 10-K Deep Dive

In this blog post, we take an in-depth look at the 2024-B auto lease securitization issued by Nissan Motor Acceptance Company LLC (NMAC). This deal, known as Nissan Auto Lease Trust 2024-B, raises capital by pooling auto lease receivables and issuing asset-backed securities (ABS). We’ll walk through the trust’s structure, underlying assets, risk factors, cash flows, and overall investment potential.

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Table of Contents

1. Executive Summary
2. Trust Structure and Parties
3. Asset Pool Description
4. Notes Offered and Credit Enhancement
5. Key Servicing Agreements and Criteria
6. Cash Flows & Distributions
7. Risk Factors and Mitigants
8. Accounting & Financial Highlights
9. Investment Score and Rationale
10. Conclusion

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1. Executive Summary

Nissan Auto Lease Trust 2024-B (the “Trust”) is a specialized finance vehicle formed to acquire a pool of auto lease receivables originated by Nissan Auto Leasing LLC II (the “Depositor”), with Nissan Motor Acceptance Company LLC serving as servicer. On July 24, 2024, the Trust issued multiple classes of ABS notes secured by those receivables and related residual interests.

As a pass-through trust, it has no employees, independent operations, or equity. All lease payments flow through the servicer, net of fees and expenses, to pay interest and principal on the notes. Residual value of returned vehicles cushions noteholders but is ultimately paid to residual certificate holders.

Key takeaways:

• Highly standardized prime auto lease collateral from a captive finance subsidiary of Nissan.
• Multiple classes of notes with sequential principal priorities and credit enhancement.
• Servicing performed by NMAC, with compliance attestations from Ernst & Young.
• No unresolved legal or cybersecurity risk factors reported.

Given auto residual risk, credit risk, and market conditions, we assign an investment score of 5.0 on a 1–10 scale, reflecting a mid-range ABS opportunity.

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2. Trust Structure and Parties

Issuing Entity: Nissan Auto Lease Trust 2024-B

• Organized under Delaware law.
• Created solely to hold auto lease receivables and issue securities.

Depositor: Nissan Auto Leasing LLC II (NALL II)

• Transfers lease receivables to the Trust.

Sponsor/Servicer: Nissan Motor Acceptance Company LLC (NMAC)

• Originates and services leases.
• Collects lease payments, pursues defaults, handles end-of-lease vehicle disposition.

Indenture Trustee: U.S. Bank Trust Company, National Association

• Holds collateral for noteholders, enforces rights if servicer defaults.

Asset Representations Reviewer: Clayton Fixed Income Services LLC

• Provides independent review of asset representations and due diligence.

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3. Asset Pool Description

Underlying Collateral: Auto lease receivables on Nissan and Infiniti vehicles.

Key Characteristics:

• Type: Closed-end auto leases.
• Originators: NMAC and affiliates.
• Balance: Not explicitly stated in 10-K summary; securitization size typically in the hundreds of millions.
• Geography: U.S. retail leases.
• Credit Profile: Primarily prime and near-prime consumer lessees.

Residual Interests: Upon lease termination, vehicles may be purchased or returned. Residual value risk is borne by the Trust’s residual certificate holders after noteholders are paid in full.

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4. Notes Offered and Credit Enhancement

On July 24, 2024, the Trust issued multiple tranches of ABS notes under a new indenture:

Class	Interest Type	Credit Enhancement
Class A1	Floating Rate	Excess Spread + Overcollateralization
Class A2	Fixed Rate	Sequential Pay Structure
Subordinated Certificates	Residual	Residual Risk

Enhancement Features:

• Excess Spread: The spread between lease pool yield and note coupon acts as the first credit buffer.
• Sequential Principal: Senior tranche receives principal until paid in full; subordinate tranches absorb losses first.
• Overcollateralization: Lease receivables exceed issued note principal.
• Reserve Accounts: Servicing and cash reserves can cover temporary shortfalls.

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5. Key Servicing Agreements and Criteria

Servicing Agreement: Under the amended and restated servicing agreement (Exhibit 10.2), NMAC:

• Collects monthly lease payments.
• Pursues lessee defaults and repossessions.
• Disburses payments to the Trust.

Compliance:

• NMAC and U.S. Bank Trust each provided Servicing Assessment Reports and Attestation Reports under Regulation AB.
• No material instances of noncompliance identified.

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6. Cash Flows & Distributions

Collection & Waterfall:

1. Lessee payments received by servicer.
2. Servicing fees and administrative expenses.
3. Interest on senior note classes.
4. Principal on senior classes (sequentially).
5. Subordinate certificates (residual).

ABS vs. Cash Flow: The Trust itself reports no net profit or loss; all net income is distributed. Net distributions to noteholders depend on:

• Lessee payment performance.
• Timing of vehicle returns and residual value realizations.

Cash Flow Health:

• Prime credit profile ⇒ historically low delinquencies.
• Stable residual values for Nissan/Infiniti.
• No reported liquidity or shortfall issues in 10-K.

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7. Risk Factors and Mitigants

Though the 10-K omits Item 1A (Risk Factors) by instruction, typical concerns for auto leasing ABS include:

1. Credit Risk: Consumer defaults reducing lease payments.

• Mitigant: Prime/Near-prime pool, excess spread.

1. Residual Risk: Market value fluctuations on returned vehicles.

• Mitigant: Conservative residual valuations, overcollateralization.

1. Servicer Risk: Failure of NMAC to perform servicing duties.

• Mitigant: Servicing criteria compliance, regulatory oversight.

1. Interest Rate Risk: Changes in benchmark rates affecting floating-rate tranches.

• Mitigant: Hedging by investors or fixed-rate classes.

1. Operational/Legal Risk: Any disputes or legal proceedings.

• Mitigant: No material legal issues reported; trustee oversight.

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8. Accounting & Financial Highlights

Balance Sheet: The Trust’s assets consist solely of receivables; liabilities are note balances and reserve accounts. No independent equity or retained earnings.

Income Statement: Not separately presented—the Trust is a pass-through vehicle. All cash inflows are allocated via waterfall.

Cash Flow Statement: Demonstrates collections from lease receivables fully distributed to security holders.

External Audit: Ernst & Young LLP provided unqualified audit opinions on compliance exhibits (Exhibits 34.1, 34.2).

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9. Investment Score and Rationale

We assign a 5.0 out of 10 investment score. This mid-range rating reflects:

Pros:

• Well-underwritten prime auto lease collateral.
• Robust structural credit enhancement.
• Experienced sponsor/servicer in captive finance.
• No material legal or regulatory issues.

Cons:

• Residual value exposure in a volatile used-car market.
• Credit risk tied to consumer leases during economic downturns.
• Floating-rate tranche sensitivity to interest rate volatility.
• Limited upside beyond contractual yields.

This structure suits yield-seeking investors comfortable with ABS risk. Conservative investors may prefer higher senior ratings; opportunistic investors might chase residual certificates.

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10. Conclusion

Nissan Auto Lease Trust 2024-B offers a standard prime auto lease ABS with solid structural protections and seasoned servicing. Investors targeting predictable cash flows and modest yields in the ABS space will find the senior tranches appealing. Those willing to assume residual value risk may explore the subordinate notes for enhanced returns.

Overall Score: 5.0/10

Net Profit / Loss: The Trust itself reports no net profit or loss—net cash flows are fully distributed in accordance with the repayment waterfall.

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